BOX Options History — September 2015

In September 2015, BOX traded between $12.26 and $14.31. ATM implied volatility averaged 69.5%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 22.0% (HV 20d: 47.5%). Max pain ranged from $11.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2015-09-09: Highest Volume — 6,862 contracts
  • 2015-09-09: Largest IV drop — 30.9% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 28.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.04$12.26$14.31$12.88$12.57
Max Pain$13.29$11.00$17.50$17.50$13.00
ATM IV69.5%54.2%109.7%99.9%56.7%
Expected Move18.8%15.5%28.6%28.6%16.3%
HV 20d47.5%41.3%56.1%56.0%42.1%
HV 60d51.4%49.4%53.1%53.1%49.9%
IV Rank63.5%47.4%100.0%100.0%49.7%
IV Percentile80.9%65.5%100.0%100.0%69.0%
Term Structure-1.2%-20.2%6.3%-20.2%0.9%
VWIV64.2%51.6%95.1%95.1%57.8%
Skew 25d3.5%-2.3%7.9%5.6%5.1%
Skew 10d2.3%-26.4%26.3%2.4%11.6%
Call IV 25d64.0%52.4%97.0%96.1%56.3%
Put IV 25d67.5%56.0%101.7%101.7%61.4%
Bid-Ask Spread %47.7422.3976.7776.3861.11
Gamma HHI0.190.140.230.140.21
Net GEX76.4K17.8K126.8K32.1K126.8K
Net DEX4.8M-1.8M10.4M8.7M-1.0M
Net VEX-38.5K-44.3K-32.5K-32.9K-41.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.361.640.430.84
Total Volume3,546.8576486,8623,9982,415
Total OI30,53617,51739,42530,90024,183

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$12.88$17.5099.9%28.6%56.0%100.0%95.1%5.6%-20.2%32.1K8.7M-32.9K0.4376.38N/AN/A2,7931,20518,09012,810
2015-09-02$13.08$17.5097.6%28.0%56.1%97.6%93.0%-2.3%-19.2%46.5K7.9M-38.6K0.4276.77N/AN/A2,7601,16819,61412,799
2015-09-03$13.02$13.0094.0%21.0%56.1%93.8%68.2%2.3%-3.3%50.0K7.9M-38.0K1.2867.10N/AN/A1,0091,29419,83512,746
2015-09-04$13.30$13.0099.5%21.8%41.3%99.6%75.4%0.5%-6.8%53.3K7.7M-38.7K0.8565.91N/AN/A1,03987920,00912,896
2015-09-08$13.90$13.00109.7%21.7%45.1%100.0%76.5%5.5%-4.4%71.1K6.7M-39.7K0.5371.70N/AN/A1,00853220,20412,946
2015-09-09$14.31$13.0075.8%21.7%45.2%67.8%73.4%4.4%-7.0%99.3K4.9M-43.4K0.5154.50N/AN/A4,5462,31620,71812,957
2015-09-10$13.90$11.0060.6%17.4%45.4%53.4%51.6%5.1%2.7%87.1K7.0M-38.4K0.5950.44N/AN/A3,7912,22223,00814,119
2015-09-11$13.70$12.0058.7%16.8%45.3%51.6%58.5%1.2%4.9%80.1K7.8M-39.2K1.2253.15N/AN/A1,4981,82823,12814,450
2015-09-14$12.75$13.0060.6%17.4%51.4%53.4%62.4%3.3%6.3%17.8K10.4M-32.5K1.0157.87N/AN/A2,1142,13423,15614,614
2015-09-15$12.94$13.0061.3%17.6%51.9%54.0%58.5%3.6%5.1%24.9K9.7M-35.5K1.0960.10N/AN/A31033823,91414,999
2015-09-16$12.98$13.0059.7%17.1%52.0%52.5%57.9%4.2%4.2%29.7K9.7M-34.6K0.6526.02N/AN/A2,0991,37024,00314,934
2015-09-17$12.92$13.0059.1%16.9%50.5%52.0%58.8%2.4%5.3%40.5K9.5M-34.7K0.9338.93N/AN/A1,3671,26524,56314,847
2015-09-18$12.79$13.0057.5%16.5%50.1%50.5%57.6%4.1%5.6%80.8K10.0M-34.6K1.6428.17N/AN/A1,0441,71624,62614,799
2015-09-21$12.95$13.0058.6%16.8%50.0%51.5%54.6%7.9%-1.2%82.2K27.1K-33.3K0.3643.68N/AN/A4,2591,51612,0955,422
2015-09-22$12.69$13.0057.1%16.4%43.0%50.1%58.1%3.7%2.4%98.6K-491.0K-39.1K0.3732.97N/AN/A4,1391,54814,6735,934
2015-09-23$12.75$13.0054.4%15.6%43.0%47.5%54.5%2.0%3.8%117.3K-1.5M-43.7K0.3623.06N/AN/A3,3171,18116,0616,100
2015-09-24$12.93$13.0055.9%16.0%42.9%49.0%58.8%6.0%0.2%122.9K-1.5M-43.0K0.4522.39N/AN/A2,8281,28316,1766,175
2015-09-25$12.88$13.0054.2%15.5%42.0%47.4%56.6%4.5%2.1%119.6K-1.8M-44.3K0.8926.27N/AN/A1,5301,36516,2526,387
2015-09-28$12.34$13.0061.5%17.6%44.1%54.3%58.3%4.2%0.5%110.2K-780.9K-41.1K0.8823.55N/AN/A1,4001,23716,8646,468
2015-09-29$12.26$13.0066.4%19.0%44.0%58.9%61.7%0.4%-6.8%113.1K-735.7K-41.2K0.8342.51N/AN/A1,5391,28217,1756,507
2015-09-30$12.57$13.0056.7%16.3%42.1%49.7%57.8%5.1%0.9%126.8K-1.0M-41.8K0.8461.11N/AN/A1,3091,10617,5296,654