BOX Options History — October 2015

In October 2015, BOX traded between $11.10 and $13.57. ATM implied volatility averaged 57.0%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 5.3% (HV 20d: 51.7%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2015-10-16: Highest Volume — 3,809 contracts
  • 2015-10-14: Largest IV drop — 14.3% change
  • 2015-10-05: Highest IV Rank — 61.0%
  • 2015-10-02: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.40$11.10$13.57$12.10$12.46
Max Pain$12.09$11.00$13.00$13.00$12.00
ATM IV57.0%52.4%68.5%59.9%52.4%
Expected Move16.0%15.0%17.7%17.2%15.0%
HV 20d51.7%37.3%60.0%43.5%56.2%
HV 60d51.9%48.0%54.1%49.7%52.2%
IV Rank50.0%45.6%61.0%52.7%45.6%
IV Percentile66.1%53.2%86.1%75.4%53.2%
Term Structure7.2%-2.4%11.0%0.2%11.0%
VWIV54.3%44.2%66.7%61.8%44.2%
Skew 25d1.2%-10.3%6.1%-0.9%-0.1%
Skew 10d-4.6%-31.4%20.0%-19.7%-11.4%
Call IV 25d55.6%50.2%63.8%62.1%53.8%
Put IV 25d56.8%53.6%61.4%61.3%53.7%
Bid-Ask Spread %24.5818.7831.0924.2021.99
Gamma HHI0.200.160.260.210.18
Net GEX132.1K74.1K175.1K111.6K142.4K
Net DEX-1.1M-5.1M2.1M-417.7K-634.3K
Net VEX-37.3K-43.5K-31.0K-39.6K-33.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.261.000.851.00
Total Volume2,249.1829373,8092,4492,136
Total OI25,718.45523,93227,13624,37525,786

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$12.10$13.0059.9%17.2%43.5%52.7%61.8%-0.9%0.2%111.6K-417.7K-39.6K0.8524.20N/AN/A1,3231,12617,6996,676
2015-10-02$11.65$13.0061.7%17.7%45.2%54.5%66.7%-10.3%-2.4%96.0K582.5K-37.1K0.8723.91N/AN/A1,3281,14917,7406,821
2015-10-05$11.34$13.0068.5%17.3%44.6%61.0%57.1%0.7%4.6%88.2K1.4M-33.2K0.5228.26N/AN/A61632117,9366,828
2015-10-06$11.19$13.0060.4%16.8%40.2%53.2%58.7%3.3%8.1%78.0K2.0M-31.2K0.6518.98N/AN/A1,38989718,0817,034
2015-10-07$11.10$11.0061.1%16.6%37.3%53.9%56.6%1.2%6.8%74.1K2.1M-31.0K0.6625.11N/AN/A1,46296918,0087,297
2015-10-08$12.00$11.0059.8%15.9%48.7%52.6%55.4%-0.2%6.3%100.1K448.1K-35.1K0.7027.53N/AN/A1,41699617,7207,538
2015-10-09$12.33$12.0056.7%16.2%50.1%49.7%54.7%4.2%5.6%120.0K-361.4K-36.9K0.3127.74N/AN/A2,21269118,1167,664
2015-10-12$12.63$12.0060.7%15.7%44.5%53.5%54.7%0.8%8.5%152.9K-1.3M-37.5K0.4923.64N/AN/A1,16357018,8107,696
2015-10-13$12.06$12.0062.9%16.0%46.9%55.6%54.5%-0.5%7.1%110.9K-177.1K-36.1K0.6928.67N/AN/A1,11777218,9577,757
2015-10-14$12.60$12.0053.9%15.4%49.8%47.0%53.0%0.1%9.1%134.3K-1.3M-37.4K0.8031.09N/AN/A1,03282519,0417,919
2015-10-15$12.60$12.0054.0%15.5%49.8%47.1%54.0%2.9%6.7%144.8K-1.4M-37.7K0.5521.10N/AN/A1,16164119,0707,866
2015-10-16$13.57$12.0054.7%15.7%56.3%47.8%54.4%0.0%9.1%141.0K-5.1M-42.0K0.3823.01N/AN/A2,7631,04619,2717,865
2015-10-19$13.56$12.0053.1%15.2%56.2%46.3%54.1%1.3%8.6%154.7K-4.0M-43.5K0.2618.78N/AN/A2,56867417,1766,756
2015-10-20$13.21$12.0055.4%15.9%56.6%48.5%52.7%-0.3%8.0%175.1K-3.8M-42.8K0.8827.70N/AN/A82572418,5916,838
2015-10-21$12.64$12.0054.4%15.6%58.9%47.5%50.6%1.4%8.6%154.1K-1.9M-38.8K0.8122.00N/AN/A98179118,6426,937
2015-10-22$12.67$12.0052.7%15.1%58.6%46.0%52.3%2.2%8.9%154.8K-1.9M-39.5K0.7426.11N/AN/A1,22490118,5947,014
2015-10-23$12.98$12.0054.0%15.5%59.3%47.1%52.1%6.1%9.2%171.2K-2.6M-41.1K0.8722.99N/AN/A1,03690118,8247,119
2015-10-26$12.87$12.0054.3%15.6%57.2%47.5%53.1%4.6%8.6%169.4K-2.4M-39.6K0.7819.05N/AN/A1,15490418,8967,119
2015-10-27$12.25$12.0055.9%16.0%60.0%48.9%53.4%2.9%7.5%143.1K-929.0K-36.0K0.8623.76N/AN/A1,2851,11118,9297,153
2015-10-28$12.48$12.0055.5%15.9%59.7%48.6%53.2%4.1%8.5%145.9K-829.0K-35.9K0.4630.21N/AN/A2,2181,01718,9777,350
2015-10-29$12.53$12.0052.4%15.0%58.0%45.6%46.1%2.3%10.4%143.3K-825.7K-34.4K0.8224.89N/AN/A1,12592218,3597,336
2015-10-30$12.46$12.0052.4%15.0%56.2%45.6%44.2%-0.1%11.0%142.4K-634.3K-33.6K1.0021.99N/AN/A1,0671,06918,4327,354