BOX Options History — November 2015

In November 2015, BOX traded between $12.51 and $14.00. ATM implied volatility averaged 62.0%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 18.9% (HV 20d: 43.1%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2015-11-20: Highest Volume — 2,847 contracts
  • 2015-11-11: Largest IV spike — 25.2% change
  • 2015-11-30: Highest IV Rank — 63.3%
  • 2015-11-30: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.18$12.51$14.00$12.98$14.00
Max Pain$14.40$12.00$15.00$12.00$14.00
ATM IV62.0%50.9%71.6%52.9%71.6%
Expected Move18.5%15.0%20.5%15.2%20.5%
HV 20d43.1%35.3%56.5%56.5%37.6%
HV 60d47.4%45.9%48.4%48.4%46.8%
IV Rank54.2%43.3%63.3%46.1%63.3%
IV Percentile72.8%48.0%90.9%55.2%90.9%
Term Structure-4.6%-12.8%10.4%7.9%-12.8%
VWIV63.3%48.4%71.2%55.4%71.2%
Skew 25d3.8%-1.2%10.2%0.9%8.3%
Skew 10d6.8%-2.3%19.3%10.6%13.8%
Call IV 25d63.5%49.1%68.6%55.5%68.6%
Put IV 25d67.2%55.3%76.9%56.4%76.9%
Bid-Ask Spread %28.2820.7683.5227.3424.63
Gamma HHI0.180.160.210.180.18
Net GEX163.4K101.4K199.3K168.8K194.0K
Net DEX-1.7M-3.4M181.3K-1.7M-3.4M
Net VEX-29.9K-35.2K-25.0K-34.9K-28.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.060.870.870.16
Total Volume1,748.42442,8472,3511,447
Total OI25,408.9521,24227,01626,01223,922

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$12.98$12.0052.9%15.2%56.5%46.1%55.4%0.9%7.9%168.8K-1.7M-34.9K0.8727.34N/AN/A1,2571,09418,4607,552
2015-11-03$13.14$12.0053.0%15.2%56.0%46.1%48.4%2.1%10.4%178.2K-2.2M-35.2K0.8321.99N/AN/A1,2731,05318,5187,574
2015-11-04$13.15$12.0052.4%15.0%55.8%45.5%52.9%10.2%10.0%170.7K-2.2M-34.4K0.8222.00N/AN/A1,20698318,4997,582
2015-11-05$12.90$15.0053.4%17.8%50.1%46.3%63.3%4.3%-1.3%166.4K-1.7M-33.8K0.7725.14N/AN/A1,04880718,5447,616
2015-11-06$13.01$15.0051.6%18.6%49.4%44.6%57.5%-0.8%-4.0%171.1K-1.9M-33.2K0.3126.88N/AN/A1865818,5117,613
2015-11-09$12.90$15.0054.0%19.1%48.8%46.4%66.3%1.3%-7.3%162.8K-1.4M-31.4K0.1725.87N/AN/A74513018,3827,595
2015-11-10$13.00$15.0050.9%18.9%45.6%43.3%66.0%5.1%-6.2%179.7K-1.8M-31.9K0.7429.29N/AN/A1,02075419,0097,642
2015-11-11$13.18$15.0063.7%18.3%43.3%55.7%64.6%5.1%-4.5%199.3K-2.4M-32.4K0.6427.16N/AN/A96561619,1437,626
2015-11-12$13.02$15.0063.7%18.3%43.6%55.7%65.1%0.7%-4.1%196.6K-2.5M-32.2K0.7826.90N/AN/A1,06482819,2357,663
2015-11-13$12.51$15.0066.6%19.1%36.6%58.5%66.0%-1.2%-8.6%157.8K-664.9K-29.9K0.3527.55N/AN/A2,09372519,2617,755
2015-11-16$12.99$15.0066.9%19.2%39.5%58.8%65.0%8.1%-8.8%171.2K-707.5K-26.5K0.4824.97N/AN/A48023018,4427,741
2015-11-17$12.92$15.0067.2%19.3%38.5%59.1%63.6%5.0%-7.1%165.5K-573.9K-26.4K0.6423.06N/AN/A1,02966218,3207,748
2015-11-18$13.11$15.0067.0%19.2%35.3%58.9%66.0%-0.0%-7.1%177.2K-973.4K-25.5K0.7126.31N/AN/A91064718,3617,690
2015-11-19$13.39$15.0065.0%18.6%36.0%57.0%62.9%2.7%-6.1%113.6K-2.2M-26.0K0.6627.58N/AN/A1,24581618,4337,706
2015-11-20$12.89$15.0066.4%19.0%37.8%58.3%63.4%1.5%-7.7%101.4K143.9K-25.0K0.8426.79N/AN/A1,5501,29718,5027,935
2015-11-23$12.96$15.0068.2%19.6%37.7%60.1%68.3%3.6%-8.9%106.7K181.3K-25.4K0.2320.76N/AN/A72316814,6346,608
2015-11-24$13.72$15.0069.8%20.0%38.0%61.6%70.7%7.7%-10.3%132.6K-1.4M-27.2K0.0622.16N/AN/A1,92111715,0256,641
2015-11-25$13.83$14.0068.1%19.5%37.8%59.9%64.9%6.3%-9.2%167.9K-2.8M-29.2K0.2283.52N/AN/A1,82640616,2436,685
2015-11-27$13.97$14.0068.0%19.5%37.8%59.8%64.4%4.9%-6.9%187.4K-3.3M-29.5K0.3725.75N/AN/A1,15843117,0576,706
2015-11-30$14.00$14.0071.6%20.5%37.6%63.3%71.2%8.3%-12.8%194.0K-3.4M-28.7K0.1624.63N/AN/A1,24320417,2076,715