BOX Options History — December 2015

In December 2015, BOX traded between $12.77 and $14.39. ATM implied volatility averaged 52.2%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 2.9% (HV 20d: 49.2%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2015-12-17: Highest Volume — 9,530 contracts
  • 2015-12-04: Largest IV drop — 21.8% change
  • 2015-12-02: Highest IV Rank — 68.2%
  • 2015-12-02: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.76$12.77$14.39$13.71$13.98
Max Pain$13.64$13.00$14.00$14.00$14.00
ATM IV52.2%45.1%76.6%72.6%46.3%
Expected Move14.8%12.9%22.0%20.8%13.3%
HV 20d49.2%36.3%53.6%36.3%46.5%
HV 60d48.3%46.3%49.9%46.8%46.7%
IV Rank44.6%37.8%68.2%64.3%39.0%
IV Percentile42.1%20.2%93.7%92.1%25.4%
Term Structure3.8%-13.6%10.7%-13.0%2.6%
VWIV51.0%43.6%78.6%72.8%45.4%
Skew 25d3.9%0.6%10.3%5.8%0.6%
Skew 10d9.8%-13.1%32.4%4.8%18.5%
Call IV 25d50.5%42.9%77.9%72.1%49.2%
Put IV 25d54.4%46.5%81.7%77.8%49.8%
Bid-Ask Spread %50.2418.7095.0118.7071.61
Gamma HHI0.290.170.800.190.17
Net GEX445.7K211.8K1.7M211.8K358.1K
Net DEX-6.8M-12.7M-1.8K-3.1M-10.9M
Net VEX-38.0K-54.2K-25.8K-29.2K-50.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.101.120.101.04
Total Volume3,394.2271,0169,5302,4441,147
Total OI28,758.54518,38340,75724,94622,934

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$13.71$14.0072.6%20.8%36.3%64.3%72.8%5.8%-13.0%211.8K-3.1M-29.2K0.1018.70N/AN/A2,23021418,1226,824
2015-12-02$14.10$14.0076.6%22.0%37.3%68.2%78.6%3.8%-13.6%252.5K-5.4M-31.1K0.2720.47N/AN/A5,0571,39019,4126,930
2015-12-03$13.07$13.0062.7%16.3%46.8%54.8%54.5%10.3%-0.8%325.1K-1.8M-28.3K0.3146.76N/AN/A6,3301,97922,8187,562
2015-12-04$13.92$13.0049.0%14.4%51.2%41.6%51.0%5.9%5.4%483.4K-6.6M-32.6K0.3929.39N/AN/A3,0271,16924,2038,122
2015-12-07$13.68$13.0054.3%14.3%51.8%46.6%50.9%3.8%5.7%456.9K-5.0M-30.9K0.2333.55N/AN/A2,18950923,9308,162
2015-12-08$13.40$13.0054.3%14.7%52.3%46.6%51.6%1.2%5.1%420.4K-3.8M-31.1K0.2380.23N/AN/A4,3131,00324,4378,387
2015-12-09$13.17$13.0051.8%14.9%52.7%44.3%51.1%4.7%6.1%334.4K-1.5M-28.1K0.2227.74N/AN/A3,84785323,6978,506
2015-12-10$13.34$13.0050.2%14.4%52.6%42.7%48.7%0.8%8.3%422.2K-3.3M-31.0K0.6421.74N/AN/A1,40088925,0598,534
2015-12-11$13.13$13.0052.6%15.1%52.8%45.0%46.1%2.0%6.9%387.6K-2.0M-29.7K0.8882.56N/AN/A97385425,4938,623
2015-12-14$12.77$13.0051.5%14.8%51.7%44.0%47.5%5.1%9.9%295.7K-1.8K-25.8K0.8486.69N/AN/A84471125,4138,750
2015-12-15$13.21$14.0052.4%15.0%51.4%44.8%51.6%3.2%6.6%407.4K-1.7M-26.1K0.6488.21N/AN/A1,01465325,4808,842
2015-12-16$13.81$14.0049.1%14.1%53.6%41.6%50.0%4.1%10.7%630.1K-5.7M-27.3K0.4095.01N/AN/A1,49059625,6738,859
2015-12-17$13.95$14.0049.3%14.1%53.4%41.8%49.0%4.5%6.6%777.1K-7.4M-27.9K0.2186.30N/AN/A7,8891,64126,1148,824
2015-12-18$14.00$14.0047.7%13.7%53.0%40.3%47.7%4.3%10.6%1.7M-10.0M-45.5K0.1584.45N/AN/A7,7121,12231,3699,388
2015-12-21$14.05$14.0048.6%13.9%50.8%41.1%46.4%2.3%9.4%234.3K-9.1M-45.6K0.1334.09N/AN/A4,15152815,7392,644
2015-12-22$14.35$14.0046.6%13.4%51.2%39.2%45.3%2.1%4.0%334.6K-12.5M-53.0K0.3940.01N/AN/A96837318,9772,729
2015-12-23$14.27$14.0045.3%13.0%47.5%38.0%45.6%1.8%5.8%347.4K-12.7M-54.2K0.6533.33N/AN/A61839919,5242,771
2015-12-24$14.26$14.0045.4%13.0%47.4%38.1%43.6%5.7%4.3%354.1K-12.3M-53.2K0.6525.56N/AN/A61540119,4552,804
2015-12-28$14.39$14.0049.4%14.2%47.4%41.9%48.1%4.8%-0.4%368.4K-12.7M-51.8K0.9436.94N/AN/A52549519,4912,806
2015-12-29$14.15$14.0045.1%12.9%47.8%37.8%46.2%4.1%3.3%362.9K-11.9M-51.7K0.8433.64N/AN/A75963919,5372,889
2015-12-30$13.93$14.0047.0%13.5%47.6%39.7%49.5%5.1%1.2%354.3K-10.9M-50.6K1.1228.34N/AN/A54661119,7073,148
2015-12-31$13.98$14.0046.3%13.3%46.5%39.0%45.4%0.6%2.6%358.1K-10.9M-50.4K1.0471.61N/AN/A56258519,7243,210