BOX Options History — January 2016

In January 2016, BOX traded between $9.45 and $14.36. ATM implied volatility averaged 65.4%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 12.5% (HV 20d: 53.0%). Max pain ranged from $10.00 to $14.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.45.

Notable Days

  • 2016-01-29: Highest Volume — 7,253 contracts
  • 2016-01-11: Largest IV spike — 50.7% change
  • 2016-01-11: Highest IV Rank — 79.7%
  • 2016-01-20: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.95$9.45$14.36$14.36$10.40
Max Pain$11.68$10.00$14.00$14.00$10.00
ATM IV65.4%51.9%88.6%51.9%63.5%
Expected Move17.6%14.9%21.9%14.9%18.2%
HV 20d53.0%37.9%70.8%37.9%70.8%
HV 60d49.6%46.3%54.5%46.9%54.0%
IV Rank56.8%44.3%79.7%44.3%53.5%
IV Percentile72.9%42.1%96.8%42.1%69.4%
Term Structure5.2%-15.9%11.7%4.9%8.0%
VWIV59.8%49.0%67.4%49.7%59.9%
Skew 25d2.1%-1.5%5.3%4.4%2.9%
Skew 10d0.8%-22.8%32.2%32.2%22.4%
Call IV 25d59.2%48.0%67.5%49.3%62.6%
Put IV 25d61.4%53.4%67.8%53.8%65.5%
Bid-Ask Spread %87.3856.2098.2856.2093.35
Gamma HHI0.210.170.250.170.20
Net GEX192.9K115.3K385.6K385.6K237.7K
Net DEX-3.7M-12.3M-1.3M-12.3M-4.0M
Net VEX-33.6K-49.4K-22.4K-49.4K-43.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.090.890.340.82
Total Volume3,669.8951,1767,2532,0377,253
Total OI25,342.15820,26533,38323,01233,383

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$14.36$14.0051.9%14.9%37.9%44.3%49.7%4.4%4.9%385.6K-12.3M-49.4K0.3456.20N/AN/A1,51752019,7703,242
2016-01-05$13.37$14.0058.8%15.0%40.4%51.0%49.0%5.3%6.5%323.3K-8.7M-46.4K0.4183.20N/AN/A90337020,3453,250
2016-01-06$12.67$14.0059.6%15.3%44.1%51.7%53.6%3.5%8.7%250.8K-6.1M-41.3K0.3483.99N/AN/A2,20475120,6423,230
2016-01-07$12.19$12.0068.6%15.8%45.5%60.4%54.5%1.1%8.3%230.9K-5.4M-43.0K0.6279.20N/AN/A1,08968022,2153,597
2016-01-08$11.59$12.0058.8%16.0%48.1%51.0%55.9%2.5%5.0%177.4K-3.8M-38.5K0.8983.98N/AN/A69561621,9393,673
2016-01-11$11.49$12.0088.6%16.6%47.6%79.7%56.7%2.0%4.6%164.7K-2.7M-35.0K0.5187.23N/AN/A1,17159822,0583,762
2016-01-12$11.20$12.0075.7%17.0%48.0%67.3%58.8%4.8%3.7%161.8K-2.2M-33.2K0.3988.71N/AN/A3,2191,25622,4923,821
2016-01-13$10.62$12.0058.5%16.8%50.1%50.7%57.0%3.5%11.7%184.2K-2.2M-33.9K0.5588.29N/AN/A2,8921,57724,5804,252
2016-01-14$10.73$11.0062.5%17.9%48.1%54.5%60.8%0.6%7.4%203.8K-2.6M-35.5K0.4287.18N/AN/A2,3661,00025,9364,303
2016-01-15$10.22$11.0065.0%18.6%45.3%57.0%64.3%4.2%4.6%155.2K-1.3M-31.2K0.2388.71N/AN/A4,8521,09726,0924,175
2016-01-19$9.45$11.0076.2%21.9%49.5%67.8%65.4%4.1%-15.9%115.3K-1.4M-23.5K0.2298.28N/AN/A3,67082419,6092,853
2016-01-20$9.78$11.0076.3%21.9%52.5%67.9%66.6%-0.8%1.3%118.8K-1.6M-22.4K0.2594.02N/AN/A3,39486217,3762,889
2016-01-21$10.40$11.0062.7%18.0%59.2%54.8%67.4%-1.2%3.8%149.0K-2.7M-25.8K0.2089.64N/AN/A3,42667717,3083,246
2016-01-22$10.60$11.0062.1%17.8%59.1%52.5%61.5%-1.5%5.1%161.5K-3.3M-27.8K0.4085.29N/AN/A2,01480717,6593,336
2016-01-25$9.73$11.0065.1%18.7%64.0%55.5%62.9%-1.2%5.8%130.7K-1.9M-24.3K0.3292.81N/AN/A2,04465819,0263,574
2016-01-26$9.60$11.0063.6%18.2%63.7%54.0%66.9%-0.7%7.1%122.0K-1.4M-23.0K0.0992.01N/AN/A5,90151319,4953,598
2016-01-27$9.55$11.0062.2%17.8%63.0%52.6%61.8%2.3%8.2%177.8K-3.2M-28.5K0.7893.71N/AN/A66251423,6043,770
2016-01-28$10.14$11.0063.2%18.1%69.2%53.3%64.2%4.9%10.6%214.5K-4.4M-31.1K0.8194.42N/AN/A3,9473,18923,6453,756
2016-01-29$10.40$10.0063.5%18.2%70.8%53.5%59.9%2.9%8.0%237.7K-4.0M-43.8K0.8293.35N/AN/A3,9963,25726,7986,585