BOX Options History — February 2016

In February 2016, BOX traded between $9.11 and $11.97. ATM implied volatility averaged 81.7%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded below realized volatility by 5.0% (HV 20d: 86.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2016-02-24: Highest Volume — 10,240 contracts
  • 2016-02-08: Largest IV spike — 27.3% change
  • 2016-02-08: Highest IV Rank — 79.9%
  • 2016-02-16: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.63$9.11$11.97$11.02$11.46
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV81.7%61.5%95.4%61.5%85.4%
Expected Move23.4%17.6%25.7%17.6%24.5%
HV 20d86.8%75.1%95.9%75.1%85.6%
HV 60d65.7%55.4%69.9%55.4%69.9%
IV Rank61.7%39.3%79.9%51.6%65.9%
IV Percentile90.0%65.1%98.0%65.1%91.7%
Term Structure-7.8%-15.3%11.4%9.4%-11.5%
VWIV80.7%56.9%90.7%56.9%80.9%
Skew 25d4.0%-2.3%8.6%-0.3%3.3%
Skew 10d14.0%-16.3%45.1%17.6%21.0%
Call IV 25d80.8%61.3%90.2%61.3%86.0%
Put IV 25d84.8%61.1%94.3%61.1%89.3%
Bid-Ask Spread %85.2873.9097.7991.7373.90
Gamma HHI0.200.170.220.200.21
Net GEX309.3K191.4K432.0K274.0K410.4K
Net DEX-6.3M-11.7M-1.9M-6.7M-8.8M
Net VEX-54.4K-79.4K-41.1K-48.9K-72.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.112.070.260.52
Total Volume5,245.452,61510,2402,6156,763
Total OI40,768.933,71248,36933,71248,369

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$11.02$10.0061.5%17.6%75.1%51.6%56.9%-0.3%9.4%274.0K-6.7M-48.9K0.2691.73N/AN/A2,06854726,9726,740
2016-02-02$10.26$10.0066.5%19.1%76.5%39.3%65.7%-0.9%11.4%231.4K-4.1M-44.3K0.1493.49N/AN/A4,07258527,3356,737
2016-02-03$11.02$10.0071.8%20.6%79.7%46.8%67.9%4.0%9.2%317.3K-7.7M-51.2K0.2997.79N/AN/A2,08860129,8956,764
2016-02-04$11.29$10.0072.5%22.3%78.8%47.7%74.0%2.2%-9.6%347.9K-10.0M-58.4K0.1185.05N/AN/A5,82665231,0596,825
2016-02-05$10.45$10.0075.0%22.7%82.0%51.2%78.9%8.6%-13.7%293.9K-5.9M-55.5K0.1288.32N/AN/A5,04461532,4786,882
2016-02-08$9.26$10.0095.4%24.7%90.3%79.9%85.8%3.1%-9.3%197.1K-2.2M-43.0K0.3190.30N/AN/A3,5771,10132,5226,893
2016-02-09$9.21$10.0089.2%25.3%90.3%71.2%85.7%1.5%-12.1%194.8K-1.9M-41.1K0.2084.74N/AN/A3,63771432,8467,146
2016-02-10$9.48$10.0086.2%24.7%91.2%67.0%89.4%6.2%-6.0%215.9K-3.1M-45.1K0.1986.73N/AN/A3,39665233,2867,139
2016-02-11$9.11$10.0086.0%24.7%90.5%66.7%88.5%-2.3%-4.3%191.4K-2.1M-43.4K0.3583.33N/AN/A3,3651,18433,4627,162
2016-02-12$9.90$10.0087.6%25.1%95.9%68.9%90.7%3.8%-9.8%265.0K-4.1M-47.0K0.3683.94N/AN/A3,0781,10933,7157,066
2016-02-16$10.17$10.0089.8%25.7%95.0%72.0%90.2%5.1%-14.3%302.5K-5.0M-47.3K0.5084.89N/AN/A3,3651,69433,7407,082
2016-02-17$10.70$10.0085.1%24.4%91.9%65.5%87.3%7.7%-15.3%377.1K-7.2M-53.2K0.4887.43N/AN/A3,5101,69733,7267,480
2016-02-18$10.47$10.0085.7%24.6%91.8%66.3%76.9%4.0%-11.3%336.0K-5.8M-49.9K1.1083.81N/AN/A2,6972,95633,6197,494
2016-02-19$10.75$10.0082.8%23.7%89.7%62.2%73.8%3.1%-12.4%298.9K-5.4M-54.0K1.0584.60N/AN/A2,3902,51735,1729,067
2016-02-22$11.20$10.0084.0%24.1%90.6%64.0%90.0%8.0%-12.2%341.3K-7.0M-57.0K1.4883.56N/AN/A1,6102,38131,7567,995
2016-02-23$11.15$10.0083.9%24.1%84.5%63.8%82.7%5.4%-10.9%344.0K-6.7M-56.6K2.0781.36N/AN/A1,2512,58532,1558,095
2016-02-24$11.82$10.0083.3%23.9%86.0%62.9%84.1%3.4%-11.3%386.4K-9.8M-61.4K0.4879.27N/AN/A6,9063,33432,3448,332
2016-02-25$11.92$10.0081.0%23.2%85.8%59.7%82.7%7.0%-9.3%428.7K-11.1M-78.3K0.7577.97N/AN/A4,9653,70337,55310,412
2016-02-26$11.97$10.0081.8%23.5%83.9%60.9%82.2%7.1%-12.0%432.0K-11.7M-79.4K0.5683.31N/AN/A4,2672,40737,58210,481
2016-02-29$11.46$10.0085.4%24.5%85.6%65.9%80.9%3.3%-11.5%410.4K-8.8M-72.9K0.5273.90N/AN/A4,4482,31537,83410,535