BOX Options History — March 2016

In March 2016, BOX traded between $11.57 and $12.75. ATM implied volatility averaged 64.4%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 10.3% (HV 20d: 54.1%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2016-03-09: Highest Volume — 16,260 contracts
2016-03-09: Largest IV drop — 29.5% change
2016-03-08: Highest IV Rank — 85.2%
2016-03-02: Largest Expected Move — 25.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.33	$11.57	$12.75	$11.57	$12.29
Max Pain	$11.82	$10.00	$12.00	$10.00	$12.00
ATM IV	64.4%	48.5%	99.2%	85.4%	48.5%
Expected Move	17.2%	13.9%	25.3%	24.5%	13.9%
HV 20d	54.1%	35.6%	83.3%	83.3%	35.6%
HV 60d	68.4%	67.7%	69.6%	69.6%	68.5%
IV Rank	36.3%	14.0%	85.2%	65.8%	14.0%
IV Percentile	57.2%	22.6%	98.8%	91.3%	22.6%
Term Structure	-2.2%	-18.5%	2.8%	-16.9%	0.1%
VWIV	60.3%	48.7%	86.4%	86.4%	48.7%
Skew 25d	3.6%	-0.5%	6.7%	1.7%	0.5%
Skew 10d	4.9%	-20.9%	31.4%	10.3%	-9.3%
Call IV 25d	59.7%	47.4%	89.0%	89.0%	49.6%
Put IV 25d	63.2%	50.1%	90.7%	90.7%	50.1%
Bid-Ask Spread %	40.36	11.19	84.06	80.16	26.46
Gamma HHI	0.25	0.21	0.37	0.21	0.24
Net GEX	377.0K	220.5K	673.8K	423.8K	280.6K
Net DEX	-9.1M	-18.2M	-3.3M	-8.7M	-3.4M
Net VEX	-83.4K	-99.7K	-70.9K	-71.1K	-82.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.16	0.95	0.36	0.74
Total Volume	4,819.364	1,888	16,260	5,845	2,652
Total OI	50,229.636	37,808	66,592	48,667	41,746

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-03-01	$11.57	$10.00	85.4%	24.5%	83.3%	65.8%	86.4%	1.7%	-16.9%	423.8K	-8.7M	-71.1K	0.36	80.16	N/A	N/A	4,292	1,553	38,077	10,590
2016-03-02	$12.28	$10.00	88.4%	25.3%	80.8%	70.1%	85.3%	3.7%	-18.5%	482.9K	-12.9M	-77.3K	0.32	60.04	N/A	N/A	5,020	1,620	38,190	10,625
2016-03-03	$12.45	$12.00	89.6%	19.8%	77.4%	71.7%	72.9%	5.1%	-2.7%	476.8K	-14.5M	-77.8K	0.31	57.02	N/A	N/A	4,596	1,422	37,880	10,824
2016-03-04	$12.40	$12.00	87.9%	19.5%	77.2%	69.4%	66.3%	6.0%	-3.0%	478.3K	-13.9M	-76.7K	0.16	84.06	N/A	N/A	5,397	878	37,934	10,854
2016-03-07	$12.52	$12.00	91.0%	19.7%	70.9%	73.7%	67.8%	6.7%	-6.7%	499.6K	-14.0M	-73.7K	0.57	48.76	N/A	N/A	1,954	1,105	37,874	11,001
2016-03-08	$12.05	$12.00	99.2%	19.5%	55.1%	85.2%	72.3%	2.0%	-4.3%	462.0K	-11.2M	-70.9K	0.57	83.11	N/A	N/A	1,879	1,068	37,897	11,128
2016-03-09	$12.51	$12.00	70.0%	20.1%	55.2%	44.2%	73.0%	5.1%	-6.7%	474.4K	-14.1M	-73.3K	0.17	41.86	N/A	N/A	13,854	2,406	37,939	11,468
2016-03-10	$12.75	$12.00	59.6%	17.1%	55.0%	29.6%	59.3%	4.8%	0.2%	673.8K	-18.2M	-99.7K	0.95	70.90	N/A	N/A	6,392	6,099	47,832	13,055
2016-03-11	$12.19	$12.00	59.4%	17.0%	55.7%	29.3%	60.4%	-0.5%	1.3%	519.8K	-10.6M	-94.9K	0.56	29.61	N/A	N/A	5,248	2,913	49,166	16,152
2016-03-14	$12.03	$12.00	60.6%	17.4%	50.2%	31.0%	61.4%	3.4%	1.3%	480.8K	-8.4M	-90.6K	0.84	11.19	N/A	N/A	2,369	1,991	49,968	16,624
2016-03-15	$12.17	$12.00	59.5%	17.1%	49.8%	29.5%	58.5%	2.7%	0.2%	378.7K	-8.9M	-91.2K	0.61	18.63	N/A	N/A	2,739	1,680	47,750	16,746
2016-03-16	$12.28	$12.00	57.3%	16.4%	47.3%	26.4%	52.5%	6.5%	0.1%	314.5K	-9.0M	-88.4K	0.67	52.35	N/A	N/A	2,304	1,551	45,768	16,598
2016-03-17	$12.28	$12.00	55.4%	15.9%	46.2%	23.7%	55.6%	4.1%	1.8%	220.5K	-9.9M	-85.4K	0.53	23.85	N/A	N/A	1,973	1,036	45,475	16,666
2016-03-18	$12.71	$12.00	52.6%	15.1%	46.7%	19.7%	51.0%	5.1%	2.7%	261.2K	-11.9M	-90.7K	0.60	32.58	N/A	N/A	1,961	1,177	45,899	16,775
2016-03-21	$12.67	$12.00	52.0%	14.9%	45.2%	18.9%	51.7%	4.7%	1.4%	264.3K	-5.9M	-89.5K	0.71	31.45	N/A	N/A	1,271	899	28,347	9,461
2016-03-22	$12.55	$12.00	49.5%	14.2%	45.4%	15.5%	51.2%	2.5%	2.8%	267.3K	-5.4M	-89.2K	0.59	22.44	N/A	N/A	1,331	788	28,977	9,634
2016-03-23	$12.06	$12.00	49.7%	14.3%	43.7%	15.7%	49.1%	0.8%	2.4%	238.2K	-3.4M	-83.0K	0.75	27.57	N/A	N/A	1,098	828	29,606	9,694
2016-03-24	$12.18	$12.00	49.4%	14.2%	43.7%	15.2%	50.9%	3.5%	0.2%	249.0K	-3.3M	-81.6K	0.73	17.72	N/A	N/A	1,094	794	30,059	9,768
2016-03-28	$12.29	$12.00	51.4%	14.7%	43.8%	18.0%	52.9%	5.6%	-1.4%	265.1K	-3.9M	-81.5K	0.71	20.79	N/A	N/A	1,231	871	30,173	9,789
2016-03-29	$12.48	$12.00	50.8%	14.6%	40.7%	17.2%	49.3%	3.0%	-0.6%	287.4K	-4.4M	-82.7K	0.80	25.33	N/A	N/A	1,613	1,294	30,457	9,863
2016-03-30	$12.51	$12.00	49.5%	14.2%	40.7%	15.4%	49.7%	1.5%	-1.6%	294.7K	-4.4M	-82.2K	0.68	22.11	N/A	N/A	2,258	1,527	30,619	10,104
2016-03-31	$12.29	$12.00	48.5%	13.9%	35.6%	14.0%	48.7%	0.5%	0.1%	280.6K	-3.4M	-82.9K	0.74	26.46	N/A	N/A	1,521	1,131	31,114	10,632