BOX Options History — April 2016

In April 2016, BOX traded between $12.04 and $13.37. ATM implied volatility averaged 46.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 17.7% (HV 20d: 28.9%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2016-04-22: Highest Volume — 6,754 contracts
  • 2016-04-08: Largest IV drop — 12.1% change
  • 2016-04-06: Highest IV Rank — 23.4%
  • 2016-04-05: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.64$12.04$13.37$12.33$12.94
Max Pain$12.14$12.00$13.00$12.00$13.00
ATM IV46.7%42.1%55.2%48.3%43.0%
Expected Move13.2%12.1%14.6%13.8%12.3%
HV 20d28.9%23.6%36.6%35.2%25.1%
HV 60d60.3%50.5%67.0%67.0%50.5%
IV Rank11.4%5.0%23.4%13.7%6.3%
IV Percentile17.1%3.2%46.8%22.2%4.8%
Term Structure6.2%1.2%10.8%1.2%7.7%
VWIV45.0%36.3%48.8%48.8%36.3%
Skew 25d3.2%-0.6%7.0%2.3%5.5%
Skew 10d10.1%-4.1%35.0%-0.5%23.1%
Call IV 25d45.3%40.9%50.0%48.9%41.2%
Put IV 25d48.5%43.1%52.8%51.2%46.7%
Bid-Ask Spread %37.7917.0863.3032.8623.40
Gamma HHI0.260.230.320.240.24
Net GEX293.1K175.9K387.3K292.0K372.6K
Net DEX-5.4M-11.5M-643.5K-3.5M-9.7M
Net VEX-88.3K-107.3K-75.4K-83.0K-103.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.131.230.660.38
Total Volume3,402.4762,1616,7542,7662,914
Total OI42,347.52436,52045,37042,06143,736

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$12.33$12.0048.3%13.8%35.2%13.7%48.8%2.3%1.2%292.0K-3.5M-83.0K0.6632.86N/AN/A1,6651,10131,36510,696
2016-04-04$12.52$12.0047.8%14.2%35.6%13.0%48.0%2.8%4.0%322.7K-4.5M-83.9K0.7339.29N/AN/A1,4401,04531,65910,800
2016-04-05$12.21$12.0050.7%14.6%36.6%17.1%47.1%2.6%3.8%277.1K-2.9M-80.7K0.7731.86N/AN/A1,23595231,74010,829
2016-04-06$12.47$12.0055.2%14.4%34.6%23.4%47.5%2.4%4.2%324.6K-4.2M-81.8K0.6144.58N/AN/A1,34281931,81710,841
2016-04-07$12.20$12.0053.3%14.2%32.9%20.8%47.9%4.8%6.5%271.4K-2.3M-76.5K1.1737.28N/AN/A1,5981,87532,01410,884
2016-04-08$12.04$12.0046.9%14.3%32.2%11.7%48.6%3.6%3.3%224.9K-1.3M-80.1K1.2244.17N/AN/A1,4701,79032,33711,678
2016-04-11$12.06$12.0051.9%13.9%28.1%18.8%48.2%3.0%4.8%201.0K-1.3M-78.9K1.1856.61N/AN/A1,4981,76832,52911,780
2016-04-12$12.04$12.0051.5%14.1%27.7%18.2%48.8%5.0%3.3%179.5K-643.5K-75.4K1.1461.47N/AN/A1,5301,74132,58711,956
2016-04-13$12.30$12.0047.4%13.6%28.5%12.4%47.0%3.1%6.9%175.9K-2.0M-77.1K1.2351.55N/AN/A1,4471,77832,65812,007
2016-04-14$12.50$12.0045.9%13.2%28.9%10.3%46.1%2.7%6.8%327.8K-3.7M-82.0K1.0439.43N/AN/A1,8041,87332,81712,219
2016-04-15$12.51$12.0044.0%12.6%28.9%7.6%44.5%2.2%8.5%224.6K-3.7M-80.9K0.8950.95N/AN/A2,0231,79333,11212,258
2016-04-18$12.74$12.0044.8%12.8%26.9%8.7%42.4%-0.6%6.3%242.9K-4.7M-84.1K0.5141.11N/AN/A3,2221,64327,3059,215
2016-04-19$12.98$12.0044.1%12.7%27.6%7.9%39.9%5.6%8.3%289.8K-6.3M-89.1K0.3530.99N/AN/A2,70995928,7299,337
2016-04-20$12.81$12.0044.0%12.6%27.8%7.7%44.5%4.0%9.1%286.4K-5.8M-89.3K0.3431.14N/AN/A2,54285729,1529,577
2016-04-21$13.00$12.0043.4%12.4%23.6%6.8%42.6%4.4%7.9%296.4K-6.7M-91.3K0.3334.87N/AN/A2,35177629,1949,605
2016-04-22$13.37$12.0043.8%12.6%25.1%7.4%42.4%0.7%5.6%331.4K-8.6M-96.7K0.1323.10N/AN/A5,95779729,4829,678
2016-04-25$13.21$12.0043.5%12.5%25.7%7.0%43.6%2.6%7.2%387.3K-11.5M-107.3K0.3418.96N/AN/A2,64589533,4879,680
2016-04-26$13.08$12.0044.9%12.9%25.8%8.9%45.6%1.3%4.4%373.1K-10.8M-106.1K0.3219.61N/AN/A2,55281933,5529,874
2016-04-27$13.04$13.0043.0%12.3%25.8%6.3%48.3%1.9%9.4%375.7K-9.8M-102.7K0.3263.30N/AN/A2,53480133,6349,897
2016-04-28$13.04$13.0042.1%12.1%24.8%5.0%36.6%7.0%10.8%377.7K-10.2M-104.0K0.3817.08N/AN/A2,09779533,6319,950
2016-04-29$12.94$13.0043.0%12.3%25.1%6.3%36.3%5.5%7.7%372.6K-9.7M-103.6K0.3823.40N/AN/A2,11280233,7639,973