BOX Options History — May 2016

In May 2016, BOX traded between $11.58 and $12.92. ATM implied volatility averaged 53.3%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 28.1% (HV 20d: 25.2%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.49.

Notable Days

2016-05-18: Highest Volume — 5,354 contracts
2016-05-11: Largest IV spike — 23.4% change
2016-05-31: Highest IV Rank — 33.7%
2016-05-31: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.98	$11.58	$12.92	$12.92	$12.58
Max Pain	$13.95	$13.00	$15.00	$13.00	$13.00
ATM IV	53.3%	44.0%	62.5%	45.2%	62.5%
Expected Move	15.8%	13.0%	17.9%	13.0%	17.9%
HV 20d	25.2%	20.8%	28.8%	24.6%	26.2%
HV 60d	35.9%	28.4%	50.3%	50.3%	28.8%
IV Rank	20.8%	7.7%	33.7%	9.4%	33.7%
IV Percentile	40.1%	8.3%	67.1%	12.7%	67.1%
Term Structure	-2.5%	-11.5%	9.7%	7.0%	-11.5%
VWIV	55.3%	41.6%	62.8%	41.6%	62.8%
Skew 25d	3.8%	-0.9%	6.9%	3.2%	5.4%
Skew 10d	5.3%	-11.3%	22.0%	17.9%	22.0%
Call IV 25d	54.7%	43.1%	61.1%	43.1%	61.1%
Put IV 25d	58.4%	46.3%	66.5%	46.3%	66.5%
Bid-Ask Spread %	68.32	19.03	105.99	19.69	19.03
Gamma HHI	0.24	0.23	0.25	0.24	0.25
Net GEX	299.2K	226.9K	433.9K	369.6K	433.9K
Net DEX	-4.4M	-9.3M	-2.1M	-9.3M	-8.2M
Net VEX	-84.8K	-100.0K	-79.3K	-100.0K	-87.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.18	1.17	0.39	0.85
Total Volume	3,516.619	2,759	5,354	3,229	5,106
Total OI	46,193.333	43,855	49,497	43,855	46,299

Daily Data (21 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
2016-05-02	$12.92	$13.00	45.2%	13.0%	24.6%	9.4%	41.6%	3.2%	7.0%	369.6K	-9.3M	-100.0K	0.39	19.69	N/A	N/A	2,319	910	33,830	10,025
2016-05-03	$12.51	$13.00	45.6%	13.1%	25.8%	9.9%	42.0%	4.4%	9.7%	331.5K	-7.1M	-96.0K	0.32	28.37	N/A	N/A	2,612	825	34,167	10,153
2016-05-04	$12.32	$13.00	48.9%	14.0%	25.3%	14.6%	43.9%	1.8%	2.7%	313.9K	-6.6M	-94.3K	0.29	94.07	N/A	N/A	2,856	831	34,407	10,183
2016-05-05	$12.06	$15.00	44.9%	15.9%	25.2%	8.9%	55.7%	4.0%	-1.8%	282.3K	-5.0M	-89.9K	0.41	100.86	N/A	N/A	2,815	1,153	34,646	10,214
2016-05-06	$11.79	$15.00	45.7%	15.8%	26.0%	10.0%	54.0%	3.5%	-2.5%	250.2K	-3.1M	-83.1K	0.43	84.28	N/A	N/A	2,253	962	34,968	10,481
2016-05-09	$11.58	$15.00	45.9%	15.6%	26.7%	10.3%	55.3%	2.9%	-3.7%	226.9K	-2.1M	-79.8K	0.34	44.85	N/A	N/A	2,432	830	35,321	10,616
2016-05-10	$11.91	$15.00	44.0%	15.6%	28.8%	7.7%	58.1%	1.3%	-2.8%	280.3K	-4.1M	-85.7K	0.31	39.63	N/A	N/A	2,428	759	35,653	10,625
2016-05-11	$11.86	$15.00	54.3%	15.6%	27.6%	22.1%	56.6%	-0.9%	0.3%	270.7K	-3.9M	-86.8K	0.33	36.07	N/A	N/A	2,301	758	35,817	10,672
2016-05-12	$11.67	$15.00	56.2%	16.1%	27.2%	24.7%	54.9%	2.9%	-3.1%	241.6K	-3.1M	-83.0K	0.37	42.73	N/A	N/A	2,284	842	35,815	10,712
2016-05-13	$11.58	$15.00	56.3%	16.2%	27.2%	25.0%	60.5%	5.3%	-2.5%	230.4K	-2.3M	-80.1K	0.46	54.65	N/A	N/A	2,227	1,027	35,873	10,783
2016-05-16	$11.70	$15.00	56.3%	16.1%	26.5%	24.9%	60.0%	6.0%	-2.9%	233.0K	-2.6M	-80.3K	0.53	64.22	N/A	N/A	1,965	1,051	35,905	10,972
2016-05-17	$11.66	$15.00	57.9%	16.6%	25.0%	27.2%	56.0%	5.6%	-3.5%	233.6K	-2.4M	-80.0K	0.55	88.30	N/A	N/A	1,918	1,050	35,932	11,004
2016-05-18	$11.64	$15.00	58.2%	16.7%	24.9%	27.6%	59.3%	3.4%	-5.9%	230.0K	-2.3M	-79.4K	0.18	92.64	N/A	N/A	4,538	816	36,165	11,003
2016-05-19	$11.65	$13.00	57.1%	16.4%	23.9%	26.1%	58.0%	4.0%	-2.4%	278.3K	-2.9M	-80.8K	0.34	86.00	N/A	N/A	2,474	831	38,179	10,939
2016-05-20	$11.71	$13.00	56.4%	16.2%	20.8%	25.1%	58.2%	4.3%	-2.6%	298.7K	-2.5M	-80.3K	0.51	87.31	N/A	N/A	2,185	1,122	38,468	11,029
2016-05-23	$11.84	$13.00	57.8%	16.6%	21.6%	27.0%	57.2%	4.0%	-6.9%	308.9K	-3.6M	-79.3K	0.33	86.41	N/A	N/A	2,077	682	35,273	10,051
2016-05-24	$12.10	$13.00	58.7%	16.8%	23.6%	28.4%	56.6%	6.9%	-7.6%	342.3K	-5.0M	-84.5K	0.30	83.60	N/A	N/A	2,218	670	35,370	10,073
2016-05-25	$12.12	$13.00	56.9%	16.3%	23.7%	25.7%	56.1%	6.1%	-5.7%	359.1K	-5.5M	-84.1K	0.94	85.60	N/A	N/A	2,113	1,987	35,964	10,082
2016-05-26	$12.10	$13.00	56.0%	16.1%	23.7%	24.6%	56.6%	3.8%	-2.7%	369.4K	-5.5M	-82.8K	1.04	90.37	N/A	N/A	1,939	2,019	36,217	9,917
2016-05-27	$12.34	$13.00	55.0%	15.8%	25.0%	23.1%	58.1%	1.4%	-4.7%	398.0K	-6.1M	-84.2K	1.17	105.99	N/A	N/A	1,685	1,979	36,275	9,982
2016-05-31	$12.58	$13.00	62.5%	17.9%	26.2%	33.7%	62.8%	5.4%	-11.5%	433.9K	-8.2M	-87.4K	0.85	19.03	N/A	N/A	2,767	2,339	36,259	10,040