BOX Options History — June 2016

In June 2016, BOX traded between $10.00 and $12.83. ATM implied volatility averaged 42.8%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 9.3% (HV 20d: 52.1%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2016-06-02: Highest Volume — 14,144 contracts
  • 2016-06-02: Largest IV drop — 32.7% change
  • 2016-06-01: Highest IV Rank — 34.9%
  • 2016-06-01: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.30$10.00$12.83$12.83$10.31
Max Pain$12.09$12.00$13.00$13.00$12.00
ATM IV42.8%37.5%63.3%63.3%41.8%
Expected Move12.3%10.8%18.2%18.2%12.0%
HV 20d52.1%24.5%64.5%24.5%48.9%
HV 60d37.3%29.0%42.6%29.0%42.3%
IV Rank6.6%0.0%34.9%34.9%5.9%
IV Percentile8.4%0.0%69.0%69.0%3.6%
Term Structure3.4%-11.9%8.0%-11.9%3.6%
VWIV43.1%36.2%64.1%64.1%40.9%
Skew 25d3.6%-5.5%7.2%2.4%6.7%
Skew 10d4.2%-20.4%22.9%7.9%12.5%
Call IV 25d41.4%37.6%63.8%63.8%40.2%
Put IV 25d45.0%40.2%66.2%66.2%46.9%
Bid-Ask Spread %53.1413.70111.1825.56111.18
Gamma HHI0.240.200.330.260.33
Net GEX238.3K139.6K474.2K474.2K139.6K
Net DEX-1.6M-9.6M2.0M-9.6M-1.0M
Net VEX-70.9K-89.9K-55.3K-89.9K-55.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.170.960.930.69
Total Volume4,682.3182,70414,14412,2373,383
Total OI48,705.59134,97159,22947,54235,314

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$12.83$13.0063.3%18.2%24.5%34.9%64.1%2.4%-11.9%474.2K-9.6M-89.9K0.9325.56N/AN/A6,3525,88537,12610,416
2016-06-02$11.36$13.0042.6%12.1%49.9%5.8%40.7%3.9%6.1%215.0K1.6M-68.1K0.5726.67N/AN/A9,0205,12440,97113,224
2016-06-03$11.65$12.0038.4%11.5%50.5%0.0%37.9%3.5%4.9%339.3K-1.2M-76.6K0.5817.91N/AN/A2,7941,63244,44613,343
2016-06-06$11.73$12.0039.6%11.3%50.0%1.7%39.6%3.6%7.3%351.9K-1.5M-78.9K0.8818.46N/AN/A2,4122,12744,38213,449
2016-06-07$11.78$12.0039.4%11.3%49.6%1.4%38.3%2.6%6.7%340.0K-1.4M-77.9K0.7719.01N/AN/A2,6602,03844,40314,008
2016-06-08$12.00$12.0039.3%11.3%49.0%1.3%36.2%4.2%7.4%375.0K-2.8M-81.2K0.5519.86N/AN/A2,5361,40444,20214,064
2016-06-09$11.81$12.0039.0%11.2%49.3%0.8%38.2%4.6%8.0%299.5K-1.6M-79.4K0.7213.70N/AN/A2,1371,53244,46114,052
2016-06-10$11.22$12.0041.5%11.9%52.3%4.4%40.2%3.4%6.6%176.2K2.0M-71.7K0.7827.88N/AN/A2,0521,60244,52314,168
2016-06-13$11.19$12.0044.6%12.8%52.2%8.6%43.1%6.4%3.0%156.3K2.0M-71.3K0.7319.33N/AN/A2,0831,53044,62214,225
2016-06-14$11.31$12.0044.6%12.8%52.2%8.6%42.7%7.2%4.7%172.1K1.5M-72.4K0.7521.03N/AN/A2,1901,64544,65314,277
2016-06-15$11.37$12.0043.5%12.5%52.3%7.2%51.4%4.3%5.0%165.3K252.7K-78.6K0.8378.36N/AN/A1,8891,57544,73014,356
2016-06-16$11.46$12.0042.4%12.2%52.4%5.7%42.0%4.4%7.6%184.0K1.1M-73.7K0.8244.97N/AN/A1,9021,56944,75614,369
2016-06-17$11.29$12.0042.9%12.3%52.6%6.2%42.6%2.6%6.5%218.5K1.7M-71.1K0.9525.67N/AN/A1,6921,60244,83514,394
2016-06-20$11.55$12.0038.6%11.1%53.3%0.3%39.5%6.1%1.6%231.9K-4.9M-68.9K0.6519.70N/AN/A1,9491,27328,6136,703
2016-06-21$11.53$12.0037.5%10.8%53.1%0.0%39.4%3.5%1.6%246.2K-5.0M-71.1K0.7081.70N/AN/A1,8771,32329,0086,816
2016-06-22$11.22$12.0043.0%12.3%53.1%7.6%43.2%4.7%-0.9%227.5K-4.2M-67.9K0.96102.03N/AN/A1,3791,32529,4406,886
2016-06-23$11.45$12.0039.4%11.3%53.8%2.6%39.5%2.3%2.8%244.2K-4.2M-68.5K0.6095.40N/AN/A2,0081,19629,4176,938
2016-06-24$11.11$12.0045.8%13.1%54.7%11.5%44.2%5.8%0.9%226.3K-3.9M-68.3K0.6598.46N/AN/A1,7871,16530,1526,949
2016-06-27$10.00$12.0048.0%13.8%64.5%14.5%49.0%-5.5%-3.7%143.0K-953.2K-55.3K0.17101.96N/AN/A8,0911,35430,1946,948
2016-06-28$10.16$12.0042.5%12.2%64.3%6.9%51.8%-1.2%5.7%159.5K-1.3M-58.2K0.75100.78N/AN/A1,5951,20129,5917,128
2016-06-29$10.30$12.0043.7%12.5%64.0%8.6%44.1%2.6%2.3%157.1K-1.3M-56.6K0.8799.46N/AN/A1,6721,44927,8297,142
2016-06-30$10.31$12.0041.8%12.0%48.9%5.9%40.9%6.7%3.6%139.6K-1.0M-55.3K0.69111.18N/AN/A2,0061,37727,9827,332