BOX Options History — July 2016

In July 2016, BOX traded between $10.02 and $11.74. ATM implied volatility averaged 41.7%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 2.1% (HV 20d: 43.8%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2016-07-13: Highest Volume — 5,900 contracts
2016-07-13: Largest IV drop — 17.0% change
2016-07-12: Highest IV Rank — 18.8%
2016-07-07: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.65	$10.02	$11.74	$10.33	$11.64
Max Pain	$10.35	$10.00	$12.00	$12.00	$11.00
ATM IV	41.7%	38.0%	51.1%	41.1%	39.3%
Expected Move	11.9%	10.9%	13.6%	11.8%	11.3%
HV 20d	43.8%	25.6%	48.1%	47.6%	34.7%
HV 60d	42.8%	42.1%	45.0%	42.1%	45.0%
IV Rank	5.8%	0.7%	18.8%	5.0%	2.4%
IV Percentile	7.3%	0.4%	34.9%	3.2%	2.8%
Term Structure	8.6%	5.0%	12.2%	6.8%	8.1%
VWIV	42.3%	37.3%	50.1%	43.2%	41.7%
Skew 25d	2.7%	-1.4%	7.2%	3.2%	-0.2%
Skew 10d	10.5%	-5.5%	26.0%	-5.5%	6.7%
Call IV 25d	42.1%	37.9%	46.3%	44.9%	44.3%
Put IV 25d	44.9%	38.6%	49.6%	48.1%	44.1%
Bid-Ask Spread %	82.76	28.55	99.66	95.31	60.61
Gamma HHI	0.33	0.30	0.38	0.35	0.31
Net GEX	249.6K	134.3K	416.1K	150.1K	414.8K
Net DEX	-4.6M	-10.3M	-609.7K	-1.5M	-10.1M
Net VEX	-65.4K	-77.9K	-52.9K	-59.4K	-77.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.24	0.96	0.77	0.61
Total Volume	3,169.7	2,216	5,900	3,058	2,216
Total OI	38,333.3	35,879	41,423	35,879	39,316

Daily Data (20 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
2016-07-01	$10.33	$12.00	41.1%	11.8%	47.6%	5.0%	43.2%	3.2%	6.8%	150.1K	-1.5M	-59.4K	0.77	95.31	N/A	N/A	1,728	1,330	28,583	7,296
2016-07-05	$10.02	$11.00	43.2%	13.5%	48.1%	7.9%	50.1%	4.4%	6.2%	134.3K	-609.7K	-52.9K	0.68	90.46	N/A	N/A	1,738	1,183	28,939	7,382
2016-07-06	$10.06	$11.00	43.6%	13.1%	48.1%	8.4%	48.6%	2.4%	7.7%	146.3K	-1.1M	-56.9K	0.76	90.73	N/A	N/A	1,426	1,090	29,254	7,432
2016-07-07	$10.04	$11.00	48.4%	13.6%	47.2%	15.2%	46.8%	3.9%	5.0%	144.9K	-1.2M	-56.2K	0.65	87.99	N/A	N/A	1,683	1,096	29,339	7,436
2016-07-08	$10.14	$10.00	40.5%	12.6%	47.6%	4.1%	44.2%	4.6%	6.5%	154.5K	-1.3M	-56.3K	0.69	88.50	N/A	N/A	1,654	1,138	29,856	7,424
2016-07-11	$10.35	$10.00	44.4%	12.1%	45.6%	9.5%	41.9%	2.1%	10.2%	162.2K	-1.9M	-57.6K	0.96	88.73	N/A	N/A	1,572	1,511	30,040	7,336
2016-07-12	$10.70	$10.00	51.1%	12.2%	47.5%	18.8%	43.6%	3.8%	5.4%	183.0K	-3.4M	-63.7K	0.29	91.84	N/A	N/A	3,697	1,074	30,086	7,575
2016-07-13	$10.54	$10.00	42.4%	12.2%	47.4%	6.8%	43.5%	2.2%	9.8%	202.4K	-3.7M	-66.8K	0.24	94.06	N/A	N/A	4,777	1,123	32,262	7,571
2016-07-14	$10.53	$10.00	40.3%	11.6%	47.3%	3.9%	42.7%	2.7%	11.8%	235.0K	-4.1M	-67.1K	0.29	94.31	N/A	N/A	3,625	1,054	33,801	7,506
2016-07-15	$10.71	$10.00	38.9%	11.2%	47.7%	2.0%	39.9%	0.5%	12.2%	267.3K	-4.3M	-68.7K	0.50	91.49	N/A	N/A	2,140	1,076	33,863	7,560
2016-07-18	$10.76	$10.00	40.9%	11.7%	47.6%	4.7%	41.4%	7.2%	8.8%	280.4K	-6.0M	-69.5K	0.52	91.89	N/A	N/A	1,893	993	31,739	5,869
2016-07-19	$10.60	$10.00	39.5%	11.3%	46.9%	2.8%	42.9%	1.7%	10.6%	278.3K	-5.5M	-67.1K	0.67	89.37	N/A	N/A	1,567	1,053	32,387	5,941
2016-07-20	$10.83	$10.00	40.3%	11.5%	47.7%	3.8%	37.3%	3.1%	9.1%	302.7K	-6.0M	-68.3K	0.72	92.19	N/A	N/A	1,579	1,132	32,465	6,030
2016-07-21	$10.62	$10.00	39.9%	11.4%	47.3%	3.3%	40.3%	0.2%	7.9%	286.7K	-5.6M	-68.2K	0.84	99.66	N/A	N/A	1,414	1,183	32,529	6,066
2016-07-22	$10.70	$10.00	38.6%	11.1%	46.7%	1.5%	39.4%	2.8%	10.0%	281.7K	-5.3M	-66.4K	0.79	72.28	N/A	N/A	1,483	1,173	32,411	6,197
2016-07-25	$10.71	$10.00	40.9%	11.7%	45.6%	4.7%	41.8%	1.2%	6.6%	296.7K	-5.8M	-68.0K	0.80	28.55	N/A	N/A	1,463	1,169	32,539	6,198
2016-07-26	$11.01	$10.00	42.0%	12.1%	25.7%	6.3%	38.2%	5.4%	8.0%	326.3K	-6.9M	-71.2K	0.68	82.56	N/A	N/A	1,565	1,057	32,605	6,196
2016-07-27	$10.96	$10.00	40.8%	11.7%	25.6%	4.6%	38.5%	5.2%	9.2%	328.8K	-6.7M	-69.2K	0.75	74.88	N/A	N/A	1,291	967	32,642	6,182
2016-07-28	$11.74	$11.00	38.0%	10.9%	34.3%	0.7%	39.1%	-1.4%	11.3%	416.1K	-10.3M	-77.9K	0.25	49.76	N/A	N/A	3,583	898	32,617	6,196
2016-07-29	$11.64	$11.00	39.3%	11.3%	34.7%	2.4%	41.7%	-0.2%	8.1%	414.8K	-10.1M	-77.3K	0.61	60.61	N/A	N/A	1,373	843	33,127	6,189