BOX Options History — August 2016

In August 2016, BOX traded between $11.81 and $13.64. ATM implied volatility averaged 50.3%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 21.3% (HV 20d: 29.0%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.44.

Notable Days

2016-08-31: Highest Volume — 14,566 contracts
2016-08-10: Largest IV spike — 23.4% change
2016-08-31: Highest IV Rank — 39.0%
2016-08-31: Largest Expected Move — 18.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.65	$11.81	$13.64	$11.91	$13.64
Max Pain	$11.09	$11.00	$12.00	$11.00	$12.00
ATM IV	50.3%	39.1%	65.7%	39.6%	65.7%
Expected Move	14.9%	11.3%	18.8%	11.4%	18.8%
HV 20d	29.0%	20.6%	35.2%	35.2%	21.4%
HV 60d	43.3%	36.9%	45.0%	45.0%	37.1%
IV Rank	17.8%	2.2%	39.0%	2.9%	39.0%
IV Percentile	36.7%	2.8%	79.8%	4.8%	79.8%
Term Structure	-1.6%	-17.7%	27.1%	11.1%	-17.7%
VWIV	51.6%	39.7%	66.0%	39.7%	66.0%
Skew 25d	3.2%	-5.5%	19.8%	19.8%	4.7%
Skew 10d	9.6%	-5.2%	35.2%	29.4%	1.7%
Call IV 25d	51.4%	26.5%	65.7%	26.5%	65.7%
Put IV 25d	54.6%	44.8%	70.4%	46.3%	70.4%
Bid-Ask Spread %	69.71	29.00	100.56	57.85	69.13
Gamma HHI	0.27	0.19	0.33	0.33	0.19
Net GEX	536.1K	452.0K	701.3K	452.0K	701.3K
Net DEX	-16.3M	-24.7M	-11.0M	-11.1M	-24.7M
Net VEX	-79.8K	-85.0K	-76.2K	-76.2K	-85.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.01	0.66	0.62	0.32
Total Volume	3,118.826	154	14,566	2,186	14,566
Total OI	40,649.348	39,371	45,791	39,547	45,791

Daily Data (23 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
2016-08-01	$11.91	$11.00	39.6%	11.4%	35.2%	2.9%	39.7%	19.8%	11.1%	452.0K	-11.1M	-76.2K	0.62	57.85	N/A	N/A	1,348	838	33,341	6,206
2016-08-02	$11.81	$11.00	40.1%	11.5%	32.9%	3.6%	40.3%	1.8%	7.6%	460.1K	-11.0M	-78.4K	0.58	29.00	N/A	N/A	1,419	829	33,555	6,217
2016-08-03	$11.81	$11.00	39.3%	11.3%	32.9%	2.5%	40.2%	1.7%	8.8%	467.4K	-11.6M	-80.0K	0.59	100.56	N/A	N/A	1,400	831	33,667	6,217
2016-08-04	$11.92	$11.00	40.7%	14.1%	32.7%	4.5%	49.6%	2.7%	-1.9%	479.9K	-11.7M	-79.2K	0.36	90.89	N/A	N/A	2,300	829	33,683	6,216
2016-08-05	$12.18	$11.00	39.1%	14.0%	33.1%	2.2%	46.6%	2.2%	0.4%	487.7K	-12.8M	-77.4K	0.66	35.73	N/A	N/A	1,296	856	33,259	6,217
2016-08-08	$12.29	$11.00	39.1%	13.9%	32.8%	2.2%	46.5%	3.5%	1.4%	507.1K	-13.8M	-78.9K	0.60	35.40	N/A	N/A	1,563	943	33,194	6,232
2016-08-09	$12.36	$11.00	39.7%	14.2%	31.5%	3.0%	45.3%	0.5%	1.1%	506.3K	-13.8M	-76.6K	0.64	64.08	N/A	N/A	1,298	836	33,077	6,294
2016-08-10	$12.31	$11.00	49.0%	14.0%	30.7%	15.9%	45.6%	1.9%	0.7%	504.4K	-13.8M	-78.7K	0.60	33.53	N/A	N/A	1,361	811	33,187	6,325
2016-08-11	$12.42	$11.00	49.0%	14.1%	30.5%	15.9%	45.2%	3.8%	0.6%	525.1K	-14.3M	-77.0K	0.56	37.58	N/A	N/A	1,439	810	33,362	6,340
2016-08-12	$12.48	$11.00	48.5%	13.9%	30.3%	15.2%	45.1%	2.1%	0.6%	564.3K	-14.8M	-78.7K	0.55	89.79	N/A	N/A	1,455	799	33,494	6,340
2016-08-15	$12.82	$11.00	50.4%	14.4%	31.1%	17.9%	51.9%	3.3%	-1.9%	551.5K	-17.3M	-79.0K	0.46	89.84	N/A	N/A	1,715	788	33,566	6,340
2016-08-16	$12.72	$11.00	50.5%	14.5%	30.4%	18.0%	51.4%	3.7%	-1.1%	525.8K	-16.4M	-78.1K	0.38	34.90	N/A	N/A	2,382	913	33,419	6,368
2016-08-17	$12.60	$11.00	50.9%	14.6%	30.8%	18.6%	55.5%	2.7%	-0.9%	522.6K	-15.6M	-77.9K	0.01	63.37	N/A	N/A	916	12	33,556	6,448
2016-08-18	$12.74	$11.00	51.3%	14.7%	29.0%	19.1%	53.5%	0.4%	-3.8%	547.9K	-16.8M	-79.1K	0.14	91.00	N/A	N/A	135	19	34,062	6,455
2016-08-19	$12.90	$11.00	52.2%	15.0%	29.1%	20.4%	53.6%	3.2%	-1.6%	490.4K	-17.5M	-79.7K	0.38	86.22	N/A	N/A	2,729	1,031	34,047	6,457
2016-08-22	$12.90	$11.00	53.3%	15.3%	29.1%	21.8%	55.1%	0.1%	27.1%	524.1K	-16.9M	-80.1K	0.50	90.87	N/A	N/A	1,691	841	33,781	6,053
2016-08-23	$13.32	$11.00	53.8%	15.4%	29.5%	22.6%	56.2%	-5.5%	-8.1%	558.7K	-20.9M	-81.8K	0.44	90.15	N/A	N/A	2,441	1,086	34,127	6,159
2016-08-24	$13.07	$11.00	57.4%	16.5%	30.8%	27.5%	55.9%	0.1%	-9.3%	532.7K	-18.7M	-82.9K	0.22	86.61	N/A	N/A	846	189	34,347	6,264
2016-08-25	$13.16	$11.00	57.4%	16.4%	21.2%	27.5%	56.7%	4.9%	-10.4%	561.2K	-19.2M	-81.3K	0.35	85.07	N/A	N/A	2,585	902	34,938	6,433
2016-08-26	$13.03	$11.00	62.2%	17.8%	21.3%	34.3%	60.2%	5.0%	-11.1%	567.1K	-19.4M	-83.3K	0.30	90.70	N/A	N/A	3,224	973	35,569	6,457
2016-08-29	$13.31	$11.00	63.6%	18.2%	21.1%	36.1%	60.3%	6.2%	-13.1%	642.8K	-21.4M	-83.7K	0.63	83.10	N/A	N/A	1,735	1,094	37,283	6,540
2016-08-30	$13.32	$12.00	65.3%	18.7%	20.6%	38.5%	65.6%	4.9%	-15.8%	650.7K	-22.0M	-83.2K	0.21	68.01	N/A	N/A	4,694	965	37,348	6,704
2016-08-31	$13.64	$12.00	65.7%	18.8%	21.4%	39.0%	66.0%	4.7%	-17.7%	701.3K	-24.7M	-85.0K	0.32	69.13	N/A	N/A	11,032	3,534	38,850	6,941