BOX Options History — September 2016

In September 2016, BOX traded between $13.72 and $15.74. ATM implied volatility averaged 37.7%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 9.2% (HV 20d: 28.5%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2016-09-07: Highest Volume — 11,062 contracts
  • 2016-09-07: Largest IV spike — 27.8% change
  • 2016-09-12: Highest IV Rank — 16.5%
  • 2016-09-12: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.60$13.72$15.74$13.97$15.74
Max Pain$13.81$12.00$14.00$12.00$14.00
ATM IV37.7%33.7%45.6%37.2%34.6%
Expected Move10.6%9.7%11.9%10.7%9.9%
HV 20d28.5%21.6%32.2%22.2%30.0%
HV 60d33.6%27.8%37.8%37.3%28.2%
IV Rank5.6%0.0%16.5%0.0%1.3%
IV Percentile4.8%0.0%25.8%0.0%0.8%
Term Structure4.0%-1.2%8.8%1.1%1.9%
VWIV36.4%30.9%42.5%38.1%35.3%
Skew 25d2.6%-2.2%6.1%3.2%3.3%
Skew 10d14.1%-7.5%132.4%1.5%22.1%
Call IV 25d37.0%33.0%41.6%35.7%34.5%
Put IV 25d39.6%36.5%43.2%38.9%37.8%
Bid-Ask Spread %45.9620.45111.5533.7846.09
Gamma HHI0.290.190.590.190.31
Net GEX674.5K441.9K1.6M872.9K638.0K
Net DEX-22.6M-31.7M-15.8M-30.5M-23.8M
Net VEX-85.1K-89.6K-82.6K-82.8K-87.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.230.660.360.50
Total Volume4,516.7142,31711,0626,9563,375
Total OI44,184.57132,25955,27455,27435,106

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$13.97$12.0037.2%10.7%22.2%0.0%38.1%3.2%1.1%872.9K-30.5M-82.8K0.3633.78N/AN/A5,1261,83044,90910,365
2016-09-02$14.13$12.0033.8%9.7%21.6%0.0%36.1%2.0%4.3%815.6K-31.7M-84.7K0.2748.50N/AN/A7,4072,01244,28410,303
2016-09-06$14.28$14.0035.7%10.6%21.7%2.5%32.8%3.6%8.8%867.7K-29.2M-85.6K0.2632.15N/AN/A5,6571,48941,89510,898
2016-09-07$14.59$14.0045.6%11.1%22.2%15.5%42.5%5.2%7.4%892.7K-30.8M-88.5K0.40111.55N/AN/A7,9123,15041,24811,144
2016-09-08$14.27$14.0040.1%10.8%24.4%9.6%39.5%2.6%6.8%759.3K-25.3M-89.6K0.6134.34N/AN/A3,7372,27641,33212,772
2016-09-09$13.72$14.0037.9%11.0%29.4%6.3%41.1%-2.2%7.4%539.3K-17.8M-84.7K0.3731.29N/AN/A3,7741,39040,50812,935
2016-09-12$14.30$14.0044.6%11.9%32.2%16.5%40.6%-1.0%4.3%626.4K-24.7M-85.2K0.2361.67N/AN/A5,3921,22540,52113,095
2016-09-13$14.40$14.0043.7%11.5%31.3%15.2%39.4%-0.1%7.6%691.2K-24.6M-88.8K0.3050.52N/AN/A2,98990440,47013,130
2016-09-14$14.59$14.0038.0%10.9%30.9%6.4%37.8%3.4%6.7%834.1K-26.6M-85.0K0.4182.76N/AN/A2,25192740,44013,122
2016-09-15$14.89$14.0037.1%10.6%30.7%5.0%37.7%3.5%6.1%1.6M-29.0M-85.5K0.3324.93N/AN/A3,5011,17039,84013,155
2016-09-16$14.80$14.0037.6%10.8%31.1%5.8%37.3%1.8%5.1%445.6K-24.7M-84.2K0.5721.33N/AN/A2,3501,33739,13713,338
2016-09-19$14.61$14.0036.6%10.5%31.8%4.3%34.6%0.7%4.0%441.9K-16.0M-82.6K0.5332.05N/AN/A1,83997826,1186,141
2016-09-20$14.59$14.0037.5%10.8%31.9%5.7%31.5%2.8%2.8%452.1K-15.8M-84.2K0.4623.22N/AN/A1,98992126,6976,202
2016-09-21$14.75$14.0037.5%10.8%30.4%5.7%35.6%4.3%1.3%470.6K-16.9M-84.3K0.4353.53N/AN/A2,06088727,0476,214
2016-09-22$14.80$14.0033.7%9.7%29.1%0.0%31.5%6.1%2.8%513.1K-17.2M-84.8K0.6355.12N/AN/A1,46591727,4826,218
2016-09-23$14.54$14.0034.8%10.0%30.3%1.7%32.4%2.8%2.9%494.5K-16.0M-83.4K0.4823.38N/AN/A1,72582127,8156,288
2016-09-26$14.59$14.0037.4%10.7%29.8%5.7%38.6%5.5%0.3%508.5K-16.4M-82.8K0.45101.74N/AN/A1,79281327,9976,344
2016-09-27$14.79$14.0035.3%10.1%29.4%2.4%30.9%3.2%2.5%533.5K-17.4M-83.0K0.5428.24N/AN/A1,50381428,0236,351
2016-09-28$15.06$14.0036.4%10.4%29.7%4.1%33.8%3.3%-1.2%565.0K-18.9M-83.6K0.6620.45N/AN/A1,42193928,0456,359
2016-09-29$15.22$14.0036.7%10.5%29.0%4.6%36.5%0.7%1.8%575.6K-20.7M-87.2K0.6348.51N/AN/A1,7091,07728,1446,444
2016-09-30$15.74$14.0034.6%9.9%30.0%1.3%35.3%3.3%1.9%638.0K-23.8M-87.5K0.5046.09N/AN/A2,2451,13028,4766,630