BOX Options History — October 2016

In October 2016, BOX traded between $14.45 and $16.36. ATM implied volatility averaged 38.8%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 11.7% (HV 20d: 27.1%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.45.

Notable Days

2016-10-04: Highest Volume — 5,833 contracts
2016-10-10: Largest IV spike — 8.4% change
2016-10-31: Highest IV Rank — 11.7%
2016-10-31: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.15	$14.45	$16.36	$16.15	$14.45
Max Pain	$14.86	$14.00	$15.00	$14.00	$15.00
ATM IV	38.8%	35.8%	41.3%	35.8%	41.3%
Expected Move	11.1%	10.3%	11.8%	10.3%	11.8%
HV 20d	27.1%	21.8%	30.9%	30.8%	21.8%
HV 60d	28.1%	26.0%	29.6%	28.5%	26.5%
IV Rank	7.8%	3.2%	11.7%	3.2%	11.7%
IV Percentile	12.5%	2.4%	26.2%	2.4%	26.2%
Term Structure	5.1%	0.6%	8.1%	0.6%	7.0%
VWIV	39.2%	32.6%	42.3%	32.6%	42.3%
Skew 25d	3.1%	0.7%	5.5%	5.0%	0.9%
Skew 10d	9.9%	-9.8%	24.1%	24.1%	5.1%
Call IV 25d	39.3%	32.7%	42.8%	32.7%	42.8%
Put IV 25d	42.4%	37.6%	45.2%	37.6%	43.7%
Bid-Ask Spread %	46.73	19.36	93.08	33.04	31.77
Gamma HHI	0.26	0.23	0.35	0.33	0.23
Net GEX	627.8K	524.5K	710.8K	666.7K	524.5K
Net DEX	-23.0M	-29.2M	-17.8M	-26.6M	-17.8M
Net VEX	-89.4K	-93.7K	-84.3K	-86.0K	-85.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.22	0.65	0.44	0.37
Total Volume	3,262.524	2,330	5,833	3,281	2,787
Total OI	39,369.095	35,581	44,154	35,581	37,351

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
2016-10-03	$16.15	$14.00	35.8%	10.3%	30.8%	3.2%	32.6%	5.0%	0.6%	666.7K	-26.6M	-86.0K	0.44	33.04	N/A	N/A	2,273	1,008	28,752	6,829
2016-10-04	$16.36	$14.00	38.3%	11.0%	30.8%	7.0%	38.0%	1.2%	1.4%	678.8K	-28.3M	-86.8K	0.22	35.15	N/A	N/A	4,789	1,044	29,325	6,926
2016-10-05	$16.20	$14.00	36.7%	10.5%	30.9%	4.6%	38.1%	5.5%	1.7%	710.8K	-29.2M	-93.5K	0.36	35.38	N/A	N/A	2,926	1,060	31,087	7,062
2016-10-06	$15.87	$15.00	38.5%	11.0%	30.7%	7.3%	38.5%	3.0%	4.7%	707.8K	-28.1M	-93.7K	0.40	37.05	N/A	N/A	2,491	996	32,304	7,113
2016-10-07	$15.65	$15.00	35.9%	10.8%	26.9%	3.4%	39.0%	3.9%	3.3%	699.8K	-26.1M	-92.9K	0.29	66.23	N/A	N/A	3,059	897	32,384	7,150
2016-10-10	$15.64	$15.00	38.9%	11.1%	23.6%	8.0%	40.0%	2.0%	3.7%	701.6K	-26.2M	-92.1K	0.29	78.99	N/A	N/A	2,954	848	32,252	7,177
2016-10-11	$15.21	$15.00	39.3%	11.4%	26.2%	8.6%	41.4%	3.5%	3.9%	646.3K	-22.8M	-88.2K	0.38	35.59	N/A	N/A	2,296	883	32,313	7,188
2016-10-12	$15.05	$15.00	38.6%	11.1%	26.3%	7.6%	40.2%	1.8%	5.1%	623.9K	-21.4M	-88.7K	0.37	54.65	N/A	N/A	2,376	890	32,394	7,233
2016-10-13	$14.74	$15.00	39.9%	11.4%	26.5%	9.5%	41.5%	3.5%	4.4%	587.8K	-19.3M	-84.3K	0.25	53.28	N/A	N/A	3,523	873	32,414	7,217
2016-10-14	$14.65	$15.00	38.9%	11.1%	26.5%	7.9%	38.6%	2.4%	4.7%	639.5K	-20.6M	-90.3K	0.59	29.79	N/A	N/A	1,480	870	34,565	7,212
2016-10-17	$14.58	$15.00	39.9%	11.4%	26.1%	9.5%	39.8%	4.3%	5.5%	657.2K	-19.6M	-89.0K	0.58	33.09	N/A	N/A	1,562	910	34,760	7,283
2016-10-18	$14.52	$15.00	38.6%	11.1%	26.1%	7.5%	38.9%	3.8%	6.4%	644.6K	-19.9M	-88.6K	0.53	38.44	N/A	N/A	1,801	963	34,828	7,324
2016-10-19	$14.66	$15.00	39.5%	11.3%	26.1%	9.0%	40.0%	5.1%	5.3%	673.9K	-20.8M	-88.7K	0.62	50.22	N/A	N/A	2,216	1,364	35,140	7,466
2016-10-20	$15.11	$15.00	39.8%	11.4%	28.2%	9.3%	40.5%	3.2%	6.7%	675.2K	-25.0M	-91.3K	0.58	93.08	N/A	N/A	2,347	1,364	35,783	7,732
2016-10-21	$15.16	$15.00	38.8%	11.1%	27.3%	7.9%	39.5%	4.2%	8.1%	557.7K	-26.6M	-91.8K	0.65	66.43	N/A	N/A	2,066	1,343	36,313	7,841
2016-10-24	$15.25	$15.00	39.0%	11.2%	27.4%	8.1%	39.3%	1.8%	8.1%	588.4K	-23.4M	-91.8K	0.57	44.33	N/A	N/A	1,594	901	30,840	6,012
2016-10-25	$15.08	$15.00	38.9%	11.2%	27.4%	8.0%	39.6%	4.1%	6.8%	574.8K	-22.1M	-90.5K	0.54	74.57	N/A	N/A	1,569	851	31,008	6,038
2016-10-26	$14.76	$15.00	38.9%	11.2%	27.7%	8.0%	39.0%	0.7%	6.1%	557.8K	-20.4M	-88.9K	0.52	19.36	N/A	N/A	1,533	797	31,165	6,141
2016-10-27	$14.52	$15.00	38.5%	11.0%	27.9%	7.4%	39.3%	1.1%	8.1%	534.9K	-18.9M	-86.4K	0.52	42.94	N/A	N/A	1,569	811	31,227	6,161
2016-10-28	$14.52	$15.00	40.4%	11.6%	24.5%	10.2%	36.6%	4.7%	4.8%	531.3K	-19.2M	-88.1K	0.41	27.90	N/A	N/A	1,858	771	31,286	6,155
2016-10-31	$14.45	$15.00	41.3%	11.8%	21.8%	11.7%	42.3%	0.9%	7.0%	524.5K	-17.8M	-85.3K	0.37	31.77	N/A	N/A	2,041	746	31,187	6,164