BOX Options History — November 2016

In November 2016, BOX traded between $13.83 and $15.41. ATM implied volatility averaged 50.8%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 28.0% (HV 20d: 22.9%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2016-11-28: Highest Volume — 7,988 contracts
  • 2016-11-28: Largest IV spike — 22.1% change
  • 2016-11-30: Highest IV Rank — 54.0%
  • 2016-11-30: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.86$13.83$15.41$14.17$15.22
Max Pain$13.19$13.00$15.00$15.00$13.00
ATM IV50.8%43.0%69.0%43.9%69.0%
Expected Move14.9%12.6%19.8%12.6%19.8%
HV 20d22.9%19.4%25.8%21.2%19.4%
HV 60d26.9%25.8%27.9%26.8%25.8%
IV Rank26.2%14.3%54.0%15.5%54.0%
IV Percentile55.0%31.0%87.7%34.5%87.7%
Term Structure-5.7%-17.0%5.2%5.2%-17.0%
VWIV53.9%44.5%69.1%44.5%69.1%
Skew 25d5.7%-1.5%10.7%-1.1%-1.5%
Skew 10d9.1%-6.2%24.6%-6.2%5.8%
Call IV 25d50.5%45.6%69.4%47.1%69.4%
Put IV 25d56.2%46.0%71.6%46.0%67.9%
Bid-Ask Spread %77.7422.8099.3522.8070.67
Gamma HHI0.260.220.330.220.25
Net GEX601.4K446.8K755.2K483.7K671.7K
Net DEX-20.9M-24.4M-14.3M-16.3M-23.9M
Net VEX-78.9K-85.3K-72.1K-82.9K-80.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.190.880.480.42
Total Volume3,225.3812,1027,9882,7587,042
Total OI38,082.33335,18440,80637,43540,806

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$14.17$15.0043.9%12.6%21.2%15.5%44.5%-1.1%5.2%483.7K-16.3M-82.9K0.4822.80N/AN/A1,86489431,2416,194
2016-11-02$13.83$15.0047.6%13.6%22.1%21.3%46.3%5.9%-1.3%446.8K-14.3M-82.0K0.4660.61N/AN/A1,78782231,2116,227
2016-11-03$13.92$13.0043.0%14.8%22.1%14.3%52.4%5.0%-3.2%447.0K-14.8M-80.5K0.2760.39N/AN/A3,39491831,2786,269
2016-11-04$14.04$13.0045.6%15.1%22.5%18.1%52.2%5.1%-4.2%489.7K-16.2M-83.3K0.4685.68N/AN/A2,05994032,6356,457
2016-11-07$14.47$13.0048.3%14.8%25.8%22.3%56.6%10.7%-3.2%554.2K-18.8M-85.3K0.5590.49N/AN/A1,77096932,7266,476
2016-11-08$14.63$13.0044.1%14.2%24.7%16.0%53.4%7.2%-3.5%590.2K-19.6M-84.8K0.6558.25N/AN/A1,45895332,7796,508
2016-11-09$14.77$13.0047.9%13.7%24.8%21.7%56.6%9.5%-4.2%623.5K-20.6M-84.7K0.5094.23N/AN/A1,97298032,7926,544
2016-11-10$14.79$13.0047.3%13.6%23.7%20.9%54.7%6.6%-3.2%613.3K-21.1M-82.5K0.6989.73N/AN/A1,4891,02732,1446,522
2016-11-11$15.01$13.0047.9%13.7%24.1%21.7%55.6%6.9%-2.4%652.0K-22.1M-81.0K0.8890.10N/AN/A1,12198132,4576,459
2016-11-14$14.82$13.0054.6%15.6%24.5%31.9%58.3%5.9%-6.4%653.5K-21.7M-80.3K0.4589.53N/AN/A1,91586432,4546,463
2016-11-15$15.03$13.0053.0%15.2%24.9%29.5%53.5%9.1%-6.7%702.6K-21.9M-78.6K0.8165.91N/AN/A1,2891,04631,7096,469
2016-11-16$14.96$13.0051.0%14.6%24.8%26.5%52.4%3.7%-5.0%714.8K-21.2M-76.6K0.8671.16N/AN/A1,2291,06231,7186,542
2016-11-17$15.03$13.0051.1%14.7%22.3%26.6%50.4%5.6%-6.1%755.2K-21.9M-75.9K0.7387.63N/AN/A1,21688831,7196,542
2016-11-18$15.30$13.0048.1%13.8%23.2%22.0%49.8%9.2%-3.2%561.7K-24.4M-74.0K0.6392.04N/AN/A1,7531,09631,7196,548
2016-11-21$15.30$13.0050.6%14.5%23.1%25.8%49.4%3.1%-6.0%582.3K-22.7M-74.1K0.4689.57N/AN/A1,75881429,3075,877
2016-11-22$15.21$13.0049.8%14.3%22.8%24.6%48.3%7.0%-7.8%587.1K-22.0M-72.3K0.3982.28N/AN/A1,82071329,5965,988
2016-11-23$15.41$13.0051.6%14.8%21.7%27.3%51.1%6.3%-8.1%628.6K-23.2M-72.1K0.7672.53N/AN/A1,3841,05330,1406,035
2016-11-25$15.34$13.0049.7%14.2%20.8%24.4%55.3%3.2%-5.2%618.0K-23.3M-73.4K0.7583.72N/AN/A1,6261,22030,2346,408
2016-11-28$15.41$13.0060.6%17.4%20.7%41.2%60.1%9.5%-15.9%596.0K-23.8M-74.5K0.1999.35N/AN/A6,6941,29430,3106,603
2016-11-29$15.31$13.0062.3%17.9%20.8%43.7%62.6%3.7%-12.6%657.9K-24.1M-78.1K0.4175.78N/AN/A3,2241,33532,9146,709
2016-11-30$15.22$13.0069.0%19.8%19.4%54.0%69.1%-1.5%-17.0%671.7K-23.9M-80.4K0.4270.67N/AN/A4,9662,07633,9866,820