BOX Options History — December 2016

In December 2016, BOX traded between $13.63 and $15.50. ATM implied volatility averaged 37.5%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 10.0% (HV 20d: 27.5%). Max pain ranged from $14.00 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 0.79.

Notable Days

  • 2016-12-01: Highest Volume — 6,898 contracts
  • 2016-12-02: Largest IV drop — 17.9% change
  • 2016-12-01: Highest IV Rank — 15.8%
  • 2016-12-01: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.39$13.63$15.50$15.08$13.85
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV37.5%34.4%44.0%44.0%34.4%
Expected Move10.5%9.9%12.6%12.6%9.9%
HV 20d27.5%17.1%30.8%17.1%30.8%
HV 60d25.8%25.0%26.7%25.5%25.0%
IV Rank5.8%1.2%15.8%15.8%1.2%
IV Percentile10.6%0.8%37.7%36.5%0.8%
Term Structure4.4%-2.9%30.0%-2.9%1.8%
VWIV37.8%33.1%44.1%43.5%36.9%
Skew 25d2.6%0.1%9.8%9.8%0.1%
Skew 10d6.7%1.0%24.1%10.6%2.4%
Call IV 25d36.5%33.0%41.9%41.9%35.5%
Put IV 25d39.2%35.6%51.7%51.7%35.6%
Bid-Ask Spread %41.5515.0280.7380.7374.49
Gamma HHI0.340.200.500.200.49
Net GEX565.4K399.6K960.2K737.3K481.1K
Net DEX-15.5M-26.3M-9.2M-22.4M-10.2M
Net VEX-67.0K-76.0K-60.5K-74.2K-60.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.391.610.451.61
Total Volume4,075.0952,6166,8986,8983,104
Total OI39,708.57127,59349,71044,15529,494

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$15.08$14.0044.0%12.6%17.1%15.8%43.5%9.8%-2.9%737.3K-22.4M-74.2K0.4580.73N/AN/A4,7472,15136,3977,758
2016-12-02$15.50$14.0036.2%10.4%19.0%3.8%36.4%2.3%3.3%960.2K-26.3M-76.0K0.5130.60N/AN/A3,4801,77737,4138,320
2016-12-05$14.75$14.0040.1%11.2%27.2%9.7%41.0%3.1%4.1%685.0K-19.1M-73.6K0.3958.59N/AN/A4,9381,92738,0698,555
2016-12-06$15.13$14.0038.6%10.7%26.6%7.5%38.4%4.3%3.9%759.9K-22.1M-75.2K0.4332.60N/AN/A3,9141,69637,7358,959
2016-12-07$15.07$14.0035.7%10.8%26.4%3.1%38.5%2.8%4.4%779.6K-22.1M-72.1K0.4332.28N/AN/A4,0641,74738,6828,947
2016-12-08$15.03$14.0039.4%10.5%26.3%8.7%39.3%2.1%4.1%866.0K-22.4M-73.4K0.5049.68N/AN/A3,1421,57039,6568,947
2016-12-09$14.76$14.0039.3%10.6%27.2%8.6%41.0%1.7%5.1%751.8K-19.7M-72.4K0.5050.14N/AN/A3,3541,69339,9578,970
2016-12-12$14.39$14.0043.9%11.0%28.0%15.6%44.1%2.0%4.2%590.0K-16.5M-68.9K0.5225.42N/AN/A3,1191,61439,9849,096
2016-12-13$14.40$14.0043.0%10.9%27.7%14.3%37.7%1.9%4.7%538.2K-15.9M-67.5K0.7939.08N/AN/A1,8761,47440,0209,085
2016-12-14$14.05$14.0037.2%10.7%28.2%5.3%37.7%0.7%6.1%429.4K-12.8M-65.5K0.6761.86N/AN/A2,3631,57740,4129,191
2016-12-15$14.25$14.0036.9%10.6%28.9%5.0%36.5%2.7%4.6%406.4K-14.7M-65.9K0.7223.17N/AN/A1,9541,41640,5629,148
2016-12-16$14.33$14.0036.4%10.4%28.9%4.2%35.9%2.5%6.1%399.6K-15.9M-65.3K0.8915.02N/AN/A1,8901,67640,5259,100
2016-12-19$14.22$14.0034.6%9.9%28.0%1.5%35.0%4.1%30.0%443.0K-12.4M-63.0K0.7024.07N/AN/A1,7941,26422,0975,496
2016-12-20$14.29$14.0035.9%10.3%28.1%3.3%35.5%1.4%1.8%431.5K-12.3M-64.2K0.9036.63N/AN/A1,3761,24022,2615,703
2016-12-21$14.09$14.0034.9%10.0%28.3%1.9%33.1%4.7%2.3%425.5K-11.3M-62.0K0.6275.12N/AN/A2,0101,24722,4055,688
2016-12-22$13.63$14.0035.9%10.3%29.4%3.3%34.4%2.1%1.3%402.6K-9.2M-61.6K0.9945.68N/AN/A1,3351,32222,7865,723
2016-12-23$13.80$14.0034.4%9.9%30.2%1.2%36.4%3.0%2.0%423.1K-9.9M-61.4K1.1720.35N/AN/A1,3971,64123,0925,822
2016-12-27$13.96$14.0036.6%10.5%30.6%4.5%39.8%0.4%1.6%445.7K-10.9M-62.6K1.3316.90N/AN/A1,2231,62423,1666,062
2016-12-28$13.81$14.0035.4%10.2%30.6%2.7%38.9%0.6%2.0%435.2K-9.8M-61.3K1.1535.28N/AN/A1,3651,56923,1956,100
2016-12-29$13.86$14.0034.5%9.9%30.8%1.2%34.6%3.1%1.6%482.0K-9.9M-60.7K1.3744.83N/AN/A1,2271,68023,1966,106
2016-12-30$13.85$14.0034.4%9.9%30.8%1.2%36.9%0.1%1.8%481.1K-10.2M-60.5K1.6174.49N/AN/A1,1871,91723,2096,285