BOX Options History — January 2017

In January 2017, BOX traded between $14.13 and $17.43. ATM implied volatility averaged 34.8%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 5.4% (HV 20d: 29.3%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-01-04: Highest Volume — 9,464 contracts
  • 2017-01-09: Largest IV spike — 9.1% change
  • 2017-01-11: Highest IV Rank — 6.8%
  • 2017-01-03: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.33$14.13$17.43$14.13$17.09
Max Pain$14.60$14.00$15.00$14.00$15.00
ATM IV34.8%31.8%36.9%36.9%35.7%
Expected Move10.1%9.3%10.6%10.6%10.2%
HV 20d29.3%24.6%32.9%29.8%28.8%
HV 60d27.6%25.1%29.1%25.1%27.6%
IV Rank4.1%0.0%6.8%5.0%5.7%
IV Percentile5.0%0.0%9.9%9.9%9.9%
Term Structure4.6%0.6%6.4%0.6%4.0%
VWIV35.3%33.3%37.2%34.1%36.4%
Skew 25d2.6%-1.5%5.7%-1.5%-0.3%
Skew 10d7.9%2.2%21.5%21.5%2.3%
Call IV 25d34.6%32.2%37.1%37.1%36.1%
Put IV 25d37.2%34.8%40.1%35.6%35.9%
Bid-Ask Spread %42.8814.4089.9014.4022.75
Gamma HHI0.270.200.480.470.22
Net GEX379.3K285.1K532.9K511.4K304.1K
Net DEX-19.3M-27.9M-11.2M-11.2M-16.2M
Net VEX-62.1K-71.7K-58.1K-61.8K-71.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.281.801.231.80
Total Volume3,750.651,9969,4643,9192,117
Total OI27,567.621,31232,77229,91722,879

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$14.13$14.0036.9%10.6%29.8%5.0%34.1%-1.5%0.6%511.4K-11.2M-61.8K1.2314.40N/AN/A1,7592,16023,1716,746
2017-01-04$14.25$14.0035.0%10.0%24.9%2.1%35.4%4.4%1.0%532.9K-12.5M-62.0K0.2865.26N/AN/A7,4052,05923,5226,785
2017-01-05$14.58$14.0032.1%10.2%24.6%0.0%37.1%4.4%4.7%411.4K-12.3M-59.2K1.2123.76N/AN/A1,7382,10421,4446,858
2017-01-06$15.08$14.0031.8%9.9%27.6%0.0%34.0%1.8%4.1%412.3K-15.5M-58.2K1.2321.48N/AN/A1,9012,33421,5556,833
2017-01-09$15.21$14.0034.7%10.5%27.8%4.3%35.0%3.3%3.1%416.4K-16.6M-59.4K1.5624.79N/AN/A1,3702,13821,9476,960
2017-01-10$15.47$14.0035.5%10.3%27.4%5.6%34.7%0.7%5.0%391.3K-18.3M-58.1K1.4131.77N/AN/A1,5232,14722,2127,160
2017-01-11$16.41$14.0036.4%10.4%32.1%6.8%37.0%3.9%3.1%365.8K-22.8M-58.3K0.3774.10N/AN/A4,7851,75722,1397,180
2017-01-12$16.88$14.0036.3%10.4%32.9%6.7%35.7%4.2%5.1%374.0K-27.0M-58.2K0.7678.49N/AN/A2,2621,71923,5527,283
2017-01-13$16.95$15.0035.1%10.1%30.6%4.9%36.3%1.2%5.7%395.1K-27.9M-60.4K0.6864.12N/AN/A2,3611,61324,0897,373
2017-01-17$16.61$15.0036.2%10.4%32.3%6.5%37.0%1.9%4.9%369.0K-25.8M-59.9K0.7048.67N/AN/A2,5411,77824,2867,491
2017-01-18$16.67$15.0035.6%10.2%32.3%5.6%37.2%2.1%4.4%392.7K-25.2M-63.5K0.9423.27N/AN/A1,6351,53424,1237,818
2017-01-19$17.04$15.0035.9%10.3%32.2%6.0%34.5%5.7%5.8%413.4K-27.1M-62.8K0.6625.37N/AN/A2,1951,44724,3357,870
2017-01-20$16.96$15.0034.6%9.9%32.5%4.2%33.3%3.3%5.2%511.2K-27.1M-63.2K0.7030.50N/AN/A2,2201,56124,8937,879
2017-01-23$17.01$15.0035.2%10.1%31.5%5.0%35.2%2.5%5.1%285.1K-16.2M-62.5K0.9621.29N/AN/A1,2151,16315,7315,581
2017-01-24$17.11$15.0033.6%9.6%27.2%2.6%33.4%3.8%6.4%296.0K-16.4M-63.5K1.4343.02N/AN/A1,0741,54015,8465,732
2017-01-25$17.43$15.0034.2%9.8%27.3%3.6%34.4%1.8%6.4%287.0K-17.6M-63.4K0.5489.90N/AN/A2,3461,27816,0996,101
2017-01-26$17.17$15.0032.5%9.3%28.9%1.1%34.6%3.4%5.9%302.3K-16.6M-65.8K1.1340.80N/AN/A1,0311,16616,3046,126
2017-01-27$17.30$15.0033.4%9.6%27.9%2.3%34.4%2.5%4.5%306.0K-17.4M-66.5K1.2782.29N/AN/A8981,14316,5106,142
2017-01-30$17.25$15.0034.7%9.9%28.2%4.3%37.0%2.1%5.9%308.7K-17.4M-64.0K1.5431.49N/AN/A7871,20916,6456,152
2017-01-31$17.09$15.0035.7%10.2%28.8%5.7%36.4%-0.3%4.0%304.1K-16.2M-71.7K1.8022.75N/AN/A7561,36116,6956,184