BOX Options History — February 2017

In February 2017, BOX traded between $17.18 and $18.29. ATM implied volatility averaged 40.2%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 19.0% (HV 20d: 21.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2017-02-24: Highest Volume — 9,006 contracts
  • 2017-02-08: Largest IV spike — 21.4% change
  • 2017-02-28: Highest IV Rank — 27.6%
  • 2017-02-28: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.85$17.18$18.29$17.18$17.58
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV40.2%32.0%50.4%34.6%50.4%
Expected Move12.0%9.9%14.4%9.9%14.4%
HV 20d21.2%16.5%28.8%28.7%19.6%
HV 60d27.5%27.2%28.2%27.6%28.2%
IV Rank12.5%0.3%27.6%4.1%27.6%
IV Percentile36.1%0.4%75.8%4.8%75.8%
Term Structure-2.8%-10.4%4.9%4.9%-10.4%
VWIV41.4%34.9%50.7%34.9%50.7%
Skew 25d3.1%0.5%5.8%2.5%1.4%
Skew 10d3.4%-9.2%19.6%10.3%1.6%
Call IV 25d40.3%35.6%49.4%35.6%49.4%
Put IV 25d43.3%38.1%50.8%38.1%50.8%
Bid-Ask Spread %41.0315.9097.0843.7328.78
Gamma HHI0.250.170.400.220.18
Net GEX380.5K226.1K553.0K325.6K286.9K
Net DEX-17.5M-21.5M-10.8M-17.1M-10.8M
Net VEX-65.0K-69.9K-58.3K-66.1K-69.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.532.160.941.15
Total Volume4,214.7372,5129,0062,8174,679
Total OI23,781.05319,98125,18123,00725,181

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$17.18$15.0034.6%9.9%28.7%4.1%34.9%2.5%4.9%325.6K-17.1M-66.1K0.9443.73N/AN/A1,4501,36716,7906,217
2017-02-02$17.46$15.0034.5%11.8%28.8%4.0%41.4%4.5%-1.5%373.1K-18.3M-65.0K0.7422.56N/AN/A1,6471,21917,2056,219
2017-02-03$17.67$15.0032.0%11.3%28.4%0.3%39.3%3.7%0.2%388.6K-19.3M-65.7K1.1029.49N/AN/A1,4421,58717,3876,383
2017-02-06$17.49$15.0033.8%11.9%27.7%3.0%38.9%2.5%-1.7%410.3K-18.8M-68.6K1.2726.02N/AN/A1,2361,57117,8656,827
2017-02-07$17.70$15.0032.3%11.4%27.7%0.7%41.9%3.6%-2.5%420.4K-19.4M-67.7K1.0789.39N/AN/A1,5761,68917,6806,823
2017-02-08$17.77$15.0039.2%11.2%27.5%11.0%38.3%2.8%-0.5%470.4K-19.9M-69.0K1.1921.14N/AN/A1,4231,68718,2226,861
2017-02-09$18.15$15.0038.6%11.1%20.4%10.0%38.3%5.8%-0.6%469.4K-21.5M-67.2K0.5677.40N/AN/A2,2181,24918,1606,882
2017-02-10$18.02$15.0039.9%11.4%18.9%12.0%39.0%3.6%-2.6%491.8K-20.2M-65.3K0.9241.06N/AN/A1,3111,20117,6726,883
2017-02-13$18.23$15.0038.4%11.0%19.1%9.8%38.0%4.2%-0.9%521.0K-21.1M-61.8K0.7418.30N/AN/A1,9181,41517,6396,886
2017-02-14$18.18$15.0041.5%11.9%17.1%14.4%40.3%2.8%-2.8%515.2K-20.3M-63.5K1.1515.90N/AN/A1,6641,91217,5506,966
2017-02-15$18.29$15.0041.9%12.0%17.1%14.9%41.0%3.6%-2.4%553.0K-20.7M-63.0K0.9040.96N/AN/A1,9951,79917,5766,987
2017-02-16$18.08$15.0041.8%12.0%16.8%14.9%38.5%2.5%-4.9%523.3K-19.5M-62.5K0.7223.22N/AN/A2,5221,82217,2607,068
2017-02-17$18.12$15.0040.0%11.5%16.5%12.2%39.2%0.5%-2.0%248.4K-20.0M-61.6K1.1037.51N/AN/A1,7951,96617,0527,120
2017-02-21$18.11$15.0043.2%12.4%16.6%17.0%43.3%4.7%-1.4%252.4K-16.0M-62.0K1.1290.19N/AN/A1,7992,01214,7756,294
2017-02-22$17.81$15.0043.0%12.3%18.0%16.6%43.6%4.7%-4.1%234.5K-14.0M-61.8K0.5397.08N/AN/A3,3491,76614,4036,568
2017-02-23$17.54$15.0043.2%12.4%17.8%16.9%44.8%0.7%-3.0%231.1K-10.9M-58.3K1.3924.22N/AN/A3,4084,74313,2346,747
2017-02-24$17.88$15.0045.8%13.1%18.1%20.7%46.6%2.8%-7.5%226.1K-11.5M-69.9K1.1629.65N/AN/A4,1604,84613,6009,959
2017-02-27$17.95$15.0050.2%14.4%18.0%27.3%49.3%1.5%-10.4%289.0K-12.9M-67.0K2.1623.04N/AN/A2,0994,53814,84410,055
2017-02-28$17.58$15.0050.4%14.4%19.6%27.6%50.7%1.4%-10.4%286.9K-10.8M-69.4K1.1528.78N/AN/A2,1772,50214,96810,213