BOX Options History — March 2017

In March 2017, BOX traded between $16.14 and $18.22. ATM implied volatility averaged 30.7%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 3.3% (HV 20d: 34.1%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.99.

Notable Days

2017-03-02: Highest Volume — 7,610 contracts
2017-03-02: Largest IV drop — 33.7% change
2017-03-01: Highest IV Rank — 29.7%
2017-03-01: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.63	$16.14	$18.22	$18.22	$16.35
Max Pain	$17.00	$17.00	$17.00	$17.00	$17.00
ATM IV	30.7%	25.7%	51.8%	51.8%	26.9%
Expected Move	8.7%	7.4%	14.9%	14.9%	7.7%
HV 20d	34.1%	18.3%	37.7%	22.8%	18.3%
HV 60d	30.4%	28.9%	33.1%	28.9%	29.8%
IV Rank	4.5%	0.0%	29.7%	29.7%	2.8%
IV Percentile	5.0%	0.0%	81.3%	81.3%	0.4%
Term Structure	2.5%	-12.5%	7.2%	-12.5%	2.7%
VWIV	31.7%	27.9%	51.9%	51.9%	31.9%
Skew 25d	2.1%	-0.5%	6.2%	2.4%	-0.5%
Skew 10d	3.8%	-8.1%	10.7%	4.8%	-2.1%
Call IV 25d	30.9%	23.2%	50.5%	50.5%	30.9%
Put IV 25d	32.9%	29.0%	52.8%	52.8%	30.4%
Bid-Ask Spread %	37.68	18.73	93.55	18.73	53.26
Gamma HHI	0.25	0.12	0.44	0.22	0.37
Net GEX	110.9K	-20.5K	281.8K	263.1K	213.9K
Net DEX	-4.7M	-12.6M	-2.2M	-12.6M	-4.3M
Net VEX	-69.0K	-74.0K	-65.1K	-70.5K	-71.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.32	2.38	0.55	2.03
Total Volume	4,102.304	2,537	7,610	7,597	3,508
Total OI	29,362.478	20,205	35,971	27,289	26,430

Daily Data (23 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
2017-03-01	$18.22	$17.00	51.8%	14.9%	22.8%	29.7%	51.9%	2.4%	-12.5%	263.1K	-12.6M	-70.5K	0.55	18.73	N/A	N/A	4,909	2,688	15,456	11,833
2017-03-02	$16.82	$17.00	34.4%	9.9%	37.2%	3.8%	34.3%	-0.3%	-0.9%	107.6K	-5.5M	-68.8K	0.66	34.51	N/A	N/A	4,571	3,039	17,781	13,645
2017-03-03	$16.95	$17.00	32.9%	9.4%	36.8%	1.6%	33.3%	-0.1%	-1.1%	167.2K	-6.3M	-71.0K	0.56	66.07	N/A	N/A	3,241	1,822	18,443	14,009
2017-03-06	$16.74	$17.00	33.0%	9.5%	36.7%	1.8%	32.5%	0.6%	3.8%	138.7K	-5.6M	-70.5K	0.61	30.91	N/A	N/A	3,333	2,033	19,316	14,278
2017-03-07	$16.56	$17.00	31.2%	9.3%	36.7%	0.0%	32.7%	2.5%	5.5%	113.6K	-4.7M	-69.4K	0.75	30.12	N/A	N/A	2,200	1,648	19,952	14,454
2017-03-08	$16.53	$17.00	33.6%	9.3%	36.3%	3.6%	31.5%	0.7%	3.7%	126.8K	-4.4M	-69.4K	0.80	68.65	N/A	N/A	2,015	1,607	20,382	14,477
2017-03-09	$16.58	$17.00	30.9%	9.3%	36.3%	0.0%	31.7%	3.6%	4.2%	138.8K	-4.7M	-68.7K	0.75	21.87	N/A	N/A	2,448	1,843	20,478	14,498
2017-03-10	$16.54	$17.00	32.9%	8.5%	35.1%	5.2%	30.9%	3.4%	4.2%	105.6K	-4.2M	-70.1K	0.53	29.61	N/A	N/A	3,681	1,962	20,661	14,931
2017-03-13	$16.78	$17.00	32.0%	8.7%	35.7%	2.8%	30.7%	1.9%	5.3%	87.0K	-5.4M	-70.1K	0.58	24.10	N/A	N/A	2,883	1,658	20,618	15,269
2017-03-14	$16.70	$17.00	31.6%	8.4%	35.3%	1.6%	30.3%	1.6%	5.4%	28.2K	-4.6M	-68.9K	0.59	23.81	N/A	N/A	2,627	1,547	20,478	15,286
2017-03-15	$16.84	$17.00	27.8%	8.0%	35.6%	0.0%	28.6%	5.7%	5.9%	157.5K	-5.0M	-67.7K	0.80	93.55	N/A	N/A	1,675	1,336	20,543	15,428
2017-03-16	$16.67	$17.00	27.8%	8.0%	35.4%	0.0%	28.4%	3.6%	6.5%	73.4K	-4.7M	-66.8K	0.80	21.65	N/A	N/A	1,699	1,355	20,412	15,448
2017-03-17	$16.58	$17.00	27.9%	8.0%	35.3%	0.2%	28.2%	2.8%	7.2%	21.0K	-3.0M	-65.1K	1.17	25.44	N/A	N/A	1,739	2,039	20,509	15,455
2017-03-20	$16.75	$17.00	25.7%	7.4%	35.6%	0.0%	27.9%	4.0%	2.0%	23.3K	-4.2M	-65.4K	1.62	19.06	N/A	N/A	1,224	1,984	10,172	10,033
2017-03-21	$16.14	$17.00	29.2%	8.4%	37.5%	8.2%	30.0%	0.8%	1.5%	-17.5K	-2.6M	-66.1K	1.89	27.62	N/A	N/A	1,139	2,158	10,575	10,856
2017-03-22	$16.18	$17.00	27.6%	7.9%	37.4%	4.4%	29.9%	3.3%	2.5%	-20.5K	-2.2M	-66.5K	1.05	24.86	N/A	N/A	1,237	1,300	10,759	10,902
2017-03-23	$16.39	$17.00	28.8%	8.2%	37.7%	7.2%	28.7%	6.2%	1.1%	-8.8K	-3.1M	-67.3K	1.33	70.70	N/A	N/A	1,125	1,498	10,757	11,036
2017-03-24	$16.38	$17.00	27.9%	8.0%	36.7%	5.1%	28.8%	0.1%	2.2%	-2.4K	-3.2M	-66.7K	0.63	57.77	N/A	N/A	2,162	1,366	10,770	10,909
2017-03-27	$16.41	$17.00	29.1%	8.3%	36.7%	7.9%	31.8%	-0.0%	3.9%	78.3K	-3.6M	-68.7K	0.32	25.13	N/A	N/A	4,279	1,381	11,792	10,930
2017-03-28	$16.41	$17.00	29.0%	8.3%	36.2%	7.6%	30.3%	1.5%	1.1%	234.3K	-4.8M	-74.0K	0.97	30.95	N/A	N/A	1,366	1,319	13,790	11,054
2017-03-29	$16.53	$17.00	27.8%	8.0%	33.4%	5.0%	31.5%	2.9%	1.3%	281.8K	-5.6M	-72.1K	1.43	45.16	N/A	N/A	1,062	1,520	14,068	11,070
2017-03-30	$16.33	$17.00	27.6%	7.9%	18.6%	4.5%	32.8%	0.6%	2.9%	240.6K	-4.5M	-71.1K	2.38	23.10	N/A	N/A	926	2,201	14,150	11,244
2017-03-31	$16.35	$17.00	26.9%	7.7%	18.3%	2.8%	31.9%	-0.5%	2.7%	213.9K	-4.3M	-71.1K	2.03	53.26	N/A	N/A	1,157	2,351	14,186	12,244