BOX Options History — April 2017

In April 2017, BOX traded between $16.54 and $17.21. ATM implied volatility averaged 28.2%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 7.1% (HV 20d: 21.1%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.52.

Notable Days

  • 2017-04-05: Highest Volume — 5,222 contracts
  • 2017-04-12: Largest IV spike — 11.8% change
  • 2017-04-13: Highest IV Rank — 11.3%
  • 2017-04-11: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.89$16.54$17.21$16.56$17.21
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV28.2%25.8%30.6%28.5%27.9%
Expected Move8.3%7.6%8.8%8.2%8.0%
HV 20d21.1%18.1%24.0%18.5%18.5%
HV 60d27.1%26.0%29.9%29.6%26.0%
IV Rank5.8%0.2%11.3%6.5%5.1%
IV Percentile5.0%0.4%10.7%3.6%6.7%
Term Structure4.9%0.0%7.7%0.0%6.4%
VWIV29.1%26.5%35.8%35.8%26.5%
Skew 25d3.2%0.6%6.7%0.6%3.6%
Skew 10d6.6%-5.5%19.1%2.3%9.0%
Call IV 25d28.3%25.3%31.7%31.7%26.4%
Put IV 25d31.5%28.6%35.0%32.2%30.1%
Bid-Ask Spread %38.5618.5597.9747.9523.73
Gamma HHI0.450.160.790.410.23
Net GEX431.6K81.3K1.3M269.4K243.0K
Net DEX-7.0M-9.6M-5.2M-5.2M-8.0M
Net VEX-68.6K-76.4K-63.2K-71.7K-65.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.432.472.470.75
Total Volume3,235.2111,8745,2223,1452,015
Total OI26,373.15821,78328,61926,87523,705

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$16.56$17.0028.5%8.2%18.5%6.5%35.8%0.6%0.0%269.4K-5.2M-71.7K2.4747.95N/AN/A9062,23914,51312,362
2017-04-04$16.54$17.0026.5%7.6%18.1%1.9%27.0%0.6%3.0%302.7K-5.5M-71.3K1.1927.44N/AN/A1,8182,16014,54512,334
2017-04-05$17.13$17.0026.7%7.7%22.0%2.4%27.6%4.9%3.3%423.5K-9.6M-73.6K0.9243.08N/AN/A2,7162,50614,94912,331
2017-04-06$16.77$17.0027.6%8.6%23.4%4.5%29.5%2.1%3.8%366.5K-6.8M-74.1K1.4040.65N/AN/A1,6012,24314,99012,340
2017-04-07$16.68$17.0025.8%8.7%23.5%0.2%29.9%3.0%4.7%395.6K-6.0M-76.4K1.9127.22N/AN/A1,1762,24215,14212,286
2017-04-10$16.56$17.0027.2%8.5%23.0%3.5%29.3%1.4%5.1%398.3K-5.5M-71.3K2.4254.37N/AN/A9342,25715,14812,286
2017-04-11$16.79$17.0026.7%8.8%23.5%2.4%29.4%4.9%4.4%469.2K-6.6M-70.1K2.2172.34N/AN/A1,0072,22915,23412,315
2017-04-12$16.66$17.0029.8%8.6%23.5%9.7%28.9%2.7%5.2%460.7K-6.2M-69.5K2.3324.40N/AN/A9652,25215,22112,327
2017-04-13$16.95$17.0030.6%8.8%24.0%11.3%30.2%2.7%4.3%601.4K-8.0M-69.7K1.7053.11N/AN/A1,3132,23815,25812,362
2017-04-17$17.03$17.0029.6%8.5%23.9%9.2%30.7%3.3%4.9%606.4K-8.7M-68.0K1.7030.50N/AN/A1,3132,23815,27312,372
2017-04-18$16.95$17.0029.1%8.3%23.8%8.0%29.8%3.7%6.7%803.4K-7.9M-68.0K1.7222.13N/AN/A1,3092,25616,17512,360
2017-04-19$16.90$17.0030.2%8.7%19.3%10.5%29.2%5.9%4.8%911.3K-7.8M-67.3K1.9163.96N/AN/A1,1242,14716,25012,360
2017-04-20$16.94$17.0029.4%8.4%19.3%8.6%29.5%6.7%4.9%1.3M-7.9M-65.6K1.5097.97N/AN/A1,3271,98816,26312,356
2017-04-21$16.83$17.0027.9%8.0%19.1%5.1%28.5%2.6%6.7%81.3K-5.2M-63.7K1.2725.31N/AN/A1,9262,43916,23812,314
2017-04-24$16.98$17.0026.7%7.7%19.3%2.5%26.9%3.3%7.7%99.1K-6.0M-63.2K1.1319.34N/AN/A9291,04811,67710,106
2017-04-25$17.02$17.0027.2%7.8%19.3%3.6%26.7%4.2%6.0%117.7K-6.6M-63.7K1.0920.50N/AN/A89697811,96710,116
2017-04-26$17.13$17.0029.8%8.6%19.3%9.7%29.4%3.7%5.3%132.0K-6.8M-64.9K0.4320.17N/AN/A1,96684712,14410,128
2017-04-27$17.20$17.0027.9%8.0%19.2%5.3%28.0%0.8%6.4%228.2K-8.1M-65.5K0.8118.55N/AN/A1,06485713,17610,167
2017-04-28$17.21$17.0027.9%8.0%18.5%5.1%26.5%3.6%6.4%243.0K-8.0M-65.5K0.7523.73N/AN/A1,15486113,51110,194