BOX Options History — May 2017

In May 2017, BOX traded between $17.15 and $18.88. ATM implied volatility averaged 36.7%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 11.1% (HV 20d: 25.6%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2017-05-31: Highest Volume — 8,985 contracts
2017-05-10: Largest IV spike — 23.6% change
2017-05-31: Highest IV Rank — 65.6%
2017-05-31: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.17	$17.15	$18.88	$17.58	$18.65
Max Pain	$16.55	$16.00	$18.00	$17.00	$18.00
ATM IV	36.7%	27.0%	54.1%	27.0%	54.1%
Expected Move	10.9%	7.8%	15.5%	7.8%	15.5%
HV 20d	25.6%	14.1%	35.4%	19.6%	35.0%
HV 60d	27.7%	25.2%	31.3%	26.2%	25.2%
IV Rank	25.5%	3.2%	65.6%	3.2%	65.6%
IV Percentile	41.8%	2.8%	95.2%	2.8%	95.2%
Term Structure	-3.1%	-14.2%	6.8%	6.8%	-14.2%
VWIV	38.1%	27.0%	55.4%	27.0%	55.4%
Skew 25d	2.4%	-0.3%	7.4%	7.4%	5.7%
Skew 10d	4.4%	-9.4%	17.8%	17.8%	5.9%
Call IV 25d	37.5%	23.1%	53.5%	23.1%	53.5%
Put IV 25d	39.9%	29.4%	59.2%	30.5%	59.2%
Bid-Ask Spread %	22.67	14.41	87.94	22.22	15.55
Gamma HHI	0.25	0.19	0.33	0.22	0.26
Net GEX	306.9K	-70.1K	478.7K	275.4K	48.5K
Net DEX	-11.6M	-15.3M	-6.8M	-9.5M	-9.3M
Net VEX	-64.8K	-77.4K	-61.2K	-65.6K	-77.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.27	1.49	0.73	1.10
Total Volume	3,764.5	1,926	8,985	2,255	8,985
Total OI	26,608.227	23,786	33,002	23,786	33,002

Daily Data (22 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
2017-05-01	$17.58	$17.00	27.0%	7.8%	19.6%	3.2%	27.0%	7.4%	6.8%	275.4K	-9.5M	-65.6K	0.73	22.22	N/A	N/A	1,302	953	13,582	10,204
2017-05-02	$17.74	$17.00	27.3%	7.8%	19.4%	3.9%	28.0%	-0.3%	5.8%	303.8K	-10.5M	-66.4K	0.56	19.34	N/A	N/A	1,408	786	13,752	10,295
2017-05-03	$17.85	$17.00	28.1%	8.0%	19.4%	5.6%	30.2%	3.1%	6.2%	343.1K	-11.2M	-67.0K	0.80	87.94	N/A	N/A	1,071	855	14,228	10,339
2017-05-04	$18.21	$16.00	27.5%	10.0%	16.7%	4.2%	35.2%	1.3%	-0.4%	323.7K	-12.7M	-65.1K	0.87	25.41	N/A	N/A	1,245	1,083	13,857	10,315
2017-05-05	$18.36	$16.00	28.2%	9.9%	14.1%	5.9%	33.7%	2.2%	-1.2%	327.3K	-13.1M	-64.8K	1.49	22.25	N/A	N/A	1,300	1,931	13,898	10,431
2017-05-08	$17.74	$16.00	30.3%	10.4%	19.5%	10.6%	37.0%	1.4%	-1.0%	231.5K	-10.1M	-65.0K	0.57	22.15	N/A	N/A	3,381	1,920	13,899	11,314
2017-05-09	$17.74	$16.00	29.5%	10.5%	19.2%	8.9%	36.9%	2.0%	-2.6%	294.2K	-10.6M	-65.8K	0.35	21.31	N/A	N/A	3,269	1,160	16,028	11,308
2017-05-10	$18.13	$16.00	36.5%	10.5%	19.9%	24.9%	36.0%	2.8%	-2.5%	370.3K	-12.4M	-64.9K	0.36	18.86	N/A	N/A	3,267	1,173	16,041	11,448
2017-05-11	$18.17	$16.00	35.8%	10.2%	19.5%	23.3%	37.3%	2.5%	-1.7%	382.9K	-12.7M	-64.9K	0.58	27.09	N/A	N/A	1,949	1,134	16,076	11,458
2017-05-12	$18.28	$16.00	35.4%	10.1%	18.9%	22.4%	36.4%	2.0%	-0.8%	412.8K	-13.3M	-64.0K	0.51	17.81	N/A	N/A	2,235	1,130	16,099	11,449
2017-05-15	$18.52	$16.00	35.7%	10.2%	19.2%	23.1%	37.4%	0.8%	-1.5%	447.4K	-14.7M	-63.2K	0.27	14.68	N/A	N/A	4,391	1,187	16,240	11,454
2017-05-16	$18.68	$16.00	35.3%	10.1%	18.9%	22.2%	39.0%	2.6%	-1.0%	478.7K	-15.3M	-63.1K	0.57	19.43	N/A	N/A	2,723	1,543	17,327	11,569
2017-05-17	$17.62	$16.00	38.0%	10.9%	29.3%	28.6%	35.9%	2.6%	-4.3%	273.0K	-9.6M	-61.5K	0.45	19.31	N/A	N/A	2,899	1,302	17,027	11,550
2017-05-18	$17.15	$16.00	40.2%	11.5%	31.1%	33.5%	40.0%	0.3%	-4.7%	-70.1K	-6.8M	-61.2K	0.49	19.56	N/A	N/A	2,686	1,326	17,089	11,694
2017-05-19	$17.45	$17.00	40.6%	11.6%	31.5%	34.4%	39.7%	1.9%	-4.1%	221.1K	-8.8M	-63.3K	0.37	20.33	N/A	N/A	3,257	1,216	17,352	11,961
2017-05-22	$18.19	$17.00	42.9%	12.3%	34.5%	39.7%	36.6%	4.8%	-8.5%	317.5K	-10.8M	-63.8K	0.58	18.61	N/A	N/A	2,091	1,205	15,198	10,032
2017-05-23	$18.56	$17.00	41.4%	11.9%	35.0%	36.3%	41.2%	2.5%	-6.9%	365.8K	-12.7M	-64.6K	0.71	17.31	N/A	N/A	1,966	1,397	15,315	10,058
2017-05-24	$18.88	$17.00	40.8%	11.7%	35.3%	34.8%	41.0%	2.8%	-6.2%	360.5K	-13.3M	-62.7K	0.78	19.57	N/A	N/A	1,454	1,128	14,967	10,315
2017-05-25	$18.80	$17.00	41.0%	11.8%	35.4%	35.4%	41.3%	1.0%	-5.9%	354.7K	-13.1M	-62.7K	0.63	17.72	N/A	N/A	1,799	1,126	15,166	10,372
2017-05-26	$18.80	$17.00	42.7%	12.2%	35.4%	39.2%	43.8%	1.5%	-7.9%	357.6K	-13.1M	-63.6K	1.09	14.41	N/A	N/A	1,500	1,630	15,111	10,320
2017-05-30	$18.68	$17.00	49.4%	14.2%	35.1%	54.8%	49.4%	1.0%	-12.2%	332.4K	-12.6M	-64.9K	0.79	17.98	N/A	N/A	1,936	1,520	15,432	10,809
2017-05-31	$18.65	$18.00	54.1%	15.5%	35.0%	65.6%	55.4%	5.7%	-14.2%	48.5K	-9.3M	-77.4K	1.10	15.55	N/A	N/A	4,276	4,709	16,440	16,562