BOX Options History — June 2017

In June 2017, BOX traded between $18.11 and $20.49. ATM implied volatility averaged 34.2%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 13.7% (HV 20d: 47.9%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-06-01: Highest Volume — 9,658 contracts
  • 2017-06-12: Largest IV spike — 29.4% change
  • 2017-06-12: Highest IV Rank — 41.3%
  • 2017-06-29: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.91$18.11$20.49$20.49$18.33
Max Pain$18.91$18.00$19.00$18.00$19.00
ATM IV34.2%31.2%43.6%33.3%33.8%
Expected Move9.5%8.9%10.5%9.5%9.7%
HV 20d47.9%33.7%53.5%47.8%33.7%
HV 60d34.4%31.4%36.1%31.4%35.5%
IV Rank19.7%12.7%41.3%17.5%18.7%
IV Percentile27.7%15.9%77.8%20.2%27.0%
Term Structure1.9%-1.4%4.9%-1.3%1.0%
VWIV33.4%30.6%37.1%34.9%30.6%
Skew 25d1.9%-0.4%4.4%3.5%2.8%
Skew 10d2.9%-11.2%11.1%11.1%0.5%
Call IV 25d33.1%30.1%35.4%33.6%32.6%
Put IV 25d35.0%32.3%37.2%37.2%35.5%
Bid-Ask Spread %18.269.6542.1113.8516.86
Gamma HHI0.410.220.700.260.32
Net GEX25.2K-859.9K559.7K461.4K202.6K
Net DEX-9.7M-23.0M-3.8M-23.0M-6.8M
Net VEX-75.9K-81.8K-70.0K-72.6K-75.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.451.660.460.74
Total Volume4,039.5452,1699,6589,6582,347
Total OI33,666.59123,49641,17938,19927,828

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$20.49$18.0033.3%9.5%47.8%17.5%34.9%3.5%-1.3%461.4K-23.0M-72.6K0.4613.85N/AN/A6,6283,03019,09119,108
2017-06-02$20.00$18.0031.2%8.9%48.8%12.7%31.6%1.6%-1.4%559.7K-20.4M-70.0K0.6016.82N/AN/A5,4573,26518,38619,307
2017-06-05$19.20$19.0035.3%9.5%51.3%22.2%33.2%1.4%3.8%70.3K-12.3M-79.3K1.1719.03N/AN/A2,7353,19618,41720,279
2017-06-06$19.16$19.0034.3%9.6%49.5%19.8%33.6%2.0%3.5%91.4K-12.6M-80.8K0.8520.55N/AN/A2,7172,29919,11320,840
2017-06-07$18.66$19.0034.0%9.5%50.7%19.2%33.0%2.3%4.1%-249.2K-8.1M-81.6K1.0815.68N/AN/A1,9662,11919,49720,893
2017-06-08$19.16$19.0033.9%9.7%50.9%19.1%33.0%2.7%3.6%74.2K-12.3M-80.7K1.1118.18N/AN/A1,8462,04619,54820,915
2017-06-09$18.38$19.0033.7%9.7%53.3%18.5%37.1%1.6%3.6%-467.9K-4.8M-81.8K1.5520.43N/AN/A1,3902,15119,73721,160
2017-06-12$18.51$19.0043.6%10.0%53.3%41.3%35.9%1.6%3.4%-427.7K-5.6M-80.6K1.0121.56N/AN/A2,0812,10619,60021,219
2017-06-13$18.64$19.0042.4%9.6%53.2%38.6%33.7%1.2%4.9%-358.3K-7.3M-77.0K1.0116.98N/AN/A1,7381,76319,53121,091
2017-06-14$18.29$19.0034.3%9.8%53.5%19.9%33.9%0.5%4.3%-859.9K-3.8M-75.1K1.1342.11N/AN/A1,4281,61519,85121,169
2017-06-15$18.51$19.0033.1%9.5%49.2%17.2%34.2%0.9%4.8%-606.8K-6.7M-73.2K1.0815.96N/AN/A1,6781,81419,95921,128
2017-06-16$18.58$19.0033.2%9.5%47.9%17.3%33.9%1.4%4.6%85.0K-8.1M-72.2K1.4116.31N/AN/A1,4061,98320,03121,148
2017-06-19$19.14$19.0032.6%9.3%48.6%16.0%32.4%2.6%-0.1%104.2K-8.6M-72.1K0.5013.67N/AN/A2,6261,31411,51611,980
2017-06-20$18.76$19.0032.2%9.2%47.3%15.0%33.2%-0.4%0.9%155.9K-8.3M-72.4K1.1714.60N/AN/A1,0941,27612,76012,015
2017-06-21$18.77$19.0032.1%9.2%46.8%14.9%32.8%4.4%-0.2%159.9K-8.0M-73.8K1.0714.85N/AN/A1,4121,51612,83912,045
2017-06-22$18.94$19.0032.2%9.2%46.5%15.0%32.2%2.3%0.5%210.1K-9.1M-74.0K1.6616.41N/AN/A9231,53013,20311,983
2017-06-23$19.16$19.0032.5%9.3%46.6%15.7%31.4%2.9%0.1%222.2K-9.8M-75.6K0.6618.03N/AN/A2,2391,47313,22812,030
2017-06-26$19.16$19.0032.3%9.3%46.6%15.4%32.3%1.1%1.1%306.2K-10.7M-76.1K0.959.65N/AN/A1,1111,05814,24812,124
2017-06-27$19.17$19.0033.0%9.5%46.5%17.0%33.6%2.6%0.4%314.2K-10.7M-75.1K0.6318.21N/AN/A2,1291,34414,38112,210
2017-06-28$18.84$19.0032.8%9.4%47.0%16.5%32.9%1.9%1.3%313.0K-9.4M-75.3K0.4522.16N/AN/A2,7891,24515,23212,410
2017-06-29$18.11$19.0036.5%10.5%33.8%25.1%36.3%1.7%-0.1%192.9K-6.3M-75.2K0.5819.83N/AN/A1,8881,09915,12912,486
2017-06-30$18.33$19.0033.8%9.7%33.7%18.7%30.6%2.8%1.0%202.6K-6.8M-75.5K0.7416.86N/AN/A1,3471,00015,22112,607