BOX Options History — July 2017

In July 2017, BOX traded between $17.75 and $19.91. ATM implied volatility averaged 32.1%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.2% (HV 20d: 27.9%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2017-07-25: Highest Volume — 5,019 contracts
  • 2017-07-21: Largest IV drop — 6.3% change
  • 2017-07-03: Highest IV Rank — 21.3%
  • 2017-07-06: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.98$17.75$19.91$18.08$18.84
Max Pain$18.50$18.00$19.00$19.00$19.00
ATM IV32.1%29.0%34.9%34.9%31.1%
Expected Move9.2%8.3%10.0%10.0%8.9%
HV 20d27.9%23.9%31.2%31.0%25.3%
HV 60d36.3%35.3%37.0%35.3%37.0%
IV Rank15.0%7.8%21.3%21.3%12.5%
IV Percentile22.1%11.1%35.7%34.9%18.3%
Term Structure6.0%-0.0%9.6%0.8%7.5%
VWIV31.9%28.3%34.7%32.9%30.3%
Skew 25d2.5%0.1%4.4%2.6%0.4%
Skew 10d3.1%-12.7%14.6%-6.5%-12.7%
Call IV 25d31.7%28.7%35.4%35.4%31.2%
Put IV 25d34.2%31.0%38.0%38.0%31.6%
Bid-Ask Spread %15.0410.1124.5113.2811.65
Gamma HHI0.340.180.740.280.27
Net GEX308.3K96.1K973.1K173.6K234.6K
Net DEX-9.8M-15.9M-4.3M-5.9M-9.0M
Net VEX-70.6K-73.5K-66.6K-73.3K-71.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.251.060.880.48
Total Volume2,620.351,7935,0191,9672,550
Total OI28,075.6524,55030,88527,81427,458

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$18.08$19.0034.9%10.0%31.0%21.3%32.9%2.6%0.8%173.6K-5.9M-73.3K0.8813.28N/AN/A1,04592215,20212,612
2017-07-05$18.20$19.0034.3%9.8%31.2%20.0%31.9%2.5%-0.0%183.5K-6.3M-72.8K1.0322.78N/AN/A93996315,26212,663
2017-07-06$17.75$18.0034.8%10.0%31.1%21.1%34.3%2.3%4.3%106.6K-4.3M-71.2K0.9719.43N/AN/A1,01298415,28712,678
2017-07-07$18.22$18.0034.8%9.9%31.0%21.1%34.7%3.5%5.5%175.5K-6.2M-71.2K0.9716.85N/AN/A98395815,37712,709
2017-07-10$18.10$18.0033.6%9.9%27.5%18.3%34.2%3.3%5.0%150.3K-5.8M-69.3K0.9213.14N/AN/A1,04696615,49812,723
2017-07-11$18.25$18.0034.5%9.7%27.5%20.3%33.3%4.0%4.8%162.1K-6.3M-69.3K1.0013.98N/AN/A96596715,48212,741
2017-07-12$18.65$18.0034.1%9.8%28.6%19.4%34.1%4.2%3.9%261.8K-8.3M-69.2K0.9313.52N/AN/A93186215,57112,753
2017-07-13$18.75$18.0032.5%9.3%27.7%15.8%33.6%2.0%5.9%273.2K-8.6M-69.4K0.9214.86N/AN/A93486315,58112,752
2017-07-14$18.86$18.0032.5%9.3%27.5%15.8%32.9%2.9%5.2%319.0K-9.5M-68.6K0.8010.11N/AN/A1,14791615,76912,764
2017-07-17$19.03$18.0032.8%9.4%27.6%16.6%33.3%2.9%5.4%344.0K-10.0M-66.6K0.8812.73N/AN/A1,07494115,79112,824
2017-07-18$19.24$18.0031.2%8.9%25.8%12.7%31.8%3.2%7.1%449.9K-11.4M-66.9K0.7513.00N/AN/A1,16787815,82912,850
2017-07-19$19.91$18.0031.7%9.1%27.3%13.9%32.1%1.6%5.9%889.4K-15.9M-69.4K0.8313.90N/AN/A2,1811,81915,93413,486
2017-07-20$19.77$19.0032.2%9.2%27.5%15.1%31.4%0.1%6.5%973.1K-14.9M-69.0K1.0616.99N/AN/A1,7141,81115,93613,799
2017-07-21$19.66$19.0030.2%8.6%27.5%10.4%30.6%2.5%7.8%96.1K-12.2M-71.0K0.8012.02N/AN/A1,4291,15016,17614,709
2017-07-24$19.74$19.0029.0%8.3%27.3%7.8%29.1%4.4%8.5%123.2K-11.3M-71.2K0.2510.27N/AN/A3,03076412,35112,199
2017-07-25$19.90$19.0029.9%8.6%27.4%9.9%30.1%1.0%8.5%267.5K-13.4M-73.5K0.4414.43N/AN/A3,4871,53214,64012,105
2017-07-26$19.89$19.0029.9%8.6%27.4%9.9%30.6%0.5%8.4%363.3K-14.3M-72.9K0.4224.51N/AN/A1,76974215,40611,852
2017-07-27$19.43$19.0029.7%8.5%28.0%9.4%29.2%3.4%8.6%333.5K-11.8M-73.0K0.2918.51N/AN/A3,15692115,48211,895
2017-07-28$19.27$19.0029.3%8.4%23.9%8.3%28.3%2.6%9.6%285.7K-10.9M-73.1K0.4214.89N/AN/A2,02986015,29812,069
2017-07-31$18.84$19.0031.1%8.9%25.3%12.5%30.3%0.4%7.5%234.6K-9.0M-71.4K0.4811.65N/AN/A1,72882215,38612,072