BOX Options History — August 2017

In August 2017, BOX traded between $17.97 and $19.76. ATM implied volatility averaged 40.3%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 16.7% (HV 20d: 23.6%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.57.

Notable Days

2017-08-30: Highest Volume — 14,990 contracts
2017-08-31: Largest IV drop — 50.4% change
2017-08-30: Highest IV Rank — 79.5%
2017-08-30: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.98	$17.97	$19.76	$19.02	$19.63
Max Pain	$17.65	$17.00	$19.00	$19.00	$19.00
ATM IV	40.3%	29.1%	60.1%	29.8%	29.8%
Expected Move	12.0%	8.5%	17.2%	8.5%	8.5%
HV 20d	23.6%	20.2%	26.2%	24.8%	22.9%
HV 60d	33.3%	25.9%	37.1%	37.1%	25.9%
IV Rank	33.7%	7.9%	79.5%	9.5%	9.6%
IV Percentile	62.5%	11.5%	98.0%	14.7%	15.9%
Term Structure	-3.7%	-17.3%	9.0%	9.0%	-0.0%
VWIV	42.3%	29.7%	62.0%	29.7%	30.2%
Skew 25d	3.6%	0.9%	6.4%	2.0%	2.2%
Skew 10d	7.6%	-12.2%	24.8%	-8.3%	3.8%
Call IV 25d	40.7%	29.1%	59.8%	29.1%	29.4%
Put IV 25d	44.3%	31.1%	62.5%	31.1%	31.6%
Bid-Ask Spread %	15.26	10.20	29.32	12.16	10.20
Gamma HHI	0.21	0.14	0.29	0.29	0.29
Net GEX	162.6K	-36.6K	259.8K	259.8K	-36.6K
Net DEX	-9.3M	-12.9M	-5.2M	-9.7M	-12.2M
Net VEX	-67.3K	-82.7K	-63.6K	-71.0K	-82.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.29	2.66	0.46	0.42
Total Volume	3,948.696	2,552	14,990	2,634	8,197
Total OI	27,968.391	24,171	42,689	27,496	42,689

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
2017-08-01	$19.02	$19.00	29.8%	8.5%	24.8%	9.5%	29.7%	2.0%	9.0%	259.8K	-9.7M	-71.0K	0.46	12.16	N/A	N/A	1,809	825	15,422	12,074
2017-08-02	$18.78	$19.00	32.0%	9.2%	25.3%	14.6%	32.4%	2.4%	8.3%	219.6K	-8.6M	-70.6K	0.47	14.05	N/A	N/A	1,733	819	15,373	12,069
2017-08-03	$18.74	$17.00	30.4%	11.1%	23.3%	10.9%	40.6%	2.0%	-0.3%	214.0K	-8.4M	-69.9K	0.47	18.10	N/A	N/A	1,777	829	15,402	12,072
2017-08-04	$18.66	$17.00	29.3%	11.2%	21.7%	8.4%	40.0%	0.9%	-0.5%	192.1K	-8.0M	-69.0K	0.47	16.26	N/A	N/A	1,837	863	15,361	12,081
2017-08-07	$18.82	$17.00	29.1%	11.5%	21.6%	7.9%	41.7%	2.5%	-1.8%	213.3K	-8.6M	-67.5K	0.47	14.77	N/A	N/A	1,794	848	15,462	12,101
2017-08-08	$18.78	$17.00	32.1%	11.2%	21.6%	14.9%	39.4%	3.0%	-1.2%	203.8K	-8.2M	-67.0K	0.41	16.53	N/A	N/A	1,807	748	15,529	12,140
2017-08-09	$18.75	$17.00	40.5%	11.6%	20.2%	34.2%	39.5%	2.9%	-1.9%	199.2K	-8.2M	-67.1K	0.40	16.75	N/A	N/A	1,846	743	15,581	12,133
2017-08-10	$17.97	$17.00	42.1%	12.1%	25.1%	38.0%	42.4%	3.7%	-1.8%	101.8K	-5.2M	-64.2K	0.36	14.24	N/A	N/A	2,291	821	15,589	12,121
2017-08-11	$18.18	$17.00	41.9%	12.0%	25.5%	37.3%	41.2%	4.5%	-2.7%	111.6K	-5.9M	-66.8K	0.33	14.75	N/A	N/A	2,427	794	15,867	12,151
2017-08-14	$18.52	$17.00	39.8%	11.4%	26.2%	32.6%	40.3%	5.0%	-1.7%	128.7K	-7.4M	-63.9K	0.29	15.71	N/A	N/A	2,660	767	15,962	12,159
2017-08-15	$18.63	$17.00	41.2%	11.8%	26.0%	35.9%	41.6%	4.2%	-2.9%	132.6K	-7.8M	-64.0K	0.32	11.20	N/A	N/A	2,444	770	16,053	12,152
2017-08-16	$18.85	$17.00	40.9%	11.7%	22.9%	35.2%	41.7%	3.9%	-2.7%	123.0K	-8.8M	-64.0K	0.38	17.01	N/A	N/A	2,656	1,018	16,068	12,159
2017-08-17	$18.66	$17.00	42.7%	12.2%	23.0%	39.2%	43.7%	3.1%	-3.4%	150.9K	-8.2M	-64.4K	0.36	14.91	N/A	N/A	2,699	978	16,189	12,100
2017-08-18	$18.80	$17.00	43.0%	12.3%	23.3%	39.9%	43.3%	5.6%	-4.6%	122.0K	-8.3M	-63.6K	0.40	10.90	N/A	N/A	2,391	951	16,357	12,135
2017-08-21	$18.91	$18.00	42.9%	12.3%	23.3%	39.7%	41.5%	4.4%	-5.0%	129.5K	-9.1M	-63.8K	0.33	16.44	N/A	N/A	1,946	644	12,723	11,448
2017-08-22	$19.39	$18.00	45.1%	12.9%	25.0%	44.9%	44.6%	4.9%	-7.9%	178.7K	-11.1M	-64.8K	0.53	12.64	N/A	N/A	1,923	1,011	13,241	11,458
2017-08-23	$19.56	$18.00	43.9%	12.6%	25.3%	42.2%	45.5%	4.4%	-7.8%	189.0K	-11.9M	-65.2K	0.67	12.28	N/A	N/A	1,556	1,048	13,542	11,775
2017-08-24	$19.76	$18.00	43.4%	12.4%	24.1%	40.9%	43.5%	6.4%	-7.9%	203.8K	-12.8M	-64.3K	0.53	12.14	N/A	N/A	1,937	1,017	13,569	11,677
2017-08-25	$19.60	$18.00	42.7%	12.2%	24.1%	39.3%	43.8%	4.1%	-6.2%	241.2K	-12.7M	-64.3K	0.76	13.55	N/A	N/A	1,627	1,229	14,138	11,659
2017-08-28	$19.64	$18.00	47.7%	13.7%	22.4%	50.9%	47.3%	3.1%	-11.0%	251.7K	-12.9M	-65.3K	0.60	11.00	N/A	N/A	1,614	966	14,353	11,944
2017-08-29	$19.32	$18.00	56.3%	16.1%	23.2%	70.7%	56.9%	5.1%	-14.9%	221.1K	-11.5M	-66.6K	2.66	29.32	N/A	N/A	2,507	6,663	14,578	12,040
2017-08-30	$19.56	$19.00	60.1%	17.2%	22.9%	79.5%	62.0%	2.7%	-17.3%	-11.1K	-9.2M	-77.8K	1.00	26.08	N/A	N/A	7,508	7,482	15,410	17,167
2017-08-31	$19.63	$19.00	29.8%	8.5%	22.9%	9.6%	30.2%	2.2%	-0.0%	-36.6K	-12.2M	-82.7K	0.42	10.20	N/A	N/A	5,780	2,417	19,913	22,776