BOX Options History — September 2017

In September 2017, BOX traded between $17.50 and $19.34. ATM implied volatility averaged 31.7%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.1% (HV 20d: 27.6%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-09-01: Highest Volume — 7,982 contracts
  • 2017-09-05: Largest IV spike — 24.7% change
  • 2017-09-05: Highest IV Rank — 25.0%
  • 2017-09-06: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.39$17.50$19.34$19.07$19.34
Max Pain$18.80$18.00$19.00$19.00$18.00
ATM IV31.7%28.0%36.5%29.3%32.5%
Expected Move9.0%8.0%9.7%8.4%9.3%
HV 20d27.6%25.1%32.3%25.4%32.3%
HV 60d25.9%25.3%26.8%26.0%26.2%
IV Rank13.8%5.5%25.0%8.4%15.9%
IV Percentile26.5%9.1%57.1%13.5%34.5%
Term Structure2.8%-0.4%5.6%1.5%1.0%
VWIV31.3%29.5%33.0%29.5%31.6%
Skew 25d2.2%-0.3%5.8%-0.3%2.0%
Skew 10d3.7%-10.4%12.4%-10.4%10.7%
Call IV 25d30.7%28.3%33.4%30.6%31.1%
Put IV 25d32.9%30.2%35.1%30.2%33.1%
Bid-Ask Spread %15.489.4124.4415.4616.15
Gamma HHI0.330.180.570.340.35
Net GEX-136.5K-897.8K585.7K-199.7K585.7K
Net DEX-2.3M-14.2M7.4M-5.7M-14.2M
Net VEX-71.3K-82.6K-63.9K-82.6K-81.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.291.420.360.59
Total Volume3,622.62,2017,9827,9822,957
Total OI36,055.8523,90446,51843,72831,532

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$19.07$19.0029.3%8.4%25.4%8.4%29.5%-0.3%1.5%-199.7K-5.7M-82.6K0.3615.46N/AN/A5,8572,12521,17122,557
2017-09-05$18.36$19.0036.5%9.2%28.7%25.0%31.4%1.5%4.9%-334.9K1.7M-76.4K0.8616.40N/AN/A1,9181,64422,21322,177
2017-09-06$18.31$19.0034.3%9.7%28.7%19.9%32.6%2.1%4.5%-485.9K3.1M-73.5K0.6613.93N/AN/A2,1961,45221,87922,381
2017-09-07$18.18$19.0033.3%9.6%28.8%17.6%33.0%0.9%4.4%-460.0K4.1M-72.6K0.9015.61N/AN/A1,7831,59822,60222,261
2017-09-08$17.88$19.0031.1%9.4%25.1%12.5%32.2%2.9%4.8%-445.7K7.4M-68.2K0.7613.58N/AN/A1,6801,27822,87022,322
2017-09-11$18.31$19.0035.8%9.2%26.3%23.3%31.2%1.6%4.9%-581.2K3.6M-67.4K0.6212.30N/AN/A1,55996622,91622,226
2017-09-12$18.69$19.0033.4%9.0%26.4%17.8%32.4%5.8%4.8%-787.8K40.3K-67.6K0.7215.90N/AN/A2,5781,84822,87622,234
2017-09-13$18.65$19.0031.5%9.0%26.4%13.4%31.1%2.7%3.9%-897.8K-25.4K-72.9K0.3814.86N/AN/A2,8211,07823,66622,852
2017-09-14$18.47$19.0031.2%8.9%26.2%12.7%31.4%3.8%5.6%-691.3K2.4M-71.1K0.4019.46N/AN/A2,5641,03623,45122,888
2017-09-15$18.46$19.0030.3%8.7%26.0%10.7%31.7%0.7%4.7%137.0K3.6M-67.3K1.4218.56N/AN/A2,4863,53423,53822,878
2017-09-18$18.21$19.0030.1%8.6%26.2%10.3%30.2%2.1%1.9%106.6K-5.1M-66.5K0.3814.79N/AN/A2,29788112,09311,811
2017-09-19$18.27$19.0030.8%8.8%26.1%11.9%30.4%2.4%-0.2%132.7K-5.6M-67.5K0.3312.05N/AN/A1,81159112,69611,934
2017-09-20$17.84$19.0029.1%8.4%25.2%8.0%31.5%1.4%1.9%90.4K-4.0M-64.9K1.189.41N/AN/A1,0091,19212,82411,976
2017-09-21$17.50$19.0030.9%8.9%25.3%12.2%30.5%1.8%-0.4%31.2K-2.5M-63.9K0.7314.44N/AN/A1,9871,45912,90712,590
2017-09-22$18.11$19.0031.2%8.9%28.5%12.7%31.9%4.3%-0.1%84.5K-4.6M-69.8K1.3016.03N/AN/A1,0431,35513,18712,873
2017-09-25$18.26$19.0031.6%9.1%28.8%13.8%31.1%3.4%0.8%103.1K-5.4M-69.5K0.4514.96N/AN/A2,9021,30813,25713,067
2017-09-26$18.18$18.0030.7%8.8%28.7%11.6%30.3%2.4%1.5%200.6K-6.1M-71.8K0.9017.82N/AN/A1,2341,10815,26913,068
2017-09-27$18.79$18.0028.0%8.0%31.1%5.5%29.5%0.8%3.1%327.4K-9.3M-75.2K0.9113.39N/AN/A1,1841,08115,72313,116
2017-09-28$18.83$18.0031.5%9.0%30.7%13.5%33.0%1.0%1.6%355.4K-10.2M-76.3K0.2924.44N/AN/A3,9171,13516,16413,072
2017-09-29$19.34$18.0032.5%9.3%32.3%15.9%31.6%2.0%1.0%585.7K-14.2M-81.1K0.5916.15N/AN/A1,8541,10318,44913,083