BOX Options History — October 2017

In October 2017, BOX traded between $18.80 and $21.96. ATM implied volatility averaged 31.1%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 0.3% (HV 20d: 30.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.53.

Notable Days

2017-10-20: Highest Volume — 13,302 contracts
2017-10-30: Largest IV spike — 15.6% change
2017-10-30: Highest IV Rank — 18.2%
2017-10-30: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.22	$18.80	$21.96	$18.80	$21.96
Max Pain	$19.18	$19.00	$20.00	$19.00	$20.00
ATM IV	31.1%	28.5%	33.6%	31.8%	32.3%
Expected Move	8.9%	8.2%	9.6%	9.1%	9.3%
HV 20d	30.8%	27.5%	35.2%	32.3%	30.6%
HV 60d	27.7%	25.4%	29.8%	26.4%	29.8%
IV Rank	12.5%	6.5%	18.2%	14.1%	15.4%
IV Percentile	26.5%	10.7%	48.0%	28.2%	39.3%
Term Structure	5.5%	0.6%	9.0%	1.7%	6.3%
VWIV	31.8%	28.3%	34.5%	32.4%	32.7%
Skew 25d	1.1%	-1.8%	6.8%	1.5%	0.3%
Skew 10d	0.7%	-9.2%	10.5%	-2.1%	-0.5%
Call IV 25d	31.8%	27.9%	34.6%	33.6%	33.2%
Put IV 25d	32.9%	30.4%	35.1%	35.1%	33.5%
Bid-Ask Spread %	23.50	11.56	66.11	23.82	16.70
Gamma HHI	0.31	0.18	0.41	0.33	0.18
Net GEX	762.0K	479.7K	1.2M	479.7K	722.6K
Net DEX	-22.2M	-38.5M	-10.7M	-10.7M	-31.2M
Net VEX	-78.7K	-85.0K	-70.3K	-77.5K	-78.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.14	1.00	0.50	0.54
Total Volume	4,578	1,884	13,302	2,982	4,171
Total OI	35,728.5	31,380	38,664	31,380	38,658

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
2017-10-02	$18.80	$19.00	31.8%	9.1%	32.3%	14.1%	32.4%	1.5%	1.7%	479.7K	-10.7M	-77.5K	0.50	23.82	N/A	N/A	1,983	999	18,259	13,121
2017-10-03	$19.25	$19.00	32.6%	9.3%	30.2%	16.0%	32.7%	6.8%	0.6%	588.6K	-13.7M	-79.5K	0.50	11.91	N/A	N/A	2,273	1,135	18,460	13,199
2017-10-04	$19.17	$19.00	30.0%	8.6%	30.2%	10.1%	30.2%	1.4%	1.3%	703.5K	-14.1M	-80.1K	1.00	14.05	N/A	N/A	1,146	1,142	19,499	13,363
2017-10-05	$19.04	$19.00	30.8%	9.3%	30.2%	11.9%	33.1%	0.3%	4.8%	640.9K	-12.9M	-79.6K	0.86	17.90	N/A	N/A	1,109	959	19,543	13,598
2017-10-06	$19.23	$19.00	31.1%	9.1%	29.5%	12.5%	31.8%	1.8%	4.4%	717.7K	-14.1M	-79.6K	0.35	20.82	N/A	N/A	2,643	934	19,601	13,632
2017-10-09	$19.13	$19.00	32.9%	9.4%	28.6%	16.7%	33.1%	-0.7%	4.3%	653.6K	-13.1M	-77.2K	0.73	16.65	N/A	N/A	1,089	795	19,397	13,673
2017-10-10	$19.11	$19.00	32.5%	9.2%	27.8%	15.9%	32.7%	0.9%	5.2%	674.8K	-13.0M	-76.0K	0.76	17.40	N/A	N/A	1,262	954	19,451	13,657
2017-10-11	$19.20	$19.00	32.2%	9.2%	27.8%	15.2%	32.3%	1.3%	4.9%	676.3K	-13.8M	-76.2K	0.25	15.73	N/A	N/A	5,218	1,325	19,494	13,769
2017-10-12	$19.26	$19.00	31.5%	9.0%	27.5%	13.5%	31.1%	2.2%	5.3%	1.0M	-16.3M	-80.0K	0.72	24.19	N/A	N/A	1,887	1,357	22,355	14,266
2017-10-13	$20.17	$19.00	30.0%	8.6%	31.6%	10.1%	30.6%	-0.2%	5.6%	1.2M	-27.1M	-76.8K	0.38	18.46	N/A	N/A	6,562	2,500	22,740	14,329
2017-10-16	$20.01	$19.00	31.2%	8.9%	31.2%	12.8%	32.1%	2.4%	5.6%	1.2M	-24.7M	-76.5K	0.54	20.67	N/A	N/A	1,881	1,023	22,930	14,783
2017-10-17	$20.19	$19.00	30.8%	8.8%	31.3%	11.9%	31.4%	3.0%	4.1%	1.2M	-26.9M	-74.6K	0.51	13.51	N/A	N/A	1,966	1,012	23,041	14,944
2017-10-18	$20.53	$19.00	28.9%	8.3%	29.6%	7.6%	29.4%	2.2%	7.1%	998.9K	-29.9M	-74.2K	0.16	17.39	N/A	N/A	5,553	904	23,188	14,904
2017-10-19	$20.58	$19.00	28.5%	8.2%	28.0%	6.5%	28.3%	1.7%	7.9%	842.1K	-30.6M	-76.3K	0.38	12.86	N/A	N/A	2,312	883	23,722	14,942
2017-10-20	$21.52	$19.00	30.2%	8.7%	29.5%	10.5%	31.5%	2.1%	7.0%	500.1K	-38.5M	-70.3K	0.14	57.95	N/A	N/A	11,674	1,628	23,674	14,935
2017-10-23	$20.60	$19.00	30.9%	8.9%	34.8%	12.1%	33.2%	-1.7%	7.8%	603.9K	-21.2M	-82.4K	0.52	22.25	N/A	N/A	2,884	1,497	21,237	13,381
2017-10-24	$21.12	$19.00	30.6%	8.8%	35.2%	11.4%	31.7%	-1.8%	8.6%	690.3K	-25.1M	-83.3K	0.69	66.11	N/A	N/A	2,485	1,714	22,216	13,493
2017-10-25	$21.35	$19.00	31.6%	9.1%	33.9%	13.8%	32.3%	0.7%	7.1%	687.1K	-26.6M	-85.0K	0.81	13.94	N/A	N/A	3,208	2,601	22,692	13,950
2017-10-26	$21.53	$20.00	30.4%	8.7%	33.9%	11.1%	34.5%	0.3%	7.8%	637.4K	-27.6M	-84.0K	0.52	18.44	N/A	N/A	3,075	1,592	22,575	15,013
2017-10-27	$21.60	$20.00	29.0%	8.3%	33.1%	7.8%	29.8%	0.1%	9.0%	652.6K	-29.1M	-81.5K	0.33	64.73	N/A	N/A	4,585	1,520	22,699	15,063
2017-10-30	$21.53	$20.00	33.6%	9.6%	30.8%	18.2%	32.8%	0.1%	3.5%	689.3K	-27.9M	-82.7K	0.38	11.56	N/A	N/A	3,826	1,450	23,352	15,229
2017-10-31	$21.96	$20.00	32.3%	9.3%	30.6%	15.4%	32.7%	0.3%	6.3%	722.6K	-31.2M	-78.8K	0.54	16.70	N/A	N/A	2,703	1,468	23,416	15,242