BOX Options History — November 2017

In November 2017, BOX traded between $20.97 and $23.82. ATM implied volatility averaged 43.0%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 15.4% (HV 20d: 27.6%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2017-11-29: Highest Volume — 12,325 contracts
  • 2017-11-30: Largest IV drop — 42.0% change
  • 2017-11-29: Highest IV Rank — 90.0%
  • 2017-11-29: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.23$20.97$23.82$21.85$20.97
Max Pain$19.81$19.00$22.00$20.00$22.00
ATM IV43.0%29.7%64.7%31.3%37.5%
Expected Move12.8%9.0%18.6%9.0%10.8%
HV 20d27.6%19.6%32.6%30.6%32.2%
HV 60d29.1%28.4%31.0%29.8%31.0%
IV Rank39.9%9.4%90.0%12.9%27.4%
IV Percentile76.0%17.5%99.6%31.3%73.8%
Term Structure-6.3%-17.1%8.1%8.1%-2.5%
VWIV44.9%33.0%66.9%33.0%39.2%
Skew 25d1.6%-4.5%4.0%1.4%-4.5%
Skew 10d2.9%-4.9%10.2%0.5%-4.9%
Call IV 25d45.3%31.9%68.2%31.9%42.0%
Put IV 25d47.0%33.2%68.7%33.2%37.6%
Bid-Ask Spread %21.4012.4753.7553.7512.47
Gamma HHI0.200.140.340.180.30
Net GEX629.0K-159.1K947.1K741.1K-159.1K
Net DEX-29.2M-36.6M-6.0M-31.0M-6.0M
Net VEX-79.9K-99.0K-71.6K-78.7K-97.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.211.260.461.09
Total Volume4,982.1433,03812,3253,3747,331
Total OI39,766.90532,82849,71539,05649,715

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$21.85$20.0031.3%9.0%30.6%12.9%33.0%1.4%8.1%741.1K-31.0M-78.7K0.4653.75N/AN/A2,3121,06223,71815,338
2017-11-02$22.11$19.0030.6%11.6%30.2%11.5%44.0%2.4%-3.8%746.3K-32.6M-79.4K0.4618.40N/AN/A3,2261,48823,80615,321
2017-11-03$21.91$19.0029.7%11.3%30.8%9.4%41.7%2.3%-3.7%788.0K-31.5M-81.5K0.5820.12N/AN/A2,4031,38624,86515,380
2017-11-06$21.73$19.0033.1%11.8%30.9%17.3%43.0%1.8%-5.1%784.3K-30.4M-80.6K0.5915.70N/AN/A2,2241,30324,97315,425
2017-11-07$21.47$19.0032.8%11.5%31.5%16.4%37.8%1.4%-4.7%756.8K-28.8M-78.8K0.6016.21N/AN/A2,4001,44725,05015,505
2017-11-08$22.00$19.0040.3%11.6%32.2%33.8%39.1%0.9%-4.2%789.4K-32.9M-75.8K0.6826.58N/AN/A2,0111,37425,09415,668
2017-11-09$21.84$19.0041.4%11.9%32.6%36.2%39.4%2.5%-6.1%791.4K-31.5M-77.7K0.6234.24N/AN/A1,9691,22225,25015,738
2017-11-10$22.02$19.0040.5%11.6%29.0%34.1%39.3%2.2%-4.0%850.0K-33.1M-78.3K0.6616.12N/AN/A1,8571,22225,51515,766
2017-11-13$21.94$19.0041.0%11.7%28.8%35.3%39.7%3.0%-3.7%819.2K-32.5M-73.9K0.6915.94N/AN/A1,8091,24725,47015,812
2017-11-14$21.90$19.0043.1%12.3%28.8%40.1%40.0%2.0%-6.6%835.2K-32.5M-72.9K0.7019.38N/AN/A1,7881,25025,50515,868
2017-11-15$21.83$19.0043.8%12.6%28.5%41.8%43.0%4.0%-5.7%836.1K-31.9M-72.8K0.6722.35N/AN/A2,0981,39825,63415,912
2017-11-16$22.27$20.0044.5%12.7%29.2%43.4%45.4%2.7%-6.5%947.1K-35.0M-71.6K0.2120.09N/AN/A6,1311,26325,58216,057
2017-11-17$22.10$20.0046.1%13.2%25.1%47.1%43.9%3.4%-7.7%480.5K-36.6M-76.3K0.5117.20N/AN/A2,7221,38127,04916,073
2017-11-20$22.74$20.0047.5%13.6%20.6%50.3%47.2%2.5%-8.7%511.3K-27.3M-73.9K0.3613.96N/AN/A3,6351,29219,57113,257
2017-11-21$23.08$20.0045.5%13.1%19.6%45.8%46.7%2.1%-7.3%589.9K-30.6M-80.6K0.2816.32N/AN/A4,5671,26121,25213,538
2017-11-22$23.57$20.0047.2%13.5%20.4%49.6%47.2%0.2%-7.5%515.1K-29.7M-76.0K0.5817.31N/AN/A2,5761,50019,71813,671
2017-11-24$23.82$20.0049.0%14.0%20.4%53.8%50.0%2.8%-8.9%553.8K-31.5M-78.1K0.6233.43N/AN/A2,1921,35420,81214,028
2017-11-27$23.01$20.0054.6%15.7%24.8%66.7%55.8%1.4%-11.7%522.9K-27.2M-81.8K1.0823.88N/AN/A4,4944,85121,11514,103
2017-11-28$22.76$22.0058.2%16.7%25.2%75.1%60.5%-0.3%-14.7%318.9K-23.6M-92.7K0.6419.57N/AN/A4,4122,84222,37617,695
2017-11-29$21.91$22.0064.7%18.6%28.2%90.0%66.9%0.5%-17.1%189.6K-17.2M-99.0K1.2616.31N/AN/A5,4446,88123,55819,322
2017-11-30$20.97$22.0037.5%10.8%32.2%27.4%39.2%-4.5%-2.5%-159.1K-6.0M-97.5K1.0912.47N/AN/A3,5033,82825,99323,722