BOX Options History — December 2017

In December 2017, BOX traded between $19.77 and $21.51. ATM implied volatility averaged 35.4%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 5.0% (HV 20d: 40.4%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-12-04: Highest Volume — 17,216 contracts
  • 2017-12-13: Largest IV drop — 24.7% change
  • 2017-12-12: Highest IV Rank — 51.8%
  • 2017-12-05: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.83$19.77$21.51$20.86$21.14
Max Pain$20.35$20.00$22.00$22.00$21.00
ATM IV35.4%30.5%45.9%35.8%30.8%
Expected Move9.7%8.8%10.9%10.3%8.8%
HV 20d40.4%31.8%43.5%31.8%34.6%
HV 60d33.6%31.0%34.9%31.0%32.5%
IV Rank25.0%12.5%51.8%25.9%13.2%
IV Percentile54.8%24.6%94.0%67.5%26.6%
Term Structure4.0%-2.0%9.3%-2.0%3.6%
VWIV33.8%27.6%38.5%36.4%34.1%
Skew 25d0.9%-1.0%4.2%0.2%-1.0%
Skew 10d0.8%-12.6%10.3%-1.8%-12.6%
Call IV 25d34.1%30.8%38.6%36.2%32.1%
Put IV 25d35.0%31.1%40.5%36.4%31.1%
Bid-Ask Spread %12.988.7626.6411.129.31
Gamma HHI0.200.130.320.320.14
Net GEX-221.4K-741.7K27.7K-222.7K-8.5K
Net DEX-5.0M-11.8M5.2M-4.0M-10.9M
Net VEX-99.2K-116.2K-88.1K-93.7K-91.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.325.721.320.32
Total Volume4,313.62,29317,2164,6452,940
Total OI49,835.7536,38963,27749,71838,101

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$20.86$22.0035.8%10.3%31.8%25.9%36.4%0.2%-2.0%-222.7K-4.0M-93.7K1.3211.12N/AN/A2,0052,64026,08523,633
2017-12-04$19.77$20.0040.3%10.8%36.5%37.5%38.5%1.9%3.9%-209.0K5.2M-88.1K5.7226.64N/AN/A2,56014,65626,25724,297
2017-12-05$20.36$20.0044.6%10.9%38.5%48.5%38.2%2.1%4.7%-741.7K4.0M-109.4K0.8613.88N/AN/A4,6003,96526,44432,678
2017-12-06$20.50$20.0040.3%10.8%38.5%37.4%36.8%2.2%3.4%-665.0K1.3M-116.2K0.7913.87N/AN/A2,1461,70228,48833,432
2017-12-07$21.51$20.0037.5%10.2%41.5%30.4%37.0%4.2%4.5%-531.2K-10.4M-116.0K0.8514.20N/AN/A2,2301,89628,70633,695
2017-12-08$20.79$20.0037.1%10.4%43.1%29.3%36.2%0.2%4.1%-581.8K-1.7M-110.9K0.5312.47N/AN/A2,3611,25128,60233,529
2017-12-11$20.70$20.0044.8%10.6%42.9%49.1%37.1%-0.9%4.8%-569.3K-823.6K-105.8K0.4811.13N/AN/A2,6491,26028,60833,559
2017-12-12$20.67$20.0045.9%9.9%42.9%51.8%34.7%-0.4%6.2%-465.8K-220.3K-101.9K0.6413.27N/AN/A1,9531,25629,23733,585
2017-12-13$20.59$20.0034.6%9.9%42.9%22.8%34.5%1.1%6.3%-273.6K515.3K-98.8K0.7920.41N/AN/A1,8851,49129,30933,622
2017-12-14$20.63$20.0033.1%9.5%42.9%19.1%34.0%1.3%8.5%27.7K569.1K-98.3K1.2615.31N/AN/A1,7482,20029,35133,773
2017-12-15$21.14$20.0030.5%8.8%43.3%12.5%31.0%0.3%9.3%-16.3K-6.2M-97.7K0.9611.54N/AN/A2,7442,64529,22934,048
2017-12-18$21.38$20.0031.8%9.1%43.5%15.7%30.5%2.5%2.7%-1.4K-11.8M-97.8K0.5410.88N/AN/A1,64389118,51817,871
2017-12-19$20.91$20.0031.2%9.0%42.6%14.3%31.8%0.1%2.7%-24.8K-9.3M-95.4K0.8710.92N/AN/A1,3541,17318,71417,927
2017-12-20$20.91$21.0031.3%9.0%42.0%14.3%32.0%0.1%4.3%-44.0K-8.8M-94.8K0.929.15N/AN/A1,4101,30018,82718,020
2017-12-21$20.70$20.0031.1%8.9%40.9%13.8%32.0%0.2%2.9%-42.7K-8.0M-94.7K0.649.23N/AN/A1,9921,26819,01218,070
2017-12-22$20.67$20.0031.5%9.0%40.4%15.1%31.8%1.4%3.3%-18.0K-8.0M-94.2K0.698.76N/AN/A1,6891,16819,41918,142
2017-12-26$21.07$21.0032.4%9.3%40.1%17.4%32.2%1.8%1.8%-21.9K-10.3M-93.4K0.6914.48N/AN/A1,5631,08519,41818,370
2017-12-27$21.12$21.0031.8%9.1%40.1%15.8%29.9%0.2%2.0%-9.0K-10.6M-93.5K0.6113.47N/AN/A1,6551,00519,65618,415
2017-12-28$21.21$21.0031.7%9.1%38.0%15.4%27.6%-0.3%2.9%-8.0K-11.2M-92.7K0.659.59N/AN/A1,38890519,59018,478
2017-12-29$21.14$21.0030.8%8.8%34.6%13.2%34.1%-1.0%3.6%-8.5K-10.9M-91.0K0.329.31N/AN/A2,22571519,59418,507