BOX Options History — January 2018

In January 2018, BOX traded between $20.98 and $23.09. ATM implied volatility averaged 33.9%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 3.3% (HV 20d: 30.6%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2018-01-11: Highest Volume — 5,524 contracts
  • 2018-01-16: Largest IV spike — 7.1% change
  • 2018-01-30: Highest IV Rank — 30.3%
  • 2018-01-30: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.08$20.98$23.09$21.52$22.25
Max Pain$21.52$21.00$22.00$21.00$22.00
ATM IV33.9%31.1%37.5%33.2%36.0%
Expected Move9.8%9.2%10.7%9.5%10.3%
HV 20d30.6%26.4%35.1%35.1%32.3%
HV 60d33.3%32.3%34.6%32.6%32.7%
IV Rank21.0%13.9%30.3%19.4%26.5%
IV Percentile56.9%30.6%74.2%53.2%71.8%
Term Structure5.9%1.0%7.9%1.0%6.5%
VWIV33.7%27.1%37.0%34.5%34.5%
Skew 25d1.5%-0.6%4.4%2.5%3.1%
Skew 10d2.9%-9.9%15.8%-6.5%12.8%
Call IV 25d33.6%30.8%35.9%32.9%34.3%
Put IV 25d35.0%32.3%38.4%35.3%37.4%
Bid-Ask Spread %20.8410.1371.9510.7013.14
Gamma HHI0.170.150.210.150.18
Net GEX103.7K-76.2K257.4K29.0K137.1K
Net DEX-13.9M-23.6M-8.7M-13.2M-9.3M
Net VEX-86.4K-90.6K-81.7K-90.3K-88.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.182.520.400.93
Total Volume3,123.9052,0465,5242,9662,115
Total OI34,01322,36543,45138,78023,920

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$21.52$21.0033.2%9.5%35.1%19.4%34.5%2.5%1.0%29.0K-13.2M-90.3K0.4010.70N/AN/A2,12484220,25918,521
2018-01-03$21.69$21.0032.2%9.2%28.4%16.7%27.1%2.6%1.3%111.4K-14.9M-90.6K0.4510.13N/AN/A2,14195620,99618,574
2018-01-04$22.31$21.0031.1%9.4%28.3%14.1%32.3%1.6%5.7%222.0K-19.5M-90.2K0.4315.27N/AN/A2,4041,03921,15818,725
2018-01-05$21.43$21.0031.1%9.4%32.4%13.9%32.5%-0.4%6.0%-10.3K-12.4M-88.1K0.2912.98N/AN/A2,47871321,07218,852
2018-01-08$21.54$21.0032.6%9.4%27.6%17.9%32.2%2.8%6.2%11.0K-13.2M-86.9K0.5714.80N/AN/A1,42781821,34418,881
2018-01-09$20.98$21.0031.5%9.5%26.4%14.9%32.6%-0.6%7.1%-73.3K-8.7M-83.6K0.6112.19N/AN/A1,46389321,22319,028
2018-01-10$21.20$21.0033.4%9.6%26.6%19.9%33.1%-0.1%7.1%-76.2K-10.0M-83.6K0.5112.06N/AN/A1,51277421,49619,072
2018-01-11$22.13$21.0032.4%9.3%30.4%17.3%33.6%2.6%6.4%10.5K-17.9M-85.5K2.5221.28N/AN/A1,5693,95521,59519,119
2018-01-12$22.25$21.0032.6%9.4%30.3%17.9%34.8%2.2%7.4%257.4K-20.4M-84.0K1.2123.65N/AN/A1,5521,87921,72519,003
2018-01-16$22.11$21.0035.0%10.0%30.5%23.9%35.0%0.7%6.3%168.0K-19.1M-81.7K1.8248.67N/AN/A1,4492,64321,86219,182
2018-01-17$22.29$22.0034.0%9.8%29.6%21.5%33.8%0.0%6.8%101.1K-20.1M-83.4K0.4431.74N/AN/A1,77777921,90120,432
2018-01-18$21.95$22.0033.9%9.7%30.0%21.0%33.4%1.5%6.2%-17.6K-15.8M-82.9K0.4571.95N/AN/A3,4471,56321,65120,476
2018-01-19$22.68$22.0033.8%9.7%30.6%20.9%34.8%-0.3%6.7%103.4K-23.6M-84.9K0.1819.63N/AN/A4,19876022,91620,535
2018-01-22$22.71$22.0033.1%9.5%30.6%19.2%33.4%2.5%7.9%226.8K-11.8M-86.9K0.2015.73N/AN/A2,72354513,3449,273
2018-01-23$23.09$22.0034.9%10.0%30.5%23.6%34.5%2.2%6.3%253.1K-13.7M-84.9K0.1820.50N/AN/A2,88152313,1839,315
2018-01-24$22.51$22.0035.3%10.1%32.3%24.6%35.6%0.7%5.8%166.7K-11.0M-85.4K0.5914.95N/AN/A1,32378512,9969,369
2018-01-25$22.23$22.0035.4%10.2%32.3%25.0%34.6%-0.5%5.3%140.8K-9.8M-86.1K0.8218.28N/AN/A1,2851,05413,1139,513
2018-01-26$22.36$22.0035.2%10.1%32.3%24.4%34.6%0.7%7.4%150.3K-10.0M-89.2K0.4816.41N/AN/A1,48071213,3489,835
2018-01-29$22.11$22.0036.9%10.6%32.7%28.9%37.0%2.5%6.5%122.4K-8.8M-88.7K0.7918.94N/AN/A1,14690013,61010,046
2018-01-30$22.29$22.0037.5%10.7%32.7%30.3%33.8%4.4%4.0%143.3K-9.4M-88.8K0.3914.71N/AN/A2,14782813,65510,155
2018-01-31$22.25$22.0036.0%10.3%32.3%26.5%34.5%3.1%6.5%137.1K-9.3M-88.1K0.9313.14N/AN/A1,0961,01913,65910,261