BOX Options History — March 2018

In March 2018, BOX traded between $18.40 and $22.77. ATM implied volatility averaged 40.3%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 62.6% (HV 20d: 103.0%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2018-03-01: Highest Volume — 21,696 contracts
  • 2018-03-12: Largest IV spike — 20.4% change
  • 2018-03-28: Highest IV Rank — 51.1%
  • 2018-03-28: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.63$18.40$22.77$18.40$20.56
Max Pain$21.14$20.00$23.00$23.00$21.00
ATM IV40.3%34.4%45.7%44.4%41.6%
Expected Move11.3%10.0%13.1%12.7%11.9%
HV 20d103.0%48.9%109.6%104.2%48.9%
HV 60d65.7%64.5%68.6%65.6%68.6%
IV Rank37.5%22.5%51.1%48.1%40.8%
IV Percentile75.9%60.7%88.5%85.7%77.8%
Term Structure1.8%-5.6%7.5%-5.6%-0.6%
VWIV41.0%35.3%48.0%48.0%43.0%
Skew 25d2.1%-1.5%4.6%-0.6%3.2%
Skew 10d7.5%-5.7%25.9%-5.7%4.3%
Call IV 25d40.1%33.3%47.0%47.0%42.1%
Put IV 25d42.2%36.9%49.4%46.3%45.3%
Bid-Ask Spread %22.1714.3340.3922.0721.81
Gamma HHI0.170.110.390.120.13
Net GEX413.3K-101.0K845.1K-101.0K231.0K
Net DEX-3.1M-32.5M24.1M24.1M-7.6M
Net VEX-173.6K-210.4K-71.9K-71.9K-198.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.272.371.181.02
Total Volume8,156.0952,94821,69621,6963,504
Total OI55,051.85738,03062,80241,74457,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$18.40$23.0044.4%12.7%104.2%48.1%48.0%-0.6%-5.6%-101.0K24.1M-71.9K1.1822.07N/AN/A9,93811,75820,63121,113
2018-03-02$18.82$22.0040.3%11.5%104.7%37.4%39.2%-1.5%-0.8%-43.2K21.8M-116.4K0.6514.33N/AN/A7,5364,90725,31124,756
2018-03-05$18.79$22.0042.5%11.1%104.6%43.3%38.2%1.9%4.1%131.1K17.5M-142.0K1.0919.31N/AN/A2,6832,93129,95925,467
2018-03-06$19.43$22.0040.2%10.8%104.4%37.3%36.6%2.0%5.8%262.4K14.3M-145.5K0.4216.05N/AN/A6,8052,85830,23725,293
2018-03-07$20.10$22.0038.7%11.1%105.3%33.4%40.1%2.3%4.7%424.8K4.4M-177.6K0.7621.14N/AN/A7,7465,88534,06325,470
2018-03-08$20.73$21.0036.4%10.5%105.9%27.6%41.7%3.4%6.6%550.9K-2.0M-182.7K2.3721.93N/AN/A2,4275,74435,24725,977
2018-03-09$20.94$21.0034.4%10.4%105.1%22.5%37.1%2.4%6.1%638.4K-2.5M-179.8K0.6216.14N/AN/A3,4302,11635,35826,729
2018-03-12$20.76$21.0041.4%10.0%105.0%40.4%35.3%2.0%7.3%738.4K-1.4M-173.5K0.7418.70N/AN/A1,9441,44635,36226,659
2018-03-13$20.41$21.0043.9%10.7%105.2%46.8%38.4%2.5%5.4%748.6K3.0M-169.0K0.8918.09N/AN/A2,0261,80035,31026,703
2018-03-14$20.75$21.0035.7%10.2%105.3%25.7%38.7%4.6%6.3%845.1K-1.1M-172.8K0.6117.78N/AN/A2,5161,53335,82426,978
2018-03-15$21.10$21.0035.0%10.0%104.4%23.9%36.9%3.1%7.5%792.4K-3.5M-170.2K0.6429.39N/AN/A2,3881,52735,17627,019
2018-03-16$21.35$21.0035.3%10.1%103.3%24.7%35.8%3.6%7.2%191.9K-5.3M-170.1K0.4217.17N/AN/A5,3242,23034,83027,041
2018-03-19$20.92$21.0038.3%11.0%103.5%32.4%39.4%3.7%-3.0%198.4K-9.5M-170.5K1.4517.35N/AN/A1,8942,73921,50316,527
2018-03-20$21.66$21.0039.6%11.3%104.1%35.7%42.1%2.5%-2.0%229.1K-13.0M-180.3K0.2821.28N/AN/A7,8032,21021,81817,669
2018-03-21$22.70$20.0040.9%11.7%105.5%39.0%42.5%-0.4%-2.5%547.1K-29.0M-191.8K0.2740.39N/AN/A9,1782,51527,53818,264
2018-03-22$22.77$20.0042.1%12.1%105.5%42.1%46.4%0.8%-1.5%727.0K-32.5M-210.2K0.8638.48N/AN/A5,3644,62832,41819,225
2018-03-23$20.91$20.0043.1%12.4%109.2%44.6%45.8%1.2%-1.9%649.0K-16.5M-210.4K0.7036.40N/AN/A11,5528,13634,53221,645
2018-03-26$21.35$21.0041.3%11.8%109.0%39.9%41.0%3.5%-1.4%502.6K-14.8M-210.1K0.4820.69N/AN/A3,3321,58933,40423,765
2018-03-27$20.49$21.0045.5%13.0%109.6%50.6%47.0%1.3%-2.5%245.7K-6.9M-203.7K1.1422.84N/AN/A1,3751,57333,10323,822
2018-03-28$20.20$21.0045.7%13.1%109.5%51.1%47.4%2.7%-2.3%169.0K-4.1M-198.8K1.5114.33N/AN/A1,7502,63833,24223,896
2018-03-29$20.56$21.0041.6%11.9%48.9%40.8%43.0%3.2%-0.6%231.0K-7.6M-198.1K1.0221.81N/AN/A1,7361,76833,54223,663