BOX Options History — September 2018

In September 2018, BOX traded between $23.50 and $25.16. ATM implied volatility averaged 38.7%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 11.3% (HV 20d: 50.0%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2018-09-17: Highest Volume — 23,974 contracts
  • 2018-09-10: Largest IV spike — 4.7% change
  • 2018-09-12: Highest IV Rank — 30.4%
  • 2018-09-12: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.18$23.50$25.16$24.54$23.90
Max Pain$24.11$24.00$25.00$25.00$24.00
ATM IV38.7%36.9%41.0%37.8%37.0%
Expected Move11.1%10.6%11.8%10.8%10.6%
HV 20d50.0%32.5%53.3%50.3%32.8%
HV 60d43.4%40.7%46.7%45.5%40.7%
IV Rank24.9%20.2%30.4%22.8%20.2%
IV Percentile40.0%29.0%51.6%40.1%29.0%
Term Structure3.8%-0.6%6.8%-0.4%0.5%
VWIV39.4%37.4%40.8%37.9%37.4%
Skew 25d-0.3%-2.5%1.6%0.4%-0.5%
Skew 10d-1.1%-5.6%2.2%0.0%0.4%
Call IV 25d39.9%37.3%42.8%39.6%37.6%
Put IV 25d39.7%37.1%42.7%40.0%37.1%
Bid-Ask Spread %11.967.8215.358.8211.59
Gamma HHI0.110.090.160.110.10
Net GEX1.0M-306.8K2.3M1.8M916.9K
Net DEX-24.9M-60.5M10.5M-36.5M-26.4M
Net VEX-481.7K-519.0K-451.1K-507.2K-460.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.342.200.340.48
Total Volume11,454.6845,48023,97411,7925,480
Total OI163,833.947108,948190,336176,216114,958

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$24.54$25.0037.8%10.8%50.3%22.8%37.9%0.4%-0.4%1.8M-36.5M-507.2K0.348.82N/AN/A8,8172,975115,71860,498
2018-09-05$23.57$25.0039.3%11.3%50.9%26.4%40.8%-0.1%0.5%809.6K-6.9M-478.1K0.588.93N/AN/A11,5186,688115,99161,062
2018-09-06$24.40$24.0037.9%11.0%52.7%23.2%39.7%0.7%5.8%1.7M-36.5M-509.9K0.4113.19N/AN/A8,6393,499116,85260,113
2018-09-07$24.51$24.0037.5%11.0%52.1%22.2%39.7%0.7%6.2%1.6M-38.4M-506.8K0.4214.49N/AN/A8,0263,341116,87361,124
2018-09-10$24.67$24.0039.3%11.6%52.1%26.2%40.6%-0.7%5.1%1.8M-43.7M-497.9K0.7015.10N/AN/A8,7556,138116,71060,664
2018-09-11$25.16$24.0039.7%11.3%52.0%27.4%40.0%0.2%6.3%2.3M-60.5M-519.0K0.5312.98N/AN/A9,2084,921118,41162,611
2018-09-12$24.86$24.0041.0%11.8%51.7%30.4%40.8%0.6%4.8%1.7M-46.1M-507.8K1.0214.81N/AN/A5,0655,162116,82062,439
2018-09-13$24.81$24.0039.2%11.2%51.4%26.1%39.7%-0.7%6.7%1.5M-43.2M-498.6K0.8911.94N/AN/A4,5864,063117,87962,963
2018-09-14$24.80$24.0038.5%11.0%51.4%24.5%38.8%-0.6%6.1%1.7M-44.3M-489.6K2.2013.43N/AN/A5,56412,229117,39962,820
2018-09-17$23.70$24.0039.8%11.4%53.0%27.5%40.8%-1.3%5.9%-72.6K2.2M-468.5K0.9213.53N/AN/A12,46911,505117,23167,956
2018-09-18$24.09$24.0040.1%11.5%52.6%28.3%40.5%-1.8%6.8%434.3K-13.1M-486.0K0.6211.96N/AN/A5,8463,621120,71268,852
2018-09-19$23.50$24.0039.6%11.3%53.0%27.0%40.1%-0.6%5.8%-306.8K10.1M-469.1K1.528.77N/AN/A5,1217,806121,09569,207
2018-09-20$23.92$24.0038.9%11.2%53.3%25.4%39.5%-0.5%5.5%-243.2K-5.1M-467.9K1.1312.86N/AN/A4,1624,706121,80368,533
2018-09-21$23.63$24.0038.1%10.9%53.0%23.6%38.1%-2.5%6.0%559.1K10.5M-457.2K1.288.58N/AN/A4,9806,388121,83068,280
2018-09-24$23.81$24.0037.9%10.9%52.2%23.2%38.6%0.3%0.5%583.7K-22.0M-455.2K0.637.82N/AN/A5,0623,21066,44342,505
2018-09-25$23.99$24.0037.7%10.8%52.1%22.5%37.7%1.6%-0.1%759.5K-25.8M-459.6K1.0212.45N/AN/A3,0083,07568,46442,717
2018-09-26$24.00$24.0036.9%10.6%51.3%20.7%38.3%0.1%1.0%836.5K-28.0M-460.8K0.3815.35N/AN/A4,3591,66269,45842,948
2018-09-27$23.58$24.0038.6%11.1%32.5%24.7%39.0%-1.0%-0.6%694.8K-19.7M-451.1K0.4510.53N/AN/A4,1401,84569,74643,160
2018-09-28$23.90$24.0037.0%10.6%32.8%20.2%37.4%-0.5%0.5%916.9K-26.4M-460.9K0.4811.59N/AN/A3,6981,78271,38643,572