BOX Options History — November 2018

In November 2018, BOX traded between $16.19 and $19.18. ATM implied volatility averaged 63.2%, placing in the 72.7% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 12.8% (HV 20d: 50.4%). Max pain ranged from $19.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-11-29: Highest Volume — 15,582 contracts
  • 2018-11-29: Largest IV drop — 40.1% change
  • 2018-11-20: Highest IV Rank — 100.0%
  • 2018-11-26: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.93$16.19$19.18$18.55$18.82
Max Pain$22.05$19.00$25.00$19.00$20.00
ATM IV63.2%44.5%82.4%57.3%46.8%
Expected Move18.8%13.4%23.6%16.4%13.4%
HV 20d50.4%44.9%54.7%53.7%44.9%
HV 60d47.7%45.5%50.5%48.0%45.6%
IV Rank72.7%31.4%100.0%67.2%31.4%
IV Percentile89.7%55.6%100.0%92.5%61.5%
Term Structure-7.4%-18.1%2.2%2.2%-0.1%
VWIV65.2%47.7%82.2%57.7%47.7%
Skew 25d2.0%-0.7%6.6%2.6%2.9%
Skew 10d2.9%-3.4%9.3%9.3%7.8%
Call IV 25d64.9%46.4%81.2%57.2%46.4%
Put IV 25d66.9%49.4%85.4%59.7%49.4%
Bid-Ask Spread %13.868.1621.4921.499.75
Gamma HHI0.120.090.220.120.14
Net GEX286.0K44.8K619.0K437.2K273.3K
Net DEX19.2M8.7M28.5M14.3M8.7M
Net VEX-264.0K-304.2K-212.7K-302.1K-263.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.151.400.870.70
Total Volume6,476.4293,43615,5824,3575,574
Total OI117,555.857107,877125,197115,978121,898

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$18.55$19.0057.3%16.4%53.7%67.2%57.7%2.6%2.2%437.2K14.3M-302.1K0.8721.49N/AN/A2,3312,02675,30940,669
2018-11-02$18.40$19.0058.3%16.7%53.7%69.7%57.4%2.6%1.6%437.7K14.9M-298.1K0.5514.48N/AN/A3,3081,82976,13440,902
2018-11-05$18.14$25.0058.6%17.8%51.8%70.4%66.1%1.2%-5.7%356.3K18.7M-280.5K0.8121.02N/AN/A2,8212,28175,67540,894
2018-11-06$18.59$25.0054.9%17.3%52.7%60.5%57.9%1.7%-4.0%451.8K14.3M-293.0K0.6515.00N/AN/A2,1021,36076,33040,873
2018-11-07$19.18$25.0050.6%16.6%52.8%49.9%57.0%1.2%-3.3%619.0K8.8M-304.2K0.2915.24N/AN/A4,5881,31476,57740,940
2018-11-08$18.93$25.0044.5%17.0%52.9%34.7%58.6%1.7%-6.8%554.9K12.3M-291.9K0.1521.26N/AN/A8,5161,31776,79340,840
2018-11-09$18.52$23.0048.8%17.6%53.2%45.4%60.6%3.2%-6.4%466.2K15.3M-284.5K0.4416.31N/AN/A3,5591,55179,04241,038
2018-11-12$17.83$23.0059.4%18.1%54.7%71.7%63.3%0.7%-5.9%334.9K21.2M-264.9K0.7917.03N/AN/A2,3671,86879,85441,388
2018-11-13$17.82$23.0058.7%18.0%51.5%69.9%62.5%0.4%-7.2%289.8K21.6M-262.2K0.7616.01N/AN/A1,9481,48880,16941,511
2018-11-14$17.80$23.0066.0%18.9%51.5%88.2%66.0%0.1%-8.3%275.5K20.9M-262.3K0.6116.08N/AN/A3,3682,05080,25641,410
2018-11-15$17.96$22.0065.0%18.6%49.7%85.7%65.4%0.9%-6.8%295.5K20.8M-264.4K0.6714.38N/AN/A2,6311,76881,18742,141
2018-11-16$18.00$22.0060.8%17.4%46.5%75.2%61.7%-0.0%-5.0%568.7K21.2M-263.1K0.819.66N/AN/A2,7882,27281,42842,429
2018-11-19$16.68$22.0069.7%20.0%51.1%97.3%68.9%-0.7%-9.4%76.7K28.5M-217.4K0.538.16N/AN/A3,2951,75068,33739,540
2018-11-20$16.19$22.0081.5%23.4%51.6%100.0%80.2%1.9%-13.1%94.3K28.3M-212.7K1.4011.17N/AN/A3,3934,74469,13639,494
2018-11-21$16.88$21.0074.2%21.3%51.9%85.8%73.9%3.5%-11.5%88.6K25.4M-228.8K1.2412.12N/AN/A2,7883,46969,97740,488
2018-11-23$17.00$21.0077.9%22.3%49.2%93.1%71.3%2.0%-13.6%58.4K25.2M-234.3K1.2513.27N/AN/A1,8762,34570,26941,886
2018-11-26$17.24$21.0082.4%23.6%47.6%100.0%82.2%2.2%-15.9%80.4K23.4M-238.8K1.279.46N/AN/A4,1525,25670,46241,845
2018-11-27$17.51$21.0081.3%23.3%45.4%97.9%81.0%6.6%-16.4%44.8K22.8M-255.8K0.578.91N/AN/A4,2652,43972,75545,126
2018-11-28$18.16$21.0081.4%23.3%46.3%98.1%80.2%6.2%-18.1%107.6K17.3M-268.1K0.6511.74N/AN/A8,2595,36773,41445,060
2018-11-29$18.27$20.0048.8%14.0%44.9%35.2%50.1%0.2%-0.9%95.1K19.0M-254.5K0.628.59N/AN/A9,5965,98677,40147,796
2018-11-30$18.82$20.0046.8%13.4%44.9%31.4%47.7%2.9%-0.1%273.3K8.7M-263.5K0.709.75N/AN/A3,2752,29977,67544,223