BOX Options History — September 2019

In September 2019, BOX traded between $14.82 and $17.93. ATM implied volatility averaged 38.4%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 8.7% (HV 20d: 47.1%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2019-09-06: Highest Volume — 20,961 contracts
  • 2019-09-27: Largest IV spike — 13.4% change
  • 2019-09-27: Highest IV Rank — 23.9%
  • 2019-09-27: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.15$14.82$17.93$14.82$16.60
Max Pain$16.00$15.00$17.00$15.00$17.00
ATM IV38.4%35.4%42.5%36.2%39.8%
Expected Move11.0%10.2%12.2%10.4%11.4%
HV 20d47.1%34.4%56.2%34.4%56.2%
HV 60d37.3%27.7%41.5%27.7%41.5%
IV Rank16.1%10.5%23.9%11.9%18.8%
IV Percentile30.8%13.1%50.8%17.5%41.3%
Term Structure3.1%-2.1%9.0%1.1%0.9%
VWIV39.2%35.8%42.6%38.2%41.5%
Skew 25d1.4%-2.3%6.4%6.4%1.9%
Skew 10d3.2%-11.7%12.6%-5.9%-6.1%
Call IV 25d39.2%34.9%43.3%34.9%41.4%
Put IV 25d40.5%37.1%44.3%41.3%43.3%
Bid-Ask Spread %15.8111.6424.6924.6913.49
Gamma HHI0.180.140.240.140.14
Net GEX529.8K-156.9K1.2M194.7K-156.9K
Net DEX-17.8M-31.2M1.8M1.8M-1.4M
Net VEX-197.4K-214.7K-162.6K-162.6K-192.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.077.510.900.61
Total Volume4,109.0554920,9612,157549
Total OI84,575.367,091101,62079,96872,077

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$14.82$15.0036.2%10.4%34.4%11.9%38.2%6.4%1.1%194.7K1.8M-162.6K0.9024.69N/AN/A1,1361,02148,90431,064
2019-09-04$16.64$15.0040.7%11.7%52.3%20.5%41.6%-2.3%-0.3%432.8K-16.6M-185.3K0.2319.55N/AN/A12,9503,02049,26731,463
2019-09-05$17.19$15.0037.5%11.0%52.8%14.4%38.8%3.1%4.6%562.0K-21.4M-204.3K0.6316.01N/AN/A3,4302,15452,04732,960
2019-09-06$17.38$15.0039.4%12.0%52.8%18.0%42.6%1.9%2.4%595.9K-23.8M-205.5K0.0721.08N/AN/A19,5241,43752,63333,174
2019-09-09$17.70$15.0040.3%11.3%49.9%19.8%39.9%3.9%5.0%967.0K-29.2M-214.7K0.3514.12N/AN/A2,11274257,52433,862
2019-09-10$17.70$15.0039.8%11.3%46.4%18.8%41.3%0.1%4.5%968.7K-29.1M-214.1K0.2513.29N/AN/A1,22530657,13134,367
2019-09-11$17.69$15.0037.7%10.8%46.6%14.8%38.7%-0.4%5.5%970.9K-28.6M-208.6K0.2514.45N/AN/A1,39234656,89834,350
2019-09-12$17.72$16.0036.6%10.5%41.8%12.6%37.9%1.0%6.6%971.9K-28.1M-203.7K0.3217.23N/AN/A1,35642856,51934,525
2019-09-13$17.93$16.0038.9%11.1%41.8%17.0%39.3%-0.4%4.5%960.8K-31.2M-205.5K0.0714.47N/AN/A8,35359056,25234,661
2019-09-16$17.70$16.0038.8%11.1%42.9%16.8%39.1%1.0%4.0%1.2M-28.8M-203.1K0.1014.16N/AN/A2,32823362,19834,726
2019-09-17$17.71$16.0038.2%10.9%43.1%15.7%39.0%3.3%4.6%1.2M-28.3M-200.3K0.5615.65N/AN/A72440562,51334,705
2019-09-18$17.31$16.0037.0%10.6%44.7%13.4%36.7%0.3%7.1%860.8K-22.5M-197.0K0.2618.87N/AN/A1,40136962,48634,970
2019-09-19$17.32$16.0035.4%10.2%44.8%10.5%35.8%2.1%9.0%606.5K-23.6M-190.9K7.5112.14N/AN/A5243,93362,51935,094
2019-09-20$17.53$17.0035.8%10.3%44.7%11.2%36.3%-0.4%7.8%107.6K-23.2M-201.1K0.4615.99N/AN/A1,37162962,69938,921
2019-09-23$17.12$17.0037.6%10.8%46.5%14.6%37.5%1.5%-1.3%39.0K-6.9M-189.7K1.5614.14N/AN/A61195638,02829,063
2019-09-24$16.70$17.0040.1%11.5%48.2%19.4%39.4%1.7%-2.1%-1.6K-3.7M-194.4K0.6013.82N/AN/A51230738,51929,566
2019-09-25$17.21$17.0038.4%11.0%47.9%16.1%38.9%2.5%-0.1%59.9K-7.4M-196.1K0.5714.11N/AN/A42324238,66329,558
2019-09-26$17.05$17.0037.5%10.7%48.4%14.3%38.6%0.3%0.4%40.1K-6.5M-196.1K0.1211.64N/AN/A6648238,87129,592
2019-09-27$15.93$17.0042.5%12.2%55.7%23.9%42.6%0.1%-1.4%-39.0K1.7M-182.6K1.7617.23N/AN/A1,5932,80339,50029,637
2019-09-30$16.60$17.0039.8%11.4%56.2%18.8%41.5%1.9%0.9%-156.9K-1.4M-192.3K0.6113.49N/AN/A34120840,01932,058