BOX Options History — October 2019 In October 2019, BOX traded between $15.82 and $17.02. ATM implied volatility averaged 38.9%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.5% (HV 20d: 36.5%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.81.
Notable Days 2019-10-25 : Highest Volume — 10,719 contracts2019-10-03 : Largest IV drop — 14.2% change2019-10-02 : Highest IV Rank — 31.8%2019-10-02 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $16.56 $15.82 $17.02 $16.72 $16.86 Max Pain $16.09 $16.00 $17.00 $17.00 $16.00 ATM IV 38.9% 36.3% 46.6% 44.1% 36.3% Expected Move 11.2% 10.4% 13.4% 12.6% 10.4% HV 20d 36.5% 26.4% 56.1% 56.1% 26.4% HV 60d 41.8% 40.1% 43.0% 41.3% 40.1% IV Rank 17.1% 12.0% 31.8% 27.0% 12.0% IV Percentile 33.0% 18.3% 57.1% 53.6% 18.3% Term Structure 4.8% -3.8% 8.5% -3.8% 7.1% VWIV 39.2% 36.6% 46.7% 43.9% 37.3% Skew 25d 1.6% -3.0% 3.2% 2.1% 2.3% Skew 10d 3.3% -4.5% 15.0% -4.5% 3.3% Call IV 25d 38.8% 35.4% 43.3% 43.3% 37.3% Put IV 25d 40.3% 36.7% 45.8% 45.4% 39.6% Bid-Ask Spread % 30.02 8.00 81.50 16.05 81.50 Gamma HHI 0.16 0.11 0.48 0.14 0.13 Net GEX -89.9K -688.5K 356.4K -119.2K 356.4K Net DEX -3.6M -12.8M 7.6M -2.7M -12.8M Net VEX -183.0K -207.6K -159.4K -194.3K -206.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.01 9.07 0.31 0.04 Total Volume 1,295.739 245 10,719 569 593 Total OI 72,272.13 63,472 75,727 72,315 75,493
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-10-01 $16.72 $17.00 44.1% 12.6% 56.1% 27.0% 43.9% 2.1% -3.8% -119.2K -2.7M -194.3K 0.31 16.05 N/A N/A 434 135 40,235 32,080 2019-10-02 $16.98 $17.00 46.6% 13.4% 38.6% 31.8% 46.7% 2.9% -3.2% -60.7K -5.6M -198.2K 0.34 19.61 N/A N/A 502 171 40,518 32,096 2019-10-03 $16.93 $16.00 40.0% 11.9% 36.8% 19.2% 41.3% 1.9% 4.6% -96.1K -4.9M -195.6K 2.13 18.91 N/A N/A 504 1,076 40,822 32,150 2019-10-04 $17.02 $16.00 36.7% 11.2% 36.6% 12.8% 40.3% 3.2% 4.7% -106.0K -5.8M -194.8K 0.77 13.51 N/A N/A 207 160 40,965 32,289 2019-10-07 $17.01 $16.00 39.2% 11.0% 35.9% 17.7% 38.6% 2.4% 5.6% -143.2K -5.7M -189.4K 0.11 18.13 N/A N/A 1,277 143 41,012 32,306 2019-10-08 $16.45 $16.00 41.2% 11.7% 37.6% 21.5% 40.8% 1.3% 4.9% -180.3K -1.2M -183.6K 0.22 17.88 N/A N/A 399 88 41,935 32,289 2019-10-09 $16.59 $16.00 40.9% 11.7% 37.8% 21.0% 41.0% 1.9% 3.8% -189.8K -2.0M -184.3K 0.12 19.06 N/A N/A 483 59 41,861 32,311 2019-10-10 $16.40 $16.00 41.6% 11.9% 37.9% 22.3% 41.0% 1.4% 3.5% -231.8K 233.7K -180.4K 0.47 14.43 N/A N/A 182 85 42,124 32,340 2019-10-11 $16.80 $16.00 37.5% 10.8% 38.8% 14.5% 37.6% 2.3% 6.0% -236.5K -3.9M -181.3K 0.23 23.21 N/A N/A 603 140 42,227 32,368 2019-10-14 $16.74 $16.00 37.9% 10.9% 38.6% 15.2% 38.2% 1.7% 6.1% -276.1K -3.4M -179.8K 0.08 13.40 N/A N/A 1,581 120 42,461 32,383 2019-10-15 $16.79 $16.00 38.6% 11.1% 38.7% 16.5% 38.7% 0.6% 3.8% -286.6K -4.3M -177.5K 1.16 13.96 N/A N/A 245 284 42,921 32,444 2019-10-16 $16.49 $16.00 39.4% 11.3% 38.4% 18.0% 38.0% 2.1% 3.7% -407.5K 123.2K -172.9K 0.17 14.78 N/A N/A 303 50 42,968 32,631 2019-10-17 $16.39 $16.00 38.0% 10.9% 38.4% 15.4% 38.3% -0.8% 4.4% -395.6K 1.2M -169.9K 1.53 10.14 N/A N/A 376 577 43,089 32,638 2019-10-18 $15.84 $16.00 36.8% 10.5% 39.5% 13.1% 36.7% 1.9% 6.6% -688.5K 7.6M -163.2K 9.07 11.05 N/A N/A 274 2,484 43,008 32,705 2019-10-21 $15.91 $16.00 37.4% 10.7% 39.0% 14.3% 36.7% 2.4% 6.0% -44.7K 824.8K -164.4K 0.07 8.00 N/A N/A 757 50 36,190 27,282 2019-10-22 $15.86 $16.00 37.4% 10.7% 38.2% 14.3% 41.4% 1.8% 5.6% -34.2K 1.1M -161.0K 0.18 13.63 N/A N/A 640 117 36,479 27,294 2019-10-23 $15.82 $16.00 36.5% 10.5% 36.2% 12.6% 37.0% -3.0% 8.5% -39.4K 1.4M -159.4K 0.69 9.74 N/A N/A 154 106 36,929 27,476 2019-10-24 $16.41 $16.00 39.4% 11.3% 38.9% 18.0% 38.1% 2.8% 5.0% 27.3K -2.5M -164.7K 0.08 48.34 N/A N/A 1,682 132 36,967 27,539 2019-10-25 $16.60 $16.00 37.5% 10.8% 30.3% 14.5% 37.6% -0.5% 6.2% 71.3K -3.8M -166.5K 0.01 71.98 N/A N/A 10,665 54 37,548 27,566 2019-10-28 $16.81 $16.00 37.2% 10.7% 26.9% 13.8% 37.9% 1.8% 5.8% 341.9K -12.3M -207.6K 0.11 75.78 N/A N/A 1,175 127 47,611 27,576 2019-10-29 $16.70 $16.00 38.0% 10.9% 26.9% 15.3% 37.9% 1.6% 5.9% 330.8K -11.9M -207.2K 0.44 77.63 N/A N/A 170 75 47,957 27,612 2019-10-30 $16.84 $16.00 36.7% 10.5% 26.4% 12.9% 36.6% 1.7% 8.2% 340.1K -12.4M -206.6K 0.24 79.66 N/A N/A 293 70 47,959 27,605 2019-10-31 $16.86 $16.00 36.3% 10.4% 26.4% 12.0% 37.3% 2.3% 7.1% 356.4K -12.8M -206.1K 0.04 81.50 N/A N/A 572 21 47,927 27,566
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