BOX Options History — November 2019

In November 2019, BOX traded between $15.61 and $18.55. ATM implied volatility averaged 44.6%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 11.3% (HV 20d: 33.3%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2019-11-26: Highest Volume — 15,713 contracts
  • 2019-11-27: Largest IV drop — 39.9% change
  • 2019-11-26: Highest IV Rank — 56.6%
  • 2019-11-26: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.53$15.61$18.55$17.06$18.15
Max Pain$16.80$16.00$17.00$16.00$17.00
ATM IV44.6%33.1%59.1%34.5%35.0%
Expected Move13.6%9.9%16.9%9.9%10.0%
HV 20d33.3%24.1%52.5%26.7%52.5%
HV 60d39.9%37.4%41.1%40.1%39.5%
IV Rank28.2%6.0%56.6%8.8%13.7%
IV Percentile52.4%6.0%94.8%9.9%12.7%
Term Structure-4.5%-12.4%9.5%9.5%1.0%
VWIV47.6%34.7%59.6%34.7%36.0%
Skew 25d1.8%-2.5%3.5%-2.5%-2.1%
Skew 10d4.6%-1.4%9.0%3.4%9.0%
Call IV 25d47.3%33.9%60.9%36.8%36.8%
Put IV 25d49.0%34.3%63.0%34.3%34.7%
Bid-Ask Spread %24.0610.5381.8581.8566.06
Gamma HHI0.170.130.470.130.23
Net GEX251.4K-970.4K980.4K420.5K980.4K
Net DEX-10.5M-35.0M-851.8K-14.9M-31.9M
Net VEX-194.0K-210.2K-176.2K-207.1K-210.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.209.651.660.33
Total Volume2,698.1520715,7139302,182
Total OI79,009.575,84993,80275,84993,802

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$17.06$16.0034.5%9.9%26.7%8.8%34.7%-2.5%9.5%420.5K-14.9M-207.1K1.6681.85N/AN/A34958148,29827,551
2019-11-04$16.87$17.0037.0%13.1%27.0%13.5%45.8%2.8%-3.5%375.5K-13.5M-206.3K0.4917.22N/AN/A26112848,32027,675
2019-11-05$16.53$17.0038.1%13.0%25.2%15.6%44.9%2.6%-3.2%281.7K-9.8M-197.9K0.3714.51N/AN/A41715548,40027,756
2019-11-06$16.53$17.0036.3%12.8%25.0%12.2%44.6%3.3%-3.1%286.3K-10.1M-197.1K0.4615.53N/AN/A32314848,64827,824
2019-11-07$16.65$17.0036.4%13.0%24.8%12.4%45.4%2.1%-2.6%314.7K-11.4M-199.1K0.2115.72N/AN/A1713648,75827,928
2019-11-08$16.95$17.0033.1%12.6%24.1%6.0%46.0%2.6%-3.2%390.6K-13.5M-200.7K1.6314.57N/AN/A18730548,70727,943
2019-11-11$16.51$17.0036.9%12.9%25.9%13.4%44.7%2.5%-3.3%225.9K-9.6M-191.2K0.4912.13N/AN/A1839048,74227,989
2019-11-12$15.61$17.0043.2%13.8%32.4%25.3%48.0%2.2%-5.2%24.6K-851.8K-176.2K1.4710.53N/AN/A7581,11348,78927,945
2019-11-13$16.26$16.0046.8%13.4%35.5%32.1%47.2%0.9%-3.9%53.8K-6.4M-183.3K0.4213.51N/AN/A38316249,07528,549
2019-11-14$15.82$16.0047.6%13.6%36.8%33.6%48.0%1.3%-4.7%-171.0K-2.3M-179.7K0.2812.04N/AN/A1,37038349,16528,635
2019-11-15$15.94$16.0048.2%13.8%34.8%34.8%49.9%2.4%-4.8%-970.4K-4.0M-186.5K9.6516.65N/AN/A3623,49250,21628,614
2019-11-18$15.99$17.0050.3%14.4%34.8%38.8%50.0%3.0%-5.1%230.2K-4.8M-186.1K0.6013.58N/AN/A72643548,10728,605
2019-11-19$16.26$17.0052.5%15.0%35.3%43.0%50.6%1.6%-6.7%260.6K-6.6M-188.7K0.4514.49N/AN/A49922548,36228,692
2019-11-20$15.93$17.0054.8%15.7%36.1%47.4%53.9%3.5%-10.2%231.9K-4.2M-188.5K0.5515.93N/AN/A56331148,58628,840
2019-11-21$15.84$17.0053.0%15.2%33.5%43.9%55.0%2.1%-7.1%232.0K-3.8M-184.9K0.2914.16N/AN/A50114448,91228,856
2019-11-22$15.97$17.0055.2%15.8%33.3%48.2%55.2%0.3%-9.4%245.2K-4.7M-188.5K0.4015.94N/AN/A2,00279949,22928,975
2019-11-25$16.47$17.0057.9%16.6%35.0%53.3%57.4%1.4%-10.5%333.2K-10.0M-195.0K0.2012.06N/AN/A3,99580650,23929,556
2019-11-26$16.68$17.0059.1%16.9%35.2%56.6%59.6%2.1%-12.4%408.1K-13.0M-204.8K0.6553.93N/AN/A9,5116,20253,19129,748
2019-11-27$18.55$17.0035.5%10.2%51.6%10.9%34.9%3.4%-1.9%873.4K-35.0M-209.0K0.3550.76N/AN/A10,1743,53157,66933,294
2019-11-29$18.15$17.0035.0%10.0%52.5%13.7%36.0%-2.1%1.0%980.4K-31.9M-210.2K0.3366.06N/AN/A1,63754560,47433,328