BOX Options History — December 2019

In December 2019, BOX traded between $16.52 and $18.13. ATM implied volatility averaged 34.3%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 10.9% (HV 20d: 45.3%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2019-12-04: Highest Volume — 3,346 contracts
  • 2019-12-06: Largest IV drop — 8.5% change
  • 2019-12-02: Highest IV Rank — 19.5%
  • 2019-12-02: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.23$16.52$18.13$18.13$16.77
Max Pain$16.14$16.00$17.00$17.00$16.00
ATM IV34.3%32.5%37.2%37.2%35.5%
Expected Move9.9%9.3%10.7%10.7%10.2%
HV 20d45.3%23.5%53.0%52.4%23.5%
HV 60d38.8%36.2%40.0%39.4%36.2%
IV Rank11.8%6.8%19.5%19.5%14.8%
IV Percentile13.1%4.8%27.8%27.8%21.0%
Term Structure4.9%-1.1%10.0%-0.8%-0.9%
VWIV34.6%32.3%37.6%37.6%33.9%
Skew 25d0.9%-2.3%3.9%2.3%0.1%
Skew 10d2.7%-6.7%13.3%9.2%-1.1%
Call IV 25d34.4%31.7%37.6%36.7%35.4%
Put IV 25d35.4%33.2%38.9%38.9%35.5%
Bid-Ask Spread %12.227.7861.3461.347.78
Gamma HHI0.180.150.240.240.15
Net GEX590.8K189.3K998.0K976.8K567.7K
Net DEX-18.3M-31.2M-8.6M-31.2M-12.0M
Net VEX-173.4K-206.7K-149.4K-206.7K-149.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.111.321.130.17
Total Volume1,192.0482373,3462,453658
Total OI87,370.90571,11294,48194,19372,123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$18.13$17.0037.2%10.7%52.4%19.5%37.6%2.3%-0.8%976.8K-31.2M-206.7K1.1361.34N/AN/A1,1531,30060,71633,477
2019-12-03$18.07$17.0036.1%10.4%52.2%16.7%37.5%0.9%-0.1%998.0K-30.7M-203.0K0.199.32N/AN/A2,74252960,92732,926
2019-12-04$17.63$17.0035.8%10.3%52.5%15.6%36.9%-2.3%0.8%853.4K-25.0M-198.1K0.179.98N/AN/A2,87147561,71932,762
2019-12-05$17.34$16.0036.4%10.2%53.0%17.3%35.1%1.5%7.4%682.0K-20.5M-194.0K0.489.18N/AN/A49523661,44132,651
2019-12-06$17.35$16.0033.3%10.0%52.9%9.1%34.8%0.8%8.7%695.1K-20.9M-191.2K0.549.58N/AN/A1,20465561,51232,594
2019-12-09$17.27$16.0035.3%10.1%52.6%14.3%32.3%0.1%7.9%607.7K-19.0M-183.2K0.3910.39N/AN/A49419461,12832,355
2019-12-10$17.20$16.0032.5%10.0%51.7%6.8%34.8%0.9%7.1%519.0K-18.0M-180.3K0.5811.13N/AN/A31218161,17932,206
2019-12-11$16.95$16.0034.2%9.8%47.4%11.4%34.3%1.8%8.3%391.7K-14.2M-176.6K1.3210.80N/AN/A56975361,22532,188
2019-12-12$16.52$16.0035.3%10.1%46.5%14.3%35.7%-0.6%7.5%189.3K-8.6M-173.7K0.8910.53N/AN/A34230461,26332,140
2019-12-13$16.87$16.0032.8%9.4%45.8%7.7%32.6%1.9%9.4%280.6K-12.7M-172.0K0.319.86N/AN/A51315761,40932,170
2019-12-16$17.12$16.0033.9%9.7%45.9%10.6%34.1%0.8%7.9%458.1K-17.5M-169.3K0.709.02N/AN/A54738461,29532,160
2019-12-17$16.76$16.0032.8%9.4%46.8%7.7%33.2%1.9%8.6%256.2K-11.9M-164.2K0.7210.27N/AN/A63846061,32532,100
2019-12-18$17.22$16.0033.4%9.6%47.3%9.2%33.5%0.6%8.7%490.5K-19.1M-165.0K0.939.72N/AN/A67462861,42931,994
2019-12-19$17.55$16.0033.3%9.5%46.8%8.9%33.7%1.9%8.1%690.1K-23.7M-167.1K0.219.46N/AN/A91319661,52031,675
2019-12-20$17.45$16.0032.5%9.3%46.8%6.9%32.5%-0.3%10.0%649.4K-22.7M-163.6K0.679.62N/AN/A75850961,44331,706
2019-12-23$17.40$16.0033.4%9.6%46.9%9.2%33.6%0.4%1.7%642.1K-17.3M-162.2K0.119.77N/AN/A6757348,48022,632
2019-12-24$17.28$16.0033.4%9.6%45.9%9.3%33.5%0.8%1.1%638.1K-16.5M-158.4K0.1410.90N/AN/A2073048,86722,682
2019-12-26$17.26$16.0035.0%10.0%45.8%13.7%34.0%1.4%0.5%647.0K-16.2M-158.2K0.6111.71N/AN/A68842248,96922,680
2019-12-27$16.99$16.0033.8%9.7%24.3%10.4%35.2%3.9%1.8%596.1K-14.0M-153.3K0.488.02N/AN/A31715249,05622,688
2019-12-30$16.80$16.0035.4%10.2%23.5%14.7%36.8%0.7%-1.1%578.3K-12.2M-151.4K1.008.15N/AN/A31231349,19822,779
2019-12-31$16.77$16.0035.5%10.2%23.5%14.8%33.9%0.1%-0.9%567.7K-12.0M-149.4K0.177.78N/AN/A5639549,23522,888