BOX Options History — January 2020

In January 2020, BOX traded between $15.05 and $17.27. ATM implied volatility averaged 38.5%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 13.2% (HV 20d: 25.2%). 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 21 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2020-01-16: Highest Volume — 22,795 contracts
  • 2020-01-16: Largest IV spike — 23.3% change
  • 2020-01-16: Highest IV Rank — 37.5%
  • 2020-01-16: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.28$15.05$17.27$17.15$15.05
Max Pain$16.14$16.00$17.00$16.00$16.00
ATM IV38.5%33.9%43.9%34.1%41.7%
Expected Move10.9%9.7%12.6%9.8%12.0%
HV 20d25.2%22.6%28.9%25.3%27.0%
HV 60d36.2%35.6%37.0%36.5%36.9%
IV Rank22.9%10.5%37.5%11.3%31.6%
IV Percentile47.7%13.1%75.4%14.3%71.8%
Term Structure6.7%0.1%10.0%0.1%6.5%
VWIV38.0%33.3%43.9%33.3%41.6%
Skew 25d1.0%-3.1%4.2%4.2%3.0%
Skew 10d-1.2%-13.2%10.6%8.0%-9.4%
Call IV 25d37.7%32.1%44.9%32.1%40.8%
Put IV 25d38.7%34.7%45.3%36.3%43.8%
Bid-Ask Spread %53.947.5473.539.6871.09
Gamma HHI0.180.150.250.160.17
Net GEX725.0K513.6K1.2M628.7K528.4K
Net DEX-11.8M-17.5M-3.7M-14.6M-3.7M
Net VEX-146.5K-161.4K-132.4K-153.9K-141.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.021.120.210.51
Total Volume2,468.42924222,7951,187937
Total OI69,341.52461,12686,00172,11966,930

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$17.15$16.0034.1%9.8%25.3%11.3%33.3%4.2%0.1%628.7K-14.6M-153.9K0.219.68N/AN/A98120649,19222,927
2020-01-03$16.94$16.0033.9%9.7%24.2%10.5%34.0%0.2%1.8%597.7K-13.0M-150.9K0.597.54N/AN/A1529048,57322,948
2020-01-06$17.27$16.0037.8%10.2%24.7%21.1%35.2%1.8%7.6%650.7K-15.8M-146.9K0.3429.24N/AN/A1,06235748,63022,991
2020-01-07$17.04$16.0035.4%10.4%25.2%14.8%35.8%2.4%7.6%639.0K-14.3M-146.7K0.3520.84N/AN/A30610749,28623,175
2020-01-08$16.89$16.0037.5%10.2%25.3%20.2%35.7%2.1%8.8%610.7K-13.3M-146.5K0.3426.16N/AN/A38012849,40822,952
2020-01-09$16.99$17.0034.8%10.0%25.4%13.1%34.6%2.5%7.6%632.4K-14.2M-145.9K0.5841.04N/AN/A28216449,65522,904
2020-01-10$16.85$17.0035.2%10.0%25.0%14.1%34.8%1.4%8.0%611.3K-13.0M-142.8K0.4338.67N/AN/A1857949,73522,975
2020-01-13$16.62$16.0038.5%10.1%23.7%23.1%35.3%0.9%8.0%583.9K-11.2M-138.0K1.1273.27N/AN/A28331849,74722,973
2020-01-14$16.23$17.0040.5%10.2%23.9%28.3%35.8%2.0%7.6%533.1K-7.5M-132.4K0.2653.65N/AN/A1,33634649,74623,009
2020-01-15$16.02$16.0035.6%10.2%23.3%15.2%35.8%-0.4%7.7%578.6K-6.9M-133.5K0.3572.38N/AN/A29710450,76123,129
2020-01-16$16.52$16.0043.9%12.6%25.2%37.5%43.9%0.4%2.9%513.6K-11.4M-139.6K0.0268.79N/AN/A22,30948650,85923,031
2020-01-17$16.21$16.0041.6%11.9%23.8%31.2%42.2%-3.1%5.0%1.2M-17.5M-159.1K0.1863.91N/AN/A3,95270062,68723,314
2020-01-21$16.30$16.0043.0%12.3%22.6%35.1%43.3%0.6%3.9%1.0M-17.5M-161.4K0.0666.05N/AN/A1,5479442,62718,499
2020-01-22$16.12$16.0040.5%11.6%22.7%28.4%40.1%-1.5%5.8%1.0M-15.8M-158.5K0.0468.80N/AN/A1,7647043,11618,570
2020-01-23$16.38$16.0039.5%11.3%23.8%25.5%39.4%0.5%7.6%1.1M-17.1M-158.8K0.0773.53N/AN/A2,90121642,63118,579
2020-01-24$16.19$16.0037.6%10.8%24.0%20.6%37.8%0.5%9.8%1.1M-15.8M-157.8K0.3372.74N/AN/A1,03634343,70318,700
2020-01-27$15.43$16.0040.9%11.7%28.7%29.3%40.6%0.2%7.8%798.8K-8.6M-143.7K0.2567.81N/AN/A1,37634643,78019,000
2020-01-28$15.23$16.0039.8%11.4%28.6%26.5%40.1%-0.1%8.3%695.6K-6.3M-136.8K1.0667.75N/AN/A2,1422,26543,54919,163
2020-01-29$15.32$16.0037.5%10.7%28.8%20.3%39.8%-0.3%9.3%671.5K-6.5M-143.6K0.0870.04N/AN/A1,0478444,76021,394
2020-01-30$15.15$16.0038.8%11.1%28.9%23.7%37.8%3.8%10.0%560.2K-3.8M-137.4K0.1869.86N/AN/A89516445,10821,456
2020-01-31$15.05$16.0041.7%12.0%27.0%31.6%41.6%3.0%6.5%528.4K-3.7M-141.7K0.5171.09N/AN/A62231545,36721,563