BOX Options History — February 2020

In February 2020, BOX traded between $14.97 and $16.35. ATM implied volatility averaged 52.0%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 24.2% (HV 20d: 27.7%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.20.

Notable Days

  • 2020-02-26: Highest Volume — 13,055 contracts
  • 2020-02-12: Largest IV spike — 36.9% change
  • 2020-02-24: Highest IV Rank — 100.0%
  • 2020-02-25: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.70$14.97$16.35$15.18$16.35
Max Pain$15.16$15.00$16.00$16.00$15.00
ATM IV52.0%36.4%79.7%40.6%61.7%
Expected Move15.6%10.8%22.9%11.7%17.7%
HV 20d27.7%25.9%34.5%27.4%34.5%
HV 60d33.6%26.4%37.1%36.8%29.5%
IV Rank52.9%17.3%100.0%28.8%63.7%
IV Percentile76.5%31.3%100.0%67.5%97.2%
Term Structure-6.3%-18.9%10.6%8.7%-6.1%
VWIV55.6%36.5%84.4%40.5%63.2%
Skew 25d0.1%-4.9%3.5%1.6%-3.8%
Skew 10d0.2%-8.9%10.9%-3.8%-8.9%
Call IV 25d55.7%36.5%84.6%40.5%67.1%
Put IV 25d55.9%38.7%82.1%42.1%63.3%
Bid-Ask Spread %15.508.4171.2271.2222.09
Gamma HHI0.210.130.530.180.18
Net GEX1.1M550.6K2.2M585.6K1.2M
Net DEX-11.0M-23.1M-4.2M-4.2M-23.1M
Net VEX-142.4K-163.7K-132.3K-138.3K-163.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.040.970.130.97
Total Volume3,948.89559413,0556406,262
Total OI69,985.63258,64976,25767,33875,851

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$15.18$16.0040.6%11.7%27.4%28.8%40.5%1.6%8.7%585.6K-4.2M-138.3K0.1371.22N/AN/A5687245,64421,694
2020-02-04$15.52$15.0039.0%11.2%27.8%24.4%41.0%-1.9%10.6%762.0K-7.6M-141.3K0.048.98N/AN/A1,0084445,52121,733
2020-02-05$15.59$15.0037.8%10.8%27.8%21.1%36.5%3.2%10.2%821.2K-7.8M-140.1K0.278.41N/AN/A51313945,85221,739
2020-02-06$15.78$15.0036.4%13.8%28.4%17.3%48.6%0.6%-4.8%961.2K-9.4M-143.6K0.1812.99N/AN/A1,07619645,79421,754
2020-02-07$15.52$15.0037.2%14.3%28.5%19.6%49.7%0.9%-6.4%754.4K-6.9M-140.6K0.1313.26N/AN/A81210246,23421,798
2020-02-10$15.68$15.0039.4%14.5%28.9%25.3%51.3%0.8%-5.8%913.0K-8.9M-141.5K0.3212.77N/AN/A58519046,57221,866
2020-02-11$15.65$15.0036.9%14.7%28.7%18.6%52.0%0.8%-6.5%927.9K-9.0M-141.2K0.1110.51N/AN/A1,70519447,52821,981
2020-02-12$15.57$15.0050.5%14.5%27.6%55.2%50.9%0.9%-6.7%879.6K-7.9M-139.9K0.2010.29N/AN/A49310148,29622,067
2020-02-13$15.56$15.0051.2%14.7%27.3%57.2%51.5%1.0%-7.2%840.8K-6.9M-137.0K0.0812.90N/AN/A1,2069648,50922,167
2020-02-14$15.88$15.0050.8%14.6%25.9%55.9%51.0%0.4%-6.7%1.2M-11.0M-138.5K0.119.15N/AN/A2,39125249,19222,248
2020-02-18$16.20$15.0053.9%15.5%26.2%64.3%54.2%3.5%-8.4%1.8M-15.8M-139.4K0.409.26N/AN/A89035749,96222,305
2020-02-19$16.26$15.0053.9%15.4%26.2%64.2%54.6%2.9%-9.1%1.9M-16.4M-135.2K0.0512.99N/AN/A1,7798750,20122,370
2020-02-20$16.23$15.0053.6%15.4%25.9%63.5%54.6%1.2%-8.3%1.8M-15.3M-136.6K0.169.94N/AN/A2,61142649,95022,365
2020-02-21$15.89$15.0059.6%17.1%26.3%79.6%62.0%-1.1%-13.3%2.2M-9.9M-132.3K0.0412.47N/AN/A8,76032250,07122,480
2020-02-24$15.91$15.0072.1%20.7%26.0%100.0%73.9%-0.2%-14.8%550.6K-12.2M-144.1K0.078.44N/AN/A10,10075339,16219,487
2020-02-25$15.10$16.0079.7%22.9%27.0%100.0%84.4%-2.4%-18.9%602.0K-11.4M-150.1K0.0919.68N/AN/A8,53575348,65219,875
2020-02-26$14.97$16.0075.1%21.5%26.8%90.8%77.2%-0.7%-18.8%667.9K-10.7M-147.9K0.0810.82N/AN/A12,0381,01752,42720,123
2020-02-27$15.52$15.0057.9%16.6%29.8%56.2%59.0%-4.9%-8.2%927.9K-14.0M-153.4K0.2618.32N/AN/A6,8291,76755,07221,185
2020-02-28$16.35$15.0061.7%17.7%34.5%63.7%63.2%-3.8%-6.1%1.2M-23.1M-163.7K0.9722.09N/AN/A3,1743,08854,73321,118