BOX Options History — March 2020 In March 2020, BOX traded between $9.03 and $16.65. ATM implied volatility averaged 76.2%, placing in the 72.3% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded below realized volatility by 5.5% (HV 20d: 81.7%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.58.
Notable Days 2020-03-11 : Highest Volume — 3,961 contracts2020-03-09 : Largest IV spike — 41.0% change2020-03-09 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 29.4%Monthly Statistics Metric Avg Min Max Open Close Price $12.75 $9.03 $16.65 $16.65 $13.83 Max Pain $14.18 $13.00 $15.00 $15.00 $13.00 ATM IV 76.2% 51.3% 102.7% 53.0% 80.2% Expected Move 21.3% 14.5% 29.4% 15.2% 23.0% HV 20d 81.7% 34.7% 124.0% 34.7% 121.8% HV 60d 53.0% 29.8% 74.6% 29.8% 74.4% IV Rank 72.3% 42.9% 100.0% 46.3% 69.1% IV Percentile 95.9% 84.5% 100.0% 86.9% 96.4% Term Structure -5.7% -18.4% 1.6% -7.7% -10.5% VWIV 74.1% 51.6% 102.8% 53.5% 77.9% Skew 25d 4.4% -3.5% 12.6% 2.2% 6.8% Skew 10d 11.4% -15.9% 38.7% 12.9% 24.2% Call IV 25d 74.0% 50.8% 108.4% 52.2% 75.9% Put IV 25d 78.3% 51.5% 110.3% 54.4% 82.8% Bid-Ask Spread % 41.86 9.52 75.14 21.99 29.96 Gamma HHI 0.15 0.10 0.26 0.18 0.10 Net GEX 171.4K -116.0K 1.3M 1.3M 99.6K Net DEX 2.7M -23.1M 14.0M -23.1M -2.3M Net VEX -107.3K -155.5K -70.7K -155.5K -114.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.03 2.73 0.48 0.12 Total Volume 1,846.227 592 3,961 2,242 1,669 Total OI 66,689.636 38,896 83,139 76,818 41,226
Daily Data (22 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 2020-03-02 $16.65 $15.00 53.0% 15.2% 34.7% 46.3% 53.5% 2.2% -7.7% 1.3M -23.1M -155.5K 0.48 21.99 N/A N/A 1,516 726 54,177 22,641 2020-03-03 $15.97 $15.00 54.5% 15.6% 38.4% 49.4% 53.9% 0.7% -6.8% 1.0M -14.7M -145.8K 0.34 13.93 N/A N/A 1,709 586 54,401 22,763 2020-03-04 $15.32 $15.00 51.3% 14.7% 40.7% 42.9% 52.5% -3.5% -3.9% 666.3K -6.4M -129.4K 0.27 9.52 N/A N/A 2,231 611 54,116 22,769 2020-03-05 $14.97 $15.00 53.6% 14.5% 41.4% 47.6% 51.6% 1.3% -0.7% 501.7K -3.8M -127.5K 0.89 17.02 N/A N/A 541 479 54,345 22,822 2020-03-06 $14.59 $15.00 61.1% 15.1% 41.8% 62.7% 53.5% 4.6% -0.3% 327.1K -385.7K -123.6K 1.45 19.38 N/A N/A 511 739 54,252 23,001 2020-03-09 $13.19 $15.00 86.2% 18.6% 54.1% 100.0% 63.9% 1.9% -5.5% 18.0K 7.1M -105.3K 0.54 24.22 N/A N/A 1,228 659 54,232 22,739 2020-03-10 $12.89 $15.00 75.8% 18.1% 53.9% 81.6% 62.3% 6.1% -3.8% -116.0K 9.8M -94.0K 0.36 33.53 N/A N/A 1,199 434 54,329 22,686 2020-03-11 $12.15 $15.00 65.1% 18.7% 56.6% 62.5% 64.0% 5.6% -1.1% -87.4K 10.7M -90.3K 1.64 24.85 N/A N/A 1,500 2,461 54,657 22,636 2020-03-12 $10.80 $15.00 75.0% 21.5% 67.6% 80.0% 70.4% 3.9% -5.9% -71.8K 12.9M -86.0K 0.28 73.52 N/A N/A 1,334 374 54,916 24,350 2020-03-13 $10.28 $14.00 75.3% 21.6% 68.1% 80.6% 74.5% -2.2% -4.4% -76.0K 13.4M -85.1K 0.44 40.76 N/A N/A 833 365 55,360 25,364 2020-03-16 $9.26 $14.00 94.8% 27.2% 72.4% 100.0% 92.9% 6.0% -11.6% -56.1K 14.0M -73.2K 1.17 75.14 N/A N/A 1,298 1,520 55,748 25,398 2020-03-17 $9.03 $14.00 93.3% 26.7% 70.3% 97.7% 93.3% 6.0% -12.9% -47.0K 13.8M -70.7K 0.37 71.70 N/A N/A 1,451 541 56,423 25,293 2020-03-18 $9.26 $14.00 102.7% 29.4% 72.0% 100.0% 102.8% -1.5% -18.4% -37.5K 12.2M -75.4K 2.73 69.70 N/A N/A 768 2,093 56,279 24,437 2020-03-19 $11.51 $14.00 96.5% 27.7% 113.1% 91.5% 102.6% 7.0% -8.6% -55.6K 9.0M -104.8K 0.20 61.43 N/A N/A 2,649 540 56,821 25,528 2020-03-20 $12.57 $14.00 84.0% 24.1% 119.0% 74.3% 86.2% 5.3% -7.1% 9.3K 8.6M -111.3K 0.35 62.46 N/A N/A 1,619 569 57,525 25,614 2020-03-23 $11.85 $14.00 90.3% 25.9% 120.1% 83.0% 91.0% 7.8% -7.3% -1.4K 2.6M -103.8K 0.31 47.00 N/A N/A 601 189 20,126 18,770 2020-03-24 $12.11 $14.00 81.0% 23.2% 119.9% 70.2% 82.6% 1.3% 1.6% 573 2.4M -102.5K 0.15 56.84 N/A N/A 695 105 20,375 18,788 2020-03-25 $13.02 $13.00 80.7% 23.1% 123.5% 69.8% 79.0% 12.1% -3.8% 44.0K 466.6K -110.5K 0.03 63.35 N/A N/A 1,432 49 21,185 18,855 2020-03-26 $13.64 $13.00 74.2% 21.3% 124.0% 60.8% 74.1% 9.2% -0.5% 76.6K -1.8M -116.7K 0.26 35.77 N/A N/A 851 224 21,391 18,865 2020-03-27 $13.95 $13.00 75.7% 21.7% 122.6% 62.9% 77.0% 2.7% -2.8% 96.8K -2.6M -118.7K 0.10 29.48 N/A N/A 1,024 102 21,818 18,984 2020-03-30 $13.74 $13.00 72.7% 20.9% 122.2% 58.8% 71.6% 12.6% -2.7% 95.1K -1.6M -115.6K 0.24 39.34 N/A N/A 477 115 22,137 19,030 2020-03-31 $13.83 $13.00 80.2% 23.0% 121.8% 69.1% 77.9% 6.8% -10.5% 99.6K -2.3M -114.9K 0.12 29.96 N/A N/A 1,488 181 22,126 19,100
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