BOX Options History — April 2020

In April 2020, BOX traded between $14.19 and $16.52. ATM implied volatility averaged 59.6%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 14.8% (HV 20d: 74.4%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2020-04-21: Highest Volume — 3,278 contracts
  • 2020-04-06: Largest IV drop — 11.3% change
  • 2020-04-01: Highest IV Rank — 62.2%
  • 2020-04-01: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.51$14.19$16.52$14.19$16.27
Max Pain$14.05$13.00$15.00$13.00$15.00
ATM IV59.6%49.6%75.2%75.2%50.0%
Expected Move17.0%14.2%21.6%21.6%14.3%
HV 20d74.4%30.7%121.8%121.6%33.4%
HV 60d75.4%74.5%75.9%74.5%75.5%
IV Rank40.8%27.0%62.2%62.2%27.6%
IV Percentile82.6%67.1%94.4%94.4%67.1%
Term Structure3.3%-4.8%7.7%-4.8%7.7%
VWIV59.2%49.4%77.5%77.5%49.4%
Skew 25d7.3%2.3%11.0%9.2%4.9%
Skew 10d22.8%5.0%48.6%32.8%21.8%
Call IV 25d56.7%46.0%70.6%70.6%46.0%
Put IV 25d64.0%50.9%79.8%79.8%50.9%
Bid-Ask Spread %25.4911.9752.7632.0421.78
Gamma HHI0.120.090.160.100.13
Net GEX207.8K121.0K327.0K121.0K228.7K
Net DEX-6.6M-9.4M-2.8M-2.8M-6.5M
Net VEX-121.0K-127.2K-114.6K-117.0K-119.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.073.760.700.60
Total Volume1,089.192683,278372268
Total OI42,853.95240,71546,17941,82142,161

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$14.19$13.0075.2%21.6%121.6%62.2%77.5%9.2%-4.8%121.0K-2.8M-117.0K0.7032.04N/AN/A21915322,65219,169
2020-04-02$14.57$13.0072.8%20.1%121.8%58.9%70.5%10.5%-4.3%143.4K-4.5M-122.5K0.1239.94N/AN/A1,89922722,67319,115
2020-04-03$14.35$13.0071.1%19.6%121.6%56.6%69.1%11.0%1.4%156.8K-3.9M-121.6K0.7652.76N/AN/A17213123,36919,233
2020-04-06$15.16$13.0063.1%18.2%117.1%45.5%61.6%10.0%3.3%227.0K-7.1M-123.0K0.1927.07N/AN/A70213323,39219,315
2020-04-07$14.78$13.0062.7%18.3%117.2%45.0%63.5%9.3%3.0%177.2K-5.2M-118.9K0.1835.65N/AN/A1,40224622,90919,422
2020-04-08$15.11$13.0060.8%17.4%114.6%42.4%61.2%8.9%6.2%217.6K-6.8M-121.7K0.1638.31N/AN/A77112624,09419,596
2020-04-09$15.39$13.0058.6%16.8%104.1%39.4%58.2%7.4%6.3%257.5K-8.3M-123.3K0.2132.70N/AN/A1,35128224,47419,625
2020-04-13$15.39$14.0062.7%18.0%101.3%45.1%61.0%8.9%2.2%289.5K-8.7M-121.4K0.1441.65N/AN/A82011324,92619,682
2020-04-14$15.40$14.0060.2%17.3%90.4%41.6%59.3%5.5%1.2%309.3K-9.0M-118.4K0.4222.83N/AN/A73231125,31519,723
2020-04-15$15.27$14.0063.3%18.2%89.4%45.9%60.8%7.6%1.7%308.5K-8.0M-118.2K0.2520.90N/AN/A76119125,67719,915
2020-04-16$15.53$14.0058.8%16.8%89.4%39.6%59.2%6.5%3.1%327.0K-9.3M-120.0K0.3220.95N/AN/A52616926,10920,018
2020-04-17$15.59$14.0059.5%17.1%53.7%40.6%59.5%5.4%-1.3%136.6K-9.4M-114.6K2.3925.13N/AN/A8402,00426,05020,129
2020-04-20$15.97$14.0059.2%17.0%46.5%40.2%58.6%4.6%2.4%127.9K-5.3M-123.6K0.0716.42N/AN/A1,49410820,76020,054
2020-04-21$15.94$15.0058.1%16.7%38.7%38.7%60.0%7.8%4.2%154.7K-5.5M-127.2K3.7618.36N/AN/A6882,59021,68920,094
2020-04-22$15.72$15.0055.5%15.9%39.9%35.1%54.7%5.8%5.6%146.0K-4.8M-122.2K0.1316.90N/AN/A2863721,57219,143
2020-04-23$16.01$15.0055.0%15.8%33.3%34.5%54.5%8.9%6.4%165.1K-5.7M-121.6K0.0916.73N/AN/A7296621,75619,162
2020-04-24$15.95$15.0053.1%15.2%30.7%31.8%54.0%5.9%6.3%181.9K-5.5M-121.8K0.1113.97N/AN/A6066422,18919,152
2020-04-27$16.52$15.0049.6%14.2%31.8%27.0%49.9%8.6%5.4%235.8K-7.7M-122.1K0.3611.97N/AN/A60922122,47519,217
2020-04-28$16.13$15.0052.2%15.0%32.8%30.7%51.8%2.3%6.7%208.3K-6.5M-120.6K0.2415.32N/AN/A3849222,57619,310
2020-04-29$16.48$15.0050.3%14.4%33.2%28.0%49.8%5.0%7.4%244.2K-7.7M-121.1K0.4313.90N/AN/A24410622,65619,385
2020-04-30$16.27$15.0050.0%14.3%33.4%27.6%49.4%4.9%7.7%228.7K-6.5M-119.5K0.6021.78N/AN/A16810022,75919,402