BOX Options History — May 2020

In May 2020, BOX traded between $15.15 and $19.95. ATM implied volatility averaged 60.2%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 21.7% (HV 20d: 38.6%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.13.

Notable Days

  • 2020-05-28: Highest Volume — 43,224 contracts
  • 2020-05-28: Largest IV drop — 29.9% change
  • 2020-05-26: Highest IV Rank — 62.0%
  • 2020-05-26: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.47$15.15$19.95$15.44$19.95
Max Pain$15.85$15.00$19.00$15.00$19.00
ATM IV60.2%47.7%75.0%53.8%47.7%
Expected Move17.9%13.7%21.5%15.4%13.7%
HV 20d38.6%34.8%41.6%38.6%40.5%
HV 60d76.9%75.8%77.4%76.3%75.8%
IV Rank41.6%24.4%62.0%32.7%24.4%
IV Percentile82.1%61.1%93.7%74.6%61.1%
Term Structure-5.9%-13.7%7.0%7.0%2.4%
VWIV62.5%49.3%77.2%53.0%49.3%
Skew 25d2.0%-3.9%7.8%4.8%1.7%
Skew 10d3.7%-8.2%12.7%11.4%8.7%
Call IV 25d62.3%50.3%80.3%51.2%50.3%
Put IV 25d64.3%52.0%76.4%56.0%52.0%
Bid-Ask Spread %15.9712.3620.2117.5214.02
Gamma HHI0.160.130.250.130.17
Net GEX628.2K116.0K1.3M142.7K1.3M
Net DEX-20.7M-45.4M-2.1M-3.1M-41.8M
Net VEX-157.8K-226.0K-109.6K-115.0K-226.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.020.490.260.12
Total Volume8,779.0566943,2246699,056
Total OI60,485.9542,22393,32742,28093,327

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$15.44$15.0053.8%15.4%38.6%32.7%53.0%4.8%7.0%142.7K-3.1M-115.0K0.2617.52N/AN/A52914022,81619,464
2020-05-04$15.15$15.0054.7%17.6%38.8%34.0%59.4%6.5%-5.7%116.0K-2.1M-109.6K0.1514.25N/AN/A86613322,74419,479
2020-05-05$15.70$15.0051.2%17.1%35.9%29.3%57.3%6.9%-4.5%182.1K-4.4M-112.6K0.0216.31N/AN/A2,5335722,92119,552
2020-05-06$15.99$15.0051.1%16.5%34.8%29.0%56.5%7.8%-3.2%254.0K-6.1M-117.7K0.0416.44N/AN/A1,1144024,49419,583
2020-05-07$16.76$15.0059.5%18.0%37.6%40.6%61.1%6.6%-6.1%329.7K-10.6M-124.7K0.0613.22N/AN/A7,48243924,94919,621
2020-05-08$17.20$15.0054.8%18.4%38.0%34.2%63.8%0.9%-7.2%558.7K-17.2M-144.7K0.0416.79N/AN/A9,37040331,14519,821
2020-05-11$17.30$15.0060.8%18.4%38.0%42.5%64.5%2.0%-7.6%731.1K-20.9M-150.4K0.0920.21N/AN/A4,49341536,31019,973
2020-05-12$17.11$15.0058.1%18.1%38.4%38.7%63.5%-1.6%-8.4%760.3K-19.7M-151.8K0.4920.07N/AN/A5,2112,57338,30920,165
2020-05-13$16.86$16.0063.3%18.2%38.8%45.9%64.9%0.6%-7.3%645.9K-17.2M-159.1K0.1613.57N/AN/A3,34153440,70422,565
2020-05-14$16.93$16.0065.3%18.7%38.5%48.6%65.3%4.1%-6.7%614.3K-17.3M-158.9K0.1919.91N/AN/A2,50248540,65422,819
2020-05-15$17.12$16.0064.0%18.4%38.6%46.9%64.8%0.2%-5.9%704.0K-19.7M-161.1K0.0515.09N/AN/A3,59217841,15523,070
2020-05-18$17.30$16.0062.7%18.0%38.0%45.1%62.7%1.9%-6.0%482.6K-17.3M-157.7K0.0614.25N/AN/A3,55422336,89921,874
2020-05-19$17.23$16.0063.9%18.3%38.0%46.7%64.4%1.2%-7.7%499.8K-17.6M-161.5K0.0815.03N/AN/A2,85222138,12621,945
2020-05-20$17.71$16.0062.3%17.8%38.3%44.4%62.2%3.5%-7.3%604.0K-21.5M-167.2K0.0513.42N/AN/A2,35112339,48722,064
2020-05-21$17.96$16.0063.7%18.3%38.1%46.4%64.1%-0.2%-7.9%637.9K-23.4M-168.7K0.0816.54N/AN/A2,11616239,79122,106
2020-05-22$18.96$16.0069.2%19.8%41.6%54.0%70.3%-2.3%-9.9%709.4K-32.4M-177.2K0.0512.36N/AN/A16,53084740,52822,209
2020-05-26$19.46$16.0075.0%21.5%41.0%62.0%77.2%-3.9%-13.7%1.1M-43.2M-196.4K0.0716.83N/AN/A20,5561,50250,86922,669
2020-05-27$19.89$16.0072.6%20.8%39.4%58.6%74.0%-1.6%-12.6%1.2M-45.4M-195.1K0.4318.30N/AN/A18,0677,76753,15423,538
2020-05-28$19.45$18.0050.9%14.6%40.8%28.8%51.8%0.9%-0.8%1.1M-33.2M-201.2K0.1315.34N/AN/A38,3674,85756,49532,325
2020-05-29$19.95$19.0047.7%13.7%40.5%24.4%49.3%1.7%2.4%1.3M-41.8M-226.0K0.1214.02N/AN/A8,07098660,90132,426