BOX Options History — June 2020

In June 2020, BOX traded between $18.05 and $21.81. ATM implied volatility averaged 50.8%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 3.0% (HV 20d: 47.8%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2020-06-22: Highest Volume — 97,188 contracts
  • 2020-06-22: Largest IV spike — 36.1% change
  • 2020-06-22: Highest IV Rank — 42.1%
  • 2020-06-22: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.57$18.05$21.81$19.41$20.77
Max Pain$19.14$18.00$20.00$19.00$20.00
ATM IV50.8%44.5%60.6%49.0%54.0%
Expected Move14.5%12.8%17.4%14.0%15.5%
HV 20d47.8%34.2%63.5%36.1%63.5%
HV 60d55.6%39.6%75.8%75.8%47.1%
IV Rank28.7%20.0%42.1%26.1%33.1%
IV Percentile65.5%54.0%82.5%62.3%70.2%
Term Structure0.2%-3.2%5.5%1.1%-2.3%
VWIV51.3%46.0%59.6%50.2%55.0%
Skew 25d0.9%-3.9%4.5%0.8%0.5%
Skew 10d2.2%-6.6%8.8%6.5%-1.2%
Call IV 25d51.8%43.8%64.2%50.6%55.8%
Put IV 25d52.7%47.8%64.7%51.4%56.3%
Bid-Ask Spread %20.328.0638.998.7010.65
Gamma HHI0.250.150.420.170.41
Net GEX1.2M364.9K2.7M1.1M2.7M
Net DEX-33.4M-64.9M-12.3M-32.8M-54.2M
Net VEX-210.7K-269.9K-172.9K-215.4K-259.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.031.050.200.07
Total Volume9,977.0451,15597,1887,0956,141
Total OI94,258.59159,177101,43093,413101,430

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$19.41$19.0049.0%14.0%36.1%26.1%50.2%0.8%1.1%1.1M-32.8M-215.4K0.208.70N/AN/A5,9151,18060,69032,723
2020-06-02$19.62$19.0046.8%13.4%34.2%23.2%47.8%-1.3%1.1%1.2M-35.7M-219.0K0.1611.85N/AN/A5,19584461,89232,869
2020-06-03$18.98$19.0047.3%13.5%36.8%23.8%48.5%1.6%-0.0%870.6K-26.0M-209.3K0.178.06N/AN/A5,52995261,89533,158
2020-06-04$18.66$19.0046.0%13.7%37.8%22.0%47.8%0.8%4.7%743.3K-21.9M-207.1K1.0519.10N/AN/A2,9683,12562,39233,314
2020-06-05$18.30$19.0045.6%13.2%36.0%21.5%47.6%-1.2%5.5%510.2K-15.6M-195.1K0.1517.99N/AN/A3,95559362,58733,384
2020-06-08$19.22$19.0050.4%13.9%38.6%28.1%48.7%2.4%1.7%1.0M-30.4M-208.0K0.1121.34N/AN/A3,18634963,77933,247
2020-06-09$19.23$19.0052.8%14.1%38.7%31.5%49.3%1.4%-0.5%1.0M-29.5M-208.2K0.1710.94N/AN/A2,93449063,92433,202
2020-06-10$19.44$19.0049.6%14.2%38.2%27.1%47.9%3.1%-0.9%1.2M-32.9M-210.3K0.1326.24N/AN/A3,03139664,10133,299
2020-06-11$18.05$19.0052.0%14.9%47.3%30.4%52.6%4.1%-1.7%452.0K-12.5M-182.9K0.4118.79N/AN/A2,24290963,61633,451
2020-06-12$18.18$19.0050.8%14.6%47.3%28.7%50.8%1.7%-0.6%364.9K-12.3M-180.5K0.1916.06N/AN/A1,24623263,25233,502
2020-06-15$18.36$19.0052.0%14.9%47.3%30.3%52.4%0.8%-0.9%456.6K-15.8M-176.7K0.3434.93N/AN/A86329263,19233,487
2020-06-16$18.88$18.0049.9%14.3%48.1%27.4%49.7%3.5%-1.0%585.3K-22.8M-180.8K0.3429.85N/AN/A1,57152963,20333,408
2020-06-17$19.12$19.0048.7%14.0%48.0%25.7%49.5%2.0%0.2%624.6K-25.8M-176.2K0.1328.06N/AN/A3,12739863,29733,170
2020-06-18$19.23$18.0046.9%13.5%47.3%23.3%47.2%3.4%0.3%459.3K-27.4M-175.6K0.2631.42N/AN/A1,03927263,02033,059
2020-06-19$19.63$19.0044.5%12.8%47.6%20.0%46.0%4.5%2.1%875.4K-33.1M-172.9K0.2317.33N/AN/A3,28575962,88932,943
2020-06-22$21.81$19.0060.6%17.4%57.1%42.1%59.6%0.5%-3.2%989.9K-43.3M-188.9K0.0338.99N/AN/A93,9633,22539,36219,815
2020-06-23$20.75$19.0054.3%15.6%60.1%33.5%56.5%-3.9%-1.6%2.2M-52.6M-244.7K0.1827.65N/AN/A23,0624,14865,14021,816
2020-06-24$20.41$20.0054.3%15.6%60.0%33.4%56.1%-2.0%0.3%2.2M-48.2M-247.5K0.3717.88N/AN/A7,5302,79869,11222,883
2020-06-25$20.79$20.0053.0%15.2%59.6%31.7%55.0%-1.0%1.2%2.4M-54.0M-260.4K0.2513.82N/AN/A4,3981,09570,54025,175
2020-06-26$21.41$20.0054.2%15.5%59.9%33.4%53.7%0.3%0.2%2.7M-64.9M-269.9K0.1221.91N/AN/A7,43586871,58025,627
2020-06-29$20.20$20.0055.2%15.8%62.9%34.8%57.8%-1.6%-1.6%2.2M-43.3M-247.2K0.1215.55N/AN/A6,64877873,46925,795
2020-06-30$20.77$20.0054.0%15.5%63.5%33.1%55.0%0.5%-2.3%2.7M-54.2M-259.3K0.0710.65N/AN/A5,74339875,09926,331