BOX Options History — July 2020 In July 2020, BOX traded between $17.59 and $21.26. ATM implied volatility averaged 53.6%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 0.4% (HV 20d: 54.0%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.19.
Notable Days 2020-07-20 : Highest Volume — 25,387 contracts2020-07-15 : Largest IV drop — 23.9% change2020-07-14 : Highest IV Rank — 52.4%2020-07-20 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $19.18 $17.59 $21.26 $21.26 $17.87 Max Pain $19.59 $19.00 $20.00 $20.00 $19.00 ATM IV 53.6% 47.1% 68.8% 52.8% 48.7% Expected Move 14.9% 13.5% 16.2% 15.1% 14.0% HV 20d 54.0% 38.4% 63.2% 62.4% 38.9% HV 60d 48.3% 46.1% 50.4% 46.2% 48.3% IV Rank 31.3% 20.8% 52.4% 31.5% 23.1% IV Percentile 64.7% 47.2% 90.1% 65.9% 50.0% Term Structure 4.9% 1.5% 7.2% 1.5% 7.2% VWIV 52.5% 47.4% 56.6% 53.2% 48.8% Skew 25d 0.2% -4.3% 2.5% 0.6% -2.6% Skew 10d -1.2% -12.1% 4.4% 0.8% -12.1% Call IV 25d 52.7% 47.5% 58.1% 53.8% 49.1% Put IV 25d 53.0% 46.5% 57.7% 54.4% 46.5% Bid-Ask Spread % 39.04 13.37 64.93 13.37 56.89 Gamma HHI 0.22 0.11 0.42 0.42 0.13 Net GEX 1.6M 573.9K 3.6M 3.1M 806.5K Net DEX -29.8M -64.4M -11.1M -64.4M -13.7M Net VEX -208.1K -269.5K -169.0K -269.5K -172.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.19 0.03 0.83 0.12 0.20 Total Volume 5,489.818 1,538 25,387 5,223 3,386 Total OI 96,177.5 71,540 110,697 103,759 85,766
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 2020-07-01 $21.26 $20.00 52.8% 15.1% 62.4% 31.5% 53.2% 0.6% 1.5% 3.1M -64.4M -269.5K 0.12 13.37 N/A N/A 4,657 566 77,135 26,624 2020-07-02 $20.70 $20.00 48.4% 13.9% 63.0% 25.4% 52.1% -4.3% 3.4% 2.9M -54.1M -259.4K 0.15 37.50 N/A N/A 4,357 671 77,635 26,702 2020-07-06 $20.80 $20.00 54.9% 15.2% 62.3% 34.0% 53.6% 2.3% 4.7% 3.1M -55.2M -255.6K 0.28 24.45 N/A N/A 7,572 2,120 79,503 26,527 2020-07-07 $20.63 $20.00 55.4% 15.6% 60.4% 34.6% 54.1% 1.3% 3.8% 3.0M -52.3M -251.5K 0.13 19.05 N/A N/A 3,281 441 80,435 26,726 2020-07-08 $21.12 $20.00 53.8% 15.5% 60.8% 32.4% 53.8% 1.3% 3.5% 3.6M -62.8M -257.7K 0.10 35.92 N/A N/A 4,795 464 81,468 26,850 2020-07-09 $20.99 $20.00 60.5% 15.7% 60.8% 41.6% 55.6% 2.1% 4.2% 3.3M -60.2M -253.7K 0.13 45.15 N/A N/A 4,190 534 81,427 26,814 2020-07-10 $20.62 $20.00 55.0% 15.2% 54.2% 34.1% 53.9% 2.5% 5.9% 3.2M -51.5M -244.3K 0.06 41.93 N/A N/A 4,458 264 81,841 26,816 2020-07-13 $19.38 $20.00 66.9% 15.7% 59.4% 50.5% 54.5% 2.1% 4.2% 1.7M -26.1M -205.2K 0.17 50.61 N/A N/A 7,753 1,357 81,063 27,052 2020-07-14 $18.70 $20.00 68.8% 15.6% 60.9% 52.4% 55.2% -0.2% 3.2% 831.2K -13.4M -189.9K 0.24 51.01 N/A N/A 4,053 980 81,023 27,882 2020-07-15 $19.02 $20.00 52.3% 15.0% 60.4% 29.3% 52.5% -0.9% 5.4% 916.6K -16.9M -193.1K 0.83 38.95 N/A N/A 2,601 2,168 81,893 27,970 2020-07-16 $18.45 $20.00 53.6% 15.4% 61.1% 31.1% 54.0% 0.4% 4.6% 596.4K -11.1M -181.9K 0.16 42.09 N/A N/A 2,574 412 82,022 28,028 2020-07-17 $18.53 $20.00 51.1% 14.7% 61.1% 27.7% 51.6% 1.2% 6.2% 573.9K -12.9M -181.9K 0.44 46.74 N/A N/A 2,440 1,069 83,242 27,455 2020-07-20 $19.45 $20.00 56.6% 16.2% 63.2% 35.4% 56.6% -0.5% 3.9% 760.6K -25.3M -198.0K 0.03 46.79 N/A N/A 24,646 741 47,779 23,761 2020-07-21 $18.95 $19.00 55.0% 15.8% 49.9% 33.1% 54.5% 0.6% 3.6% 996.1K -26.7M -203.0K 0.09 46.60 N/A N/A 5,707 510 55,308 24,205 2020-07-22 $18.84 $19.00 51.9% 14.9% 47.3% 28.7% 52.6% -0.5% 5.4% 1.0M -25.3M -203.0K 0.10 35.62 N/A N/A 2,270 219 56,576 24,620 2020-07-23 $18.37 $19.00 50.8% 14.6% 47.6% 27.2% 51.5% 0.3% 6.6% 933.4K -20.8M -192.4K 0.16 30.73 N/A N/A 4,381 699 57,021 24,752 2020-07-24 $17.77 $19.00 49.2% 14.1% 47.8% 24.9% 50.8% -0.5% 5.9% 784.4K -15.1M -183.0K 0.13 40.62 N/A N/A 3,612 453 58,544 25,332 2020-07-27 $17.65 $19.00 49.1% 14.1% 45.7% 24.9% 50.1% 1.1% 6.6% 741.1K -12.2M -171.7K 0.04 34.57 N/A N/A 4,664 199 58,948 25,319 2020-07-28 $17.65 $19.00 49.5% 14.2% 42.0% 24.2% 49.4% -0.8% 4.7% 733.1K -11.8M -170.4K 0.18 27.17 N/A N/A 2,036 360 58,578 25,352 2020-07-29 $17.66 $19.00 47.1% 13.5% 40.1% 20.8% 47.4% 0.9% 7.2% 743.9K -12.0M -169.0K 0.19 64.93 N/A N/A 1,288 250 59,266 25,373 2020-07-30 $17.59 $19.00 47.9% 13.7% 38.4% 22.0% 49.7% -1.6% 7.0% 722.7K -11.3M -171.1K 0.24 28.09 N/A N/A 1,269 309 59,743 25,529 2020-07-31 $17.87 $19.00 48.7% 14.0% 38.9% 23.1% 48.8% -2.6% 7.2% 806.5K -13.7M -172.9K 0.20 56.89 N/A N/A 2,824 562 60,162 25,604
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