BOX Options History — August 2020

In August 2020, BOX traded between $17.05 and $20.39. ATM implied volatility averaged 57.5%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 22.4% (HV 20d: 35.1%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.15.

Notable Days

  • 2020-08-26: Highest Volume — 40,422 contracts
  • 2020-08-27: Largest IV drop — 34.0% change
  • 2020-08-26: Highest IV Rank — 62.6%
  • 2020-08-26: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.09$17.05$20.39$18.09$19.69
Max Pain$18.14$18.00$19.00$19.00$18.00
ATM IV57.5%48.9%76.5%51.5%50.5%
Expected Move16.9%14.0%21.9%14.8%14.5%
HV 20d35.1%28.5%42.8%39.3%42.8%
HV 60d47.8%46.4%49.3%47.4%49.2%
IV Rank35.7%23.5%62.6%27.1%25.7%
IV Percentile71.1%47.2%95.6%58.7%52.8%
Term Structure-2.7%-9.1%7.2%5.9%3.0%
VWIV60.6%50.8%79.7%51.9%52.4%
Skew 25d-2.5%-6.6%3.1%-1.4%-2.8%
Skew 10d-6.6%-15.2%0.2%-5.7%-10.7%
Call IV 25d61.1%48.3%83.7%51.4%54.0%
Put IV 25d58.6%48.8%77.1%50.1%51.2%
Bid-Ask Spread %20.626.9546.9346.938.42
Gamma HHI0.140.130.150.130.14
Net GEX890.9K504.1K2.0M920.6K1.3M
Net DEX-17.8M-53.0M-6.5M-17.2M-33.4M
Net VEX-161.6K-203.6K-137.2K-175.9K-177.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.060.280.140.27
Total Volume6,386.4761,22040,4222,7806,314
Total OI88,048.57170,25097,70986,35892,653

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$18.09$19.0051.5%14.8%39.3%27.1%51.9%-1.4%5.9%920.6K-17.2M-175.9K0.1446.93N/AN/A2,44133960,84525,513
2020-08-04$18.02$19.0051.6%14.8%39.3%27.2%52.8%-1.7%6.0%913.1K-16.7M-176.7K0.1142.74N/AN/A1,29814561,51425,628
2020-08-05$18.44$19.0051.3%14.7%39.2%26.9%50.8%3.1%7.2%1.1M-20.5M-180.8K0.1014.14N/AN/A2,69428161,88625,685
2020-08-06$17.77$18.0050.6%16.4%40.7%25.8%59.3%-3.5%-2.3%831.6K-13.8M-169.3K0.0717.88N/AN/A2,57418462,02125,595
2020-08-07$17.31$18.0050.4%16.9%41.0%25.5%60.6%-2.1%-3.9%685.0K-10.2M-163.9K0.0618.26N/AN/A2,77917562,68425,650
2020-08-10$17.10$18.0052.7%17.6%35.9%28.9%62.4%-3.8%-4.2%618.8K-7.8M-153.2K0.1121.27N/AN/A1,83620663,46825,640
2020-08-11$17.05$18.0055.5%17.5%34.2%32.8%63.1%-4.2%-5.1%598.9K-7.4M-152.5K0.2117.90N/AN/A1,26926763,74625,757
2020-08-12$17.15$18.0059.9%17.2%33.5%39.0%63.0%-4.2%-4.6%613.2K-7.4M-149.5K0.1418.69N/AN/A1,26017664,15325,764
2020-08-13$17.15$18.0058.9%16.9%32.2%37.7%62.2%-2.0%-3.4%585.8K-6.9M-148.8K0.0718.21N/AN/A1,85812864,30325,816
2020-08-14$17.10$18.0058.7%16.8%32.0%37.4%61.1%-3.9%-3.5%624.5K-6.5M-144.6K0.1025.83N/AN/A1,11011065,15125,774
2020-08-17$17.85$18.0060.2%17.2%30.9%39.4%61.4%-0.8%-4.8%903.4K-12.7M-147.0K0.1214.73N/AN/A1,90022465,26425,834
2020-08-18$17.76$18.0060.6%17.4%29.8%40.1%62.7%-3.1%-5.9%838.4K-13.0M-152.4K0.1521.37N/AN/A1,80927965,86225,754
2020-08-19$17.90$18.0060.9%17.5%30.0%40.4%65.0%-4.7%-5.9%934.4K-16.0M-154.2K0.1419.07N/AN/A2,44733566,66225,762
2020-08-20$18.14$18.0062.7%18.0%29.3%43.0%64.6%-2.1%-6.8%1.1M-17.4M-152.8K0.0822.35N/AN/A1,61013167,08725,688
2020-08-21$17.65$18.0063.2%18.1%28.5%43.8%64.5%0.1%-5.7%504.1K-11.0M-140.0K0.2222.41N/AN/A2,61558867,39325,443
2020-08-24$17.82$18.0066.7%19.1%28.6%48.8%66.4%-1.5%-9.0%524.4K-13.7M-137.2K0.1625.17N/AN/A4,73075048,03422,216
2020-08-25$18.04$18.0066.5%19.1%28.9%48.4%67.0%-0.4%-8.7%640.2K-16.8M-148.5K0.156.95N/AN/A3,73355550,73422,558
2020-08-26$19.35$18.0076.5%21.9%37.9%62.6%79.7%-6.6%-9.1%956.2K-32.8M-176.9K0.2822.87N/AN/A31,5638,85952,63422,769
2020-08-27$20.39$18.0050.5%14.5%41.3%25.6%51.7%-1.7%2.5%2.0M-53.0M-203.6K0.1816.40N/AN/A29,5735,21067,55930,150
2020-08-28$20.03$18.0048.9%14.0%42.1%23.5%50.9%-5.2%1.9%1.6M-40.6M-188.0K0.2511.35N/AN/A7,7801,98162,79829,573
2020-08-31$19.69$18.0050.5%14.5%42.8%25.7%52.4%-2.8%3.0%1.3M-33.4M-177.3K0.278.42N/AN/A4,9691,34562,45730,196