BOX Options History — September 2020

In September 2020, BOX traded between $17.21 and $20.56. ATM implied volatility averaged 52.5%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 4.4% (HV 20d: 48.0%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2020-09-17: Highest Volume — 8,390 contracts
  • 2020-09-03: Largest IV spike — 9.2% change
  • 2020-09-08: Highest IV Rank — 39.8%
  • 2020-09-08: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.11$17.21$20.56$19.95$17.28
Max Pain$17.67$16.00$19.00$18.00$17.00
ATM IV52.5%45.6%60.4%53.0%45.6%
Expected Move15.1%13.1%17.4%15.2%13.1%
HV 20d48.0%38.8%53.1%42.8%39.0%
HV 60d45.6%40.7%51.5%48.3%40.7%
IV Rank28.5%18.7%39.8%29.3%18.7%
IV Percentile56.1%32.9%79.4%62.7%32.9%
Term Structure1.4%-1.3%3.9%3.1%3.1%
VWIV53.8%45.9%62.4%54.3%45.9%
Skew 25d-1.1%-5.9%2.2%-1.3%-1.6%
Skew 10d-4.5%-20.3%5.2%-5.0%-20.3%
Call IV 25d54.0%47.8%62.5%54.4%47.8%
Put IV 25d52.9%46.2%60.4%53.2%46.2%
Bid-Ask Spread %22.158.0332.768.0313.99
Gamma HHI0.160.100.340.150.11
Net GEX497.8K-242.1K1.7M1.5M420.0K
Net DEX-15.4M-44.9M-4.7M-37.2M-10.1M
Net VEX-135.7K-187.8K-112.2K-180.2K-112.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.045.910.075.91
Total Volume3,177.2864758,3904,7775,345
Total OI81,370.47655,444102,82192,79359,861

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$19.95$18.0053.0%15.2%42.8%29.3%54.3%-1.3%3.1%1.5M-37.2M-180.2K0.078.03N/AN/A4,45632162,90829,885
2020-09-02$20.56$18.0052.2%15.0%43.3%28.1%53.2%0.1%2.7%1.7M-44.9M-187.8K0.048.80N/AN/A5,80526161,99529,979
2020-09-03$18.93$19.0057.0%16.6%51.4%34.9%58.7%-1.2%0.9%889.9K-23.7M-168.9K0.2432.76N/AN/A2,86869963,07629,976
2020-09-04$18.59$19.0057.6%17.3%50.9%35.7%59.8%-1.1%-0.5%699.9K-19.3M-162.8K0.6029.86N/AN/A2,7861,67863,12630,169
2020-09-08$18.32$19.0060.4%17.4%51.0%39.8%62.4%-2.1%-1.3%585.7K-16.5M-153.7K0.1631.30N/AN/A2,73843464,07530,098
2020-09-09$18.63$18.0058.4%16.7%51.2%36.9%59.1%-2.3%0.0%744.6K-19.5M-153.9K0.2623.32N/AN/A1,44137864,94830,277
2020-09-10$18.20$18.0055.5%15.9%52.1%32.9%56.7%-1.3%0.0%420.5K-13.6M-141.0K0.3925.57N/AN/A1,21047165,03130,239
2020-09-11$17.82$18.0053.0%15.2%52.8%29.3%54.5%-1.0%2.9%158.4K-8.8M-133.8K0.2626.89N/AN/A1,15630665,44330,579
2020-09-14$17.56$18.0052.9%15.2%53.1%29.1%55.7%-3.6%3.0%-153.1K-4.7M-123.0K0.2120.42N/AN/A2,83958965,65830,626
2020-09-15$17.60$18.0052.0%14.9%50.8%27.8%51.7%-2.1%1.8%-242.1K-4.8M-117.7K0.2224.29N/AN/A2,59356365,91930,679
2020-09-16$18.06$18.0052.1%14.9%51.6%28.0%53.1%-1.0%3.2%169.0K-11.6M-124.5K0.1930.91N/AN/A3,42064166,56030,804
2020-09-17$17.72$18.0052.6%15.1%52.0%28.7%53.7%2.2%1.1%-91.8K-8.2M-119.8K0.2726.62N/AN/A6,6071,78367,38730,505
2020-09-18$17.88$16.0050.4%14.4%51.9%25.5%51.1%-1.0%1.4%507.4K-12.7M-129.8K0.4924.78N/AN/A3,2401,57471,34531,476
2020-09-21$17.95$17.0051.9%14.9%50.9%27.7%53.3%1.0%0.5%472.5K-14.6M-125.7K0.2630.40N/AN/A2,20357537,31618,128
2020-09-22$17.93$17.0051.6%14.8%50.8%27.3%52.2%1.3%-0.2%487.7K-14.4M-126.7K0.2321.81N/AN/A1,24528738,35618,576
2020-09-23$17.51$17.0051.6%14.8%51.3%27.2%52.9%-2.5%0.2%445.1K-12.2M-119.5K0.2125.55N/AN/A1,40530038,98118,593
2020-09-24$17.21$17.0050.5%14.5%44.0%25.7%53.1%-2.9%1.1%409.8K-10.2M-117.4K0.2621.38N/AN/A1,23332539,58718,646
2020-09-25$17.38$17.0047.7%13.7%38.8%21.7%49.6%1.8%3.9%439.0K-11.3M-119.1K0.2216.61N/AN/A73016340,10018,798
2020-09-28$17.70$17.0049.1%14.1%39.7%23.7%49.0%1.1%0.7%490.0K-13.2M-116.6K0.7711.45N/AN/A89168940,47018,817
2020-09-29$17.45$17.0047.3%13.6%39.6%21.1%49.2%-5.9%2.4%452.2K-11.6M-115.8K0.5010.32N/AN/A31715840,67219,116
2020-09-30$17.28$17.0045.6%13.1%39.0%18.7%45.9%-1.6%3.1%420.0K-10.1M-112.2K5.9113.99N/AN/A7734,57240,63119,230