BOX Options History — October 2020

In October 2020, BOX traded between $15.45 and $18.09. ATM implied volatility averaged 47.6%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 21.9% (HV 20d: 25.7%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2020-10-02: Highest Volume — 5,613 contracts
  • 2020-10-28: Largest IV spike — 12.4% change
  • 2020-10-28: Highest IV Rank — 31.0%
  • 2020-10-28: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.93$15.45$18.09$17.45$15.45
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV47.6%43.6%54.2%45.5%54.2%
Expected Move13.8%12.8%15.5%13.1%15.5%
HV 20d25.7%21.8%37.0%37.0%30.1%
HV 60d37.5%36.0%40.5%40.4%37.1%
IV Rank21.5%15.8%31.0%18.6%30.9%
IV Percentile37.7%29.0%64.3%32.1%63.9%
Term Structure4.2%1.0%7.1%3.1%1.0%
VWIV48.5%45.4%54.2%45.4%53.2%
Skew 25d0.0%-2.1%3.0%-2.1%1.5%
Skew 10d-4.3%-17.9%5.7%-14.8%-16.4%
Call IV 25d48.4%45.7%53.0%46.2%53.0%
Put IV 25d48.4%44.0%55.2%44.0%54.5%
Bid-Ask Spread %20.7612.1235.1516.5317.68
Gamma HHI0.130.110.260.120.14
Net GEX237.9K-160.0K472.3K290.0K125.1K
Net DEX-8.1M-16.7M133.1K-10.1M133.1K
Net VEX-109.1K-122.1K-88.9K-120.1K-88.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.091.811.810.24
Total Volume1,476.7732645,6131,335892
Total OI61,578.86452,26369,05463,36356,962

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$17.45$17.0045.5%13.1%37.0%18.6%45.4%-2.1%3.1%290.0K-10.1M-120.1K1.8116.53N/AN/A47586040,64222,721
2020-10-02$17.18$17.0044.5%12.8%24.7%17.2%45.9%0.5%4.7%247.3K-7.8M-118.1K0.0912.12N/AN/A5,13847540,76322,971
2020-10-05$17.21$17.0043.7%13.7%24.3%16.0%48.0%0.3%5.2%278.3K-9.1M-121.1K0.3626.99N/AN/A1,03037443,02323,259
2020-10-06$17.20$17.0045.8%14.0%24.0%19.1%48.8%-0.8%3.5%255.8K-9.2M-117.4K0.2129.89N/AN/A1,26326043,11323,444
2020-10-07$17.40$17.0044.7%13.7%23.5%17.5%48.0%-0.2%4.3%262.6K-10.6M-117.8K0.9126.89N/AN/A64959342,88123,407
2020-10-08$17.63$17.0046.4%13.4%23.0%19.8%47.8%1.7%5.7%290.3K-12.2M-118.5K0.2535.15N/AN/A1,16528642,98723,707
2020-10-09$17.82$17.0043.6%13.3%22.1%15.8%47.2%-0.0%6.4%343.8K-14.4M-122.1K0.3731.38N/AN/A77128543,33223,734
2020-10-12$18.02$17.0048.1%13.3%21.8%22.2%47.8%-0.5%7.1%445.9K-16.3M-119.0K0.2921.58N/AN/A75922343,62823,576
2020-10-13$18.09$17.0047.5%13.4%21.8%21.4%46.6%1.6%3.8%472.3K-16.7M-118.6K0.3222.37N/AN/A1,14236443,76223,623
2020-10-14$17.63$17.0047.0%13.5%21.8%20.8%47.4%1.1%4.9%138.8K-12.4M-112.4K0.2015.77N/AN/A2,35047243,96623,798
2020-10-15$17.26$17.0048.7%13.9%22.1%23.1%49.1%-0.4%2.0%-160.0K-9.7M-111.8K0.2120.49N/AN/A94519444,70524,095
2020-10-16$17.29$17.0047.5%13.6%21.8%21.4%48.4%-0.8%3.9%272.1K-11.8M-109.6K0.2321.96N/AN/A63814845,18223,872
2020-10-19$16.56$17.0045.8%13.1%26.1%19.1%48.6%-1.7%4.7%217.7K-5.3M-100.8K0.1918.62N/AN/A2,19542532,48119,782
2020-10-20$16.11$17.0049.4%14.2%27.4%24.1%48.3%1.7%2.4%202.2K-3.6M-100.9K0.2615.25N/AN/A2,08755234,06019,952
2020-10-21$16.52$17.0049.2%14.1%28.5%23.8%49.6%-0.2%3.2%222.9K-5.2M-102.7K0.3313.74N/AN/A86828534,21620,139
2020-10-22$16.60$17.0046.9%13.4%28.1%20.5%47.3%-1.8%3.8%239.8K-5.6M-105.6K0.1123.24N/AN/A1,22613834,77620,297
2020-10-23$16.41$17.0045.7%13.1%28.0%18.9%45.9%0.1%6.8%244.5K-4.8M-101.6K0.4817.10N/AN/A27813335,59520,353
2020-10-26$16.12$17.0049.0%14.0%27.3%23.6%50.6%-0.6%3.2%207.6K-3.4M-99.0K0.1718.73N/AN/A84314235,77620,455
2020-10-27$16.21$17.0048.2%13.8%27.3%22.5%48.3%-0.0%5.4%223.9K-3.7M-99.1K0.3814.27N/AN/A1917335,95420,505
2020-10-28$16.12$17.0054.2%15.5%27.2%31.0%54.2%3.0%3.1%209.5K-3.4M-98.2K0.7224.28N/AN/A38928035,98220,531
2020-10-29$16.14$17.0050.7%14.5%26.8%25.9%50.7%-1.6%4.8%204.5K-3.1M-97.9K0.3712.80N/AN/A46217136,11720,611
2020-10-30$15.45$17.0054.2%15.5%30.1%30.9%53.2%1.5%1.0%125.1K133.1K-88.9K0.2417.68N/AN/A72217036,26220,700