BOX Options History — November 2020

In November 2020, BOX traded between $15.32 and $18.62. ATM implied volatility averaged 54.4%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 16.4% (HV 20d: 38.1%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.18.

Notable Days

  • 2020-11-30: Highest Volume — 24,377 contracts
  • 2020-11-30: Largest IV spike — 18.3% change
  • 2020-11-30: Highest IV Rank — 56.6%
  • 2020-11-30: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.14$15.32$18.62$15.32$18.62
Max Pain$17.30$17.00$18.00$17.00$17.00
ATM IV54.4%43.3%72.2%54.1%72.2%
Expected Move16.0%13.8%20.7%15.5%20.7%
HV 20d38.1%30.0%42.7%30.0%34.3%
HV 60d37.7%31.4%40.1%36.8%31.4%
IV Rank31.3%15.4%56.6%30.8%56.6%
IV Percentile59.4%21.4%90.9%63.5%90.9%
Term Structure-5.0%-14.7%5.8%1.1%-14.7%
VWIV56.8%47.6%75.2%53.4%75.2%
Skew 25d-1.9%-7.8%3.9%3.9%-7.8%
Skew 10d-7.8%-18.5%6.8%-18.5%-13.6%
Call IV 25d57.1%50.6%77.9%51.6%77.9%
Put IV 25d55.2%47.9%70.0%55.5%70.0%
Bid-Ask Spread %21.7711.7937.0937.0318.37
Gamma HHI0.170.140.210.140.16
Net GEX502.4K84.8K841.6K84.8K636.8K
Net DEX-12.1M-22.0M1.6M1.6M-22.0M
Net VEX-122.6K-142.7K-83.6K-83.6K-134.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.010.560.560.05
Total Volume3,613.6549424,3771,30224,377
Total OI62,130.4556,94768,29656,94759,647

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$15.32$17.0054.1%15.5%30.0%30.8%53.4%3.9%1.1%84.8K1.6M-83.6K0.5637.03N/AN/A83346936,24320,704
2020-11-03$15.97$17.0053.6%15.4%34.4%30.0%53.8%1.2%1.8%177.9K-1.7M-88.7K0.0634.84N/AN/A1,2527936,24320,704
2020-11-04$16.32$17.0048.1%13.8%35.1%22.3%47.6%-2.8%5.8%292.0K-4.9M-95.8K0.2535.99N/AN/A91122437,60320,842
2020-11-05$17.03$18.0044.5%14.9%38.4%17.1%51.1%-0.0%-3.6%421.7K-9.3M-99.6K0.0915.01N/AN/A1,84716337,87220,691
2020-11-06$16.90$18.0043.3%14.8%38.1%15.4%55.8%-3.0%-3.5%416.0K-8.6M-97.8K0.0118.58N/AN/A7,30110637,37720,610
2020-11-09$17.20$18.0044.8%14.9%38.5%17.5%53.9%-2.2%-2.5%559.1K-13.4M-142.7K0.1937.09N/AN/A1,62730543,94220,532
2020-11-10$16.39$18.0047.8%15.7%41.7%21.8%55.0%-2.1%-5.4%377.0K-6.7M-127.1K0.2124.09N/AN/A1,11423944,28020,406
2020-11-11$16.55$18.0054.5%15.6%41.2%31.4%57.0%-2.1%-4.6%432.5K-7.9M-127.9K0.0619.71N/AN/A7214444,82020,325
2020-11-12$16.69$18.0053.1%15.2%40.9%29.4%55.2%-1.6%-2.8%494.3K-9.3M-129.8K0.3920.12N/AN/A35613845,25720,333
2020-11-13$17.26$17.0053.5%15.4%42.7%30.0%53.9%-2.6%-5.6%639.2K-13.6M-135.8K0.3019.32N/AN/A60918145,36720,361
2020-11-16$17.10$17.0054.0%15.5%39.8%30.6%54.3%-0.9%-5.6%657.6K-12.2M-131.5K0.3430.43N/AN/A63721445,51420,274
2020-11-17$17.48$17.0056.5%16.2%38.9%34.2%58.2%-2.5%-5.6%739.0K-16.3M-136.0K0.0622.52N/AN/A2,67216645,57320,287
2020-11-18$17.35$17.0056.8%16.3%38.2%34.7%57.5%-2.5%-7.1%841.6K-16.1M-137.4K0.1116.91N/AN/A1,95121547,43920,244
2020-11-19$17.49$17.0056.5%16.2%38.3%34.2%57.4%-2.8%-5.9%721.3K-18.1M-135.4K0.2515.93N/AN/A64316348,00620,290
2020-11-20$17.60$17.0057.3%16.4%37.9%35.3%56.9%-1.0%-8.9%443.1K-19.1M-135.5K0.0417.84N/AN/A3,22814148,05520,241
2020-11-23$17.45$17.0056.7%16.3%37.4%34.5%58.0%-4.5%-5.9%434.1K-13.4M-130.9K0.2814.47N/AN/A1,55543739,67617,792
2020-11-24$17.52$17.0060.3%17.3%37.4%39.7%59.9%-0.3%-11.0%448.8K-13.5M-133.4K0.0512.26N/AN/A6,24328540,29618,119
2020-11-25$18.20$17.0059.9%17.2%39.1%39.0%60.2%-2.7%-9.7%566.3K-17.4M-120.6K0.0511.79N/AN/A6,43931038,75718,354
2020-11-27$18.36$17.0061.0%17.5%39.0%40.7%61.7%-2.1%-7.4%664.8K-20.1M-128.4K0.1713.19N/AN/A3,49658241,14918,384
2020-11-30$18.62$17.0072.2%20.7%34.3%56.6%75.2%-7.8%-14.7%636.8K-22.0M-134.2K0.0518.37N/AN/A23,2861,09141,06418,583