BOX Options History — December 2020 In December 2020, BOX traded between $16.78 and $19.89. ATM implied volatility averaged 46.8%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 4.5% (HV 20d: 42.3%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.20.
Notable Days 2020-12-16 : Highest Volume — 28,813 contracts2020-12-02 : Largest IV drop — 33.1% change2020-12-01 : Highest IV Rank — 54.9%2020-12-01 : Largest Expected Move — 20.4%Monthly Statistics Metric Avg Min Max Open Close Price $18.16 $16.78 $19.89 $18.55 $18.09 Max Pain $17.18 $17.00 $18.00 $17.00 $18.00 ATM IV 46.8% 41.9% 71.0% 71.0% 41.9% Expected Move 13.4% 12.0% 20.4% 20.4% 12.0% HV 20d 42.3% 32.8% 46.9% 34.0% 32.8% HV 60d 36.1% 31.2% 38.2% 31.2% 38.2% IV Rank 20.0% 11.6% 54.9% 54.9% 11.6% IV Percentile 25.2% 10.3% 89.7% 89.7% 10.3% Term Structure 1.9% -15.0% 6.5% -15.0% 3.7% VWIV 49.0% 44.0% 73.3% 73.3% 44.0% Skew 25d -2.7% -7.8% 1.5% -4.1% -2.0% Skew 10d -8.4% -22.5% 0.9% -7.4% -19.3% Call IV 25d 50.0% 43.4% 76.3% 76.3% 43.4% Put IV 25d 47.2% 41.4% 72.1% 72.1% 41.4% Bid-Ask Spread % 13.42 8.28 19.82 11.97 8.28 Gamma HHI 0.22 0.16 0.39 0.21 0.25 Net GEX 1.1M 514.7K 2.2M 860.5K 1.0M Net DEX -25.3M -38.9M -9.6M -24.7M -22.4M Net VEX -149.3K -166.0K -121.7K -144.3K -155.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.20 0.02 0.94 0.27 0.30 Total Volume 7,871 1,584 28,813 13,033 2,697 Total OI 80,392.409 65,467 92,598 66,650 77,128
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 2020-12-01 $18.55 $17.00 71.0% 20.4% 34.0% 54.9% 73.3% -4.1% -15.0% 860.5K -24.7M -144.3K 0.27 11.97 N/A N/A 10,263 2,770 47,145 19,505 2020-12-02 $16.97 $18.00 47.5% 13.6% 46.9% 21.4% 53.2% -4.0% 0.5% 514.7K -9.6M -121.7K 0.24 13.70 N/A N/A 17,479 4,225 52,130 21,768 2020-12-03 $16.78 $17.00 46.2% 12.8% 46.6% 19.6% 46.6% -3.7% 6.3% 519.9K -11.8M -131.7K 0.28 16.25 N/A N/A 9,400 2,600 57,809 23,118 2020-12-04 $17.03 $17.00 46.0% 13.2% 44.3% 19.3% 46.9% -3.9% 3.9% 668.9K -16.8M -151.4K 0.23 14.87 N/A N/A 3,548 802 61,564 24,611 2020-12-07 $17.16 $17.00 46.1% 12.8% 44.3% 19.5% 48.3% -1.6% 5.7% 680.0K -16.6M -143.3K 0.37 13.54 N/A N/A 2,678 986 62,344 24,853 2020-12-08 $17.44 $17.00 43.1% 12.9% 44.2% 15.1% 46.2% -4.8% 5.3% 913.1K -20.8M -148.7K 0.27 16.77 N/A N/A 2,313 618 62,412 24,929 2020-12-09 $17.23 $17.00 44.6% 12.8% 40.7% 17.3% 46.3% -1.8% 5.6% 726.1K -17.0M -138.4K 0.16 15.99 N/A N/A 3,135 489 62,219 24,599 2020-12-10 $17.38 $17.00 46.5% 13.3% 40.6% 19.9% 47.0% 0.2% 2.8% 697.6K -17.5M -140.2K 0.94 15.34 N/A N/A 815 769 62,204 24,418 2020-12-11 $17.35 $17.00 45.4% 13.0% 40.6% 18.3% 49.9% -5.0% 6.5% 654.8K -17.3M -139.4K 0.06 13.31 N/A N/A 4,077 229 62,252 24,492 2020-12-14 $18.01 $17.00 45.9% 13.1% 41.0% 19.0% 47.6% -0.8% 3.3% 1.2M -25.4M -145.0K 0.12 12.72 N/A N/A 8,880 1,024 64,224 24,469 2020-12-15 $18.20 $17.00 44.4% 12.7% 40.9% 16.9% 45.6% -1.3% 5.4% 1.3M -26.9M -144.9K 0.12 10.58 N/A N/A 4,802 580 64,895 24,188 2020-12-16 $18.81 $17.00 50.2% 14.4% 41.7% 25.2% 51.7% -1.6% 1.7% 2.2M -37.5M -154.4K 0.05 19.82 N/A N/A 27,368 1,445 66,399 24,422 2020-12-17 $18.81 $17.00 47.5% 13.6% 41.5% 21.4% 49.3% -7.8% -1.2% 1.8M -37.6M -160.6K 0.11 13.65 N/A N/A 4,595 502 67,617 24,981 2020-12-18 $18.89 $17.00 45.3% 13.0% 41.5% 18.2% 47.7% -1.2% 1.1% 2.2M -35.4M -157.8K 0.10 14.98 N/A N/A 5,103 527 67,159 25,182 2020-12-21 $19.15 $17.00 45.6% 13.1% 41.7% 18.7% 48.5% -2.1% 1.6% 1.0M -31.7M -155.7K 0.08 13.94 N/A N/A 5,352 405 47,975 17,492 2020-12-22 $19.89 $17.00 45.8% 13.1% 43.0% 18.0% 46.8% 1.5% 1.0% 1.2M -38.9M -163.5K 0.14 8.59 N/A N/A 6,447 916 49,698 17,712 2020-12-23 $19.33 $17.00 43.7% 12.5% 44.8% 14.8% 45.6% -1.8% 1.4% 1.2M -34.3M -164.0K 0.18 14.72 N/A N/A 2,554 465 50,804 17,921 2020-12-24 $19.26 $17.00 49.5% 14.2% 43.1% 22.8% 52.2% -6.3% -1.9% 1.1M -34.5M -166.0K 0.02 12.93 N/A N/A 16,819 368 51,025 18,197 2020-12-28 $18.85 $17.00 47.6% 13.6% 43.9% 20.0% 48.8% -2.3% -2.4% 1.4M -32.6M -161.6K 0.05 14.62 N/A N/A 4,952 250 56,868 18,493 2020-12-29 $18.10 $18.00 42.5% 12.2% 46.0% 12.6% 46.7% -4.9% 3.9% 1.0M -23.3M -149.7K 0.16 10.13 N/A N/A 3,643 591 56,173 18,598 2020-12-30 $18.30 $18.00 43.8% 12.6% 46.2% 14.5% 44.9% -1.0% 1.7% 1.1M -24.2M -147.6K 0.09 8.58 N/A N/A 5,215 466 55,603 19,038 2020-12-31 $18.09 $18.00 41.9% 12.0% 32.8% 11.6% 44.0% -2.0% 3.7% 1.0M -22.4M -155.9K 0.30 8.28 N/A N/A 2,073 624 57,821 19,307
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