BOX Options History — January 2021

In January 2021, BOX traded between $17.38 and $18.96. ATM implied volatility averaged 48.0%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 13.2% (HV 20d: 34.8%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.21.

Notable Days

  • 2021-01-27: Highest Volume — 15,708 contracts
  • 2021-01-11: Largest IV spike — 26.9% change
  • 2021-01-11: Highest IV Rank — 32.5%
  • 2021-01-27: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.93$17.38$18.96$17.89$17.47
Max Pain$18.26$18.00$19.00$19.00$18.00
ATM IV48.0%43.3%57.2%46.1%54.8%
Expected Move13.6%12.6%16.4%13.5%15.7%
HV 20d34.8%30.0%41.3%32.8%41.3%
HV 60d38.7%37.8%41.0%38.2%41.0%
IV Rank18.3%11.3%32.5%17.8%27.7%
IV Percentile29.0%10.3%70.2%21.8%62.7%
Term Structure7.6%5.4%10.6%5.5%8.3%
VWIV48.7%44.6%61.6%48.6%61.6%
Skew 25d-1.2%-5.7%0.9%-1.6%-5.7%
Skew 10d-1.8%-13.5%6.3%-0.6%-13.5%
Call IV 25d49.5%44.9%64.2%48.9%62.7%
Put IV 25d48.3%43.9%60.9%47.3%57.0%
Bid-Ask Spread %22.6010.4366.7118.8466.71
Gamma HHI0.170.120.430.230.12
Net GEX791.3K501.2K1.5M871.1K626.8K
Net DEX-21.1M-30.3M-14.7M-20.1M-21.5M
Net VEX-155.7K-178.6K-140.8K-148.0K-173.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.090.480.100.15
Total Volume3,683.4741,04615,7084,2562,632
Total OI65,043.42141,76585,23777,09652,876

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$17.89$19.0046.1%13.5%32.8%17.8%48.6%-1.6%5.5%871.1K-20.1M-148.0K0.1018.84N/AN/A3,87837857,77919,317
2021-01-05$18.00$19.0045.2%13.1%32.5%15.3%47.5%0.1%7.2%983.4K-21.6M-152.5K0.0919.63N/AN/A3,58630659,54619,615
2021-01-06$17.88$18.0044.3%13.3%32.6%13.9%46.6%-0.7%6.6%928.4K-20.5M-151.7K0.1019.73N/AN/A1,11111060,48019,685
2021-01-07$18.46$19.0043.3%12.9%34.0%12.4%45.4%0.9%7.5%1.2M-25.6M-159.1K0.1314.17N/AN/A1,87324160,32019,776
2021-01-08$18.51$19.0045.0%12.8%33.5%15.0%45.9%-1.1%6.9%1.2M-26.2M-158.6K0.2218.20N/AN/A2,49355761,07219,835
2021-01-11$17.81$19.0057.1%13.8%36.6%32.5%49.0%-1.4%6.1%853.1K-19.0M-144.0K0.4816.52N/AN/A3,4791,68361,42419,739
2021-01-12$17.55$18.0051.4%13.1%37.1%23.5%47.4%-2.2%8.7%586.2K-16.6M-143.5K0.2217.98N/AN/A2,68960062,34420,660
2021-01-13$17.38$18.0046.4%13.3%34.5%16.1%46.4%-0.6%6.7%501.2K-14.7M-140.8K0.1717.23N/AN/A2,23737963,05920,699
2021-01-14$18.05$18.0045.4%13.0%37.1%14.6%46.5%-0.1%9.5%785.6K-21.1M-149.4K0.1014.08N/AN/A3,27932563,63520,768
2021-01-15$17.98$18.0043.9%12.6%35.0%11.3%45.0%0.4%10.6%1.5M-21.0M-151.3K0.2717.63N/AN/A2,90878464,52620,711
2021-01-19$17.82$18.0045.5%13.0%35.0%13.8%46.6%-2.1%7.9%566.3K-19.4M-150.9K0.4412.53N/AN/A4,3231,88335,1336,632
2021-01-20$17.95$18.0044.4%12.7%35.1%12.1%44.7%-0.6%9.5%611.6K-20.5M-156.3K0.1914.74N/AN/A1,80334236,8057,052
2021-01-21$17.76$18.0044.6%12.8%34.7%12.4%44.6%-1.0%8.5%599.0K-19.7M-155.3K0.2310.99N/AN/A1,08325237,5457,270
2021-01-22$17.78$18.0044.7%12.8%31.1%12.6%44.9%-0.3%9.1%602.9K-19.8M-156.9K0.1910.43N/AN/A87816837,7947,541
2021-01-25$17.55$18.0048.9%14.0%30.0%18.9%49.1%-1.1%7.1%575.1K-18.6M-153.0K0.4111.20N/AN/A1,97880638,1467,591
2021-01-26$17.74$18.0047.5%13.6%30.5%16.8%47.6%0.1%6.9%606.8K-19.6M-157.0K0.1612.83N/AN/A1,50723539,0428,241
2021-01-27$18.96$18.0057.2%16.4%38.8%31.4%60.5%-3.3%5.9%732.8K-30.3M-178.6K0.0953.22N/AN/A14,4201,28839,8338,221
2021-01-28$18.10$18.0056.5%16.2%39.6%30.3%57.9%-2.5%5.4%703.8K-25.3M-178.0K0.2362.83N/AN/A2,83166142,8088,305
2021-01-29$17.47$18.0054.8%15.7%41.3%27.7%61.6%-5.7%8.3%626.8K-21.5M-173.8K0.1566.71N/AN/A2,28934344,1858,691