BOX Options History — February 2021

In February 2021, BOX traded between $17.60 and $19.31. ATM implied volatility averaged 55.3%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 11.5% (HV 20d: 43.9%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.21.

Notable Days

  • 2021-02-23: Highest Volume — 14,844 contracts
  • 2021-02-10: Largest IV spike — 25.1% change
  • 2021-02-26: Highest IV Rank — 38.5%
  • 2021-02-26: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.53$17.60$19.31$17.61$18.55
Max Pain$17.21$17.00$18.00$18.00$18.00
ATM IV55.3%44.2%65.3%55.3%65.3%
Expected Move16.5%13.7%18.7%15.9%18.7%
HV 20d43.9%39.7%55.4%41.3%48.5%
HV 60d40.2%38.4%44.4%40.2%44.1%
IV Rank25.1%11.2%38.5%28.6%38.5%
IV Percentile56.9%5.2%88.1%65.1%88.1%
Term Structure-2.4%-10.4%11.8%6.1%-10.4%
VWIV58.8%49.0%65.8%58.2%65.5%
Skew 25d-3.3%-7.1%0.6%-1.5%-2.4%
Skew 10d-6.7%-12.1%0.2%-7.8%-3.0%
Call IV 25d60.8%51.6%67.1%57.7%67.1%
Put IV 25d57.5%47.3%66.6%56.2%64.7%
Bid-Ask Spread %22.9613.9762.7962.7935.36
Gamma HHI0.140.120.180.120.13
Net GEX967.8K665.8K1.4M665.8K936.3K
Net DEX-30.6M-38.5M-21.8M-21.8M-31.9M
Net VEX-208.5K-233.8K-173.3K-173.3K-226.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.020.590.070.43
Total Volume4,593.2111,53514,8443,7931,535
Total OI62,695.78952,67769,82253,33367,833

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$17.61$18.0055.3%15.9%41.3%28.6%58.2%-1.5%6.1%665.8K-21.8M-173.3K0.0762.79N/AN/A3,54424944,7148,619
2021-02-02$18.24$18.0049.2%14.1%43.1%19.4%51.3%-4.9%11.8%771.5K-25.2M-179.9K0.0244.49N/AN/A3,9939744,0508,627
2021-02-03$18.45$18.0047.8%13.7%43.2%17.2%49.0%-4.3%9.7%937.4K-28.9M-190.6K0.5216.41N/AN/A5,5402,85946,6398,707
2021-02-04$18.51$17.0048.6%16.5%43.1%18.5%57.6%-3.5%-2.8%875.4K-28.3M-198.5K0.3724.14N/AN/A2,04975447,49811,025
2021-02-05$18.18$17.0044.6%15.6%42.1%12.5%57.3%-6.3%0.0%782.2K-25.0M-195.4K0.1918.48N/AN/A1,92436647,85011,666
2021-02-08$18.20$17.0044.2%16.2%42.1%11.2%59.8%-5.5%-0.9%800.4K-25.3M-195.5K0.1120.96N/AN/A2,78029748,62611,867
2021-02-09$18.13$17.0045.7%16.2%39.7%13.4%58.4%-7.1%-2.3%819.5K-25.9M-201.7K0.1616.09N/AN/A1,36121750,45612,087
2021-02-10$18.80$17.0057.2%16.4%41.2%30.9%59.1%-2.8%-2.9%1.0M-32.2M-213.3K0.0419.79N/AN/A5,68821650,79012,199
2021-02-11$19.20$17.0057.4%16.5%41.3%25.5%57.9%-4.0%-3.2%1.2M-36.9M-218.9K0.0715.83N/AN/A5,46938252,47912,111
2021-02-12$18.99$17.0055.5%15.9%39.8%22.4%56.2%-3.7%-2.9%1.3M-35.8M-220.1K0.0822.13N/AN/A4,01633453,85212,061
2021-02-16$18.62$17.0058.6%16.8%40.5%27.4%60.0%-1.4%-4.7%1.2M-32.9M-214.0K0.1413.97N/AN/A4,56565855,70511,997
2021-02-17$18.76$17.0057.8%16.6%40.3%26.2%58.3%-3.5%-3.7%1.4M-35.2M-217.4K0.2716.37N/AN/A1,62943957,05812,022
2021-02-18$18.63$17.0058.1%16.7%40.4%26.7%58.8%-1.2%-5.0%1.3M-33.0M-214.8K0.0415.11N/AN/A3,38914957,51212,310
2021-02-19$18.54$17.0056.6%16.2%40.2%24.2%56.7%-5.2%-3.8%833.3K-31.7M-214.8K0.1216.23N/AN/A2,51929757,49612,302
2021-02-22$17.60$17.0057.3%16.4%44.6%25.4%60.0%-3.7%-4.2%671.9K-23.0M-199.0K0.3319.69N/AN/A2,50283749,5149,745
2021-02-23$19.31$17.0063.0%18.1%55.2%34.8%63.4%-0.4%-6.5%953.7K-36.8M-226.9K0.0716.54N/AN/A13,86298250,15310,296
2021-02-24$19.12$17.0064.2%18.4%55.4%36.6%64.3%-2.0%-9.5%1.1M-38.5M-233.8K0.3218.04N/AN/A5,8591,85653,84510,486
2021-02-25$18.55$17.0065.1%18.7%51.4%38.3%65.8%0.6%-9.6%940.1K-32.3M-226.4K0.5923.78N/AN/A2,5491,50955,20011,823
2021-02-26$18.55$18.0065.3%18.7%48.5%38.5%65.5%-2.4%-10.4%936.3K-31.9M-226.7K0.4335.36N/AN/A1,07446155,34912,484