BOX Options History — March 2021 In March 2021, BOX traded between $18.20 and $23.70. ATM implied volatility averaged 56.3%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 3.2% (HV 20d: 59.5%). Max pain ranged from $18.00 to $22.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.33.
Notable Days 2021-03-22 : Highest Volume — 70,719 contracts2021-03-22 : Largest IV spike — 49.8% change2021-03-22 : Highest IV Rank — 67.3%2021-03-22 : Largest Expected Move — 21.4%Monthly Statistics Metric Avg Min Max Open Close Price $21.53 $18.20 $23.70 $18.96 $23.09 Max Pain $19.78 $18.00 $22.00 $18.00 $22.00 ATM IV 56.3% 44.3% 74.5% 67.0% 60.9% Expected Move 16.0% 12.8% 21.4% 19.2% 17.5% HV 20d 59.5% 45.7% 70.9% 47.0% 60.3% HV 60d 47.4% 40.2% 51.3% 44.3% 50.0% IV Rank 30.1% 4.0% 67.3% 41.3% 49.7% IV Percentile 57.0% 4.8% 96.4% 89.7% 84.1% Term Structure -1.5% -11.3% 4.8% -11.3% -4.3% VWIV 56.4% 45.0% 73.7% 70.0% 61.5% Skew 25d -2.1% -16.6% 2.9% -2.8% -4.1% Skew 10d -5.4% -33.8% 21.2% -6.8% -16.7% Call IV 25d 58.0% 43.4% 80.9% 71.3% 64.7% Put IV 25d 55.9% 46.2% 68.5% 68.5% 60.6% Bid-Ask Spread % 39.67 17.56 66.64 23.84 25.27 Gamma HHI 0.17 0.13 0.26 0.13 0.17 Net GEX 3.2M 988.4K 5.0M 1.0M 4.5M Net DEX -103.8M -168.5M -25.8M -36.6M -149.8M Net VEX -426.8K -693.3K -210.3K -229.4K -693.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.33 0.02 1.94 0.14 1.94 Total Volume 20,592.522 3,081 70,719 3,616 10,349 Total OI 124,407.478 68,592 195,163 68,592 195,163
Daily Data (23 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 2021-03-01 $18.96 $18.00 67.0% 19.2% 47.0% 41.3% 70.0% -2.8% -11.3% 1.0M -36.6M -229.4K 0.14 23.84 N/A N/A 3,173 443 55,784 12,808 2021-03-02 $18.80 $18.00 68.1% 19.5% 47.2% 43.2% 68.9% -7.9% -10.6% 1.0M -35.0M -224.6K 0.37 17.56 N/A N/A 6,232 2,312 56,973 12,855 2021-03-03 $18.68 $18.00 49.4% 14.2% 45.7% 12.4% 52.0% -4.5% -1.5% 1.2M -33.4M -218.4K 0.37 25.31 N/A N/A 11,944 4,368 59,496 14,134 2021-03-04 $18.20 $18.00 48.1% 13.8% 46.5% 10.3% 46.9% 0.1% 2.6% 988.4K -25.8M -210.3K 0.73 39.80 N/A N/A 3,757 2,748 62,236 15,946 2021-03-05 $18.57 $18.00 44.3% 12.8% 47.1% 4.0% 45.0% 2.9% 4.7% 1.0M -27.4M -221.3K 0.17 31.10 N/A N/A 2,931 510 61,381 17,867 2021-03-08 $18.88 $18.00 51.2% 13.6% 46.9% 15.4% 47.7% 1.5% 2.6% 1.1M -31.4M -215.0K 0.83 37.17 N/A N/A 1,794 1,488 60,881 17,689 2021-03-09 $21.34 $18.00 60.2% 14.8% 63.5% 30.1% 52.9% -0.4% 2.9% 1.9M -70.8M -243.0K 0.06 20.03 N/A N/A 60,913 3,736 61,448 16,482 2021-03-10 $21.21 $18.00 54.5% 15.6% 63.6% 20.7% 54.3% 1.6% 0.3% 2.6M -80.9M -313.0K 0.04 46.46 N/A N/A 29,551 1,056 82,878 15,856 2021-03-11 $22.31 $18.00 48.9% 14.0% 64.6% 11.6% 49.2% 0.5% 1.9% 3.8M -121.2M -390.8K 0.08 51.30 N/A N/A 24,281 1,931 103,133 16,481 2021-03-12 $22.86 $19.00 48.5% 13.9% 64.7% 10.9% 48.6% 1.7% 2.1% 4.0M -135.1M -428.6K 0.39 39.77 N/A N/A 9,882 3,867 107,621 17,648 2021-03-15 $21.97 $21.00 47.2% 13.5% 66.6% 8.7% 47.3% -1.0% 4.3% 3.6M -108.9M -408.5K 0.17 40.52 N/A N/A 5,333 911 106,671 20,966 2021-03-16 $21.79 $21.00 45.5% 13.1% 66.1% 6.0% 45.5% 0.9% 4.8% 3.7M -103.7M -399.6K 0.04 49.24 N/A N/A 6,624 251 107,669 20,817 2021-03-17 $21.88 $21.00 46.8% 13.4% 66.2% 8.1% 47.2% -0.3% 3.5% 3.9M -107.8M -405.3K 0.11 45.01 N/A N/A 2,787 294 110,291 20,854 2021-03-18 $21.06 $21.00 49.6% 14.2% 68.0% 12.7% 50.5% -1.0% -0.2% 3.8M -87.2M -380.2K 0.03 31.64 N/A N/A 14,082 485 110,874 20,931 2021-03-19 $22.47 $21.00 49.7% 14.3% 70.9% 14.4% 50.3% 0.9% -0.2% 2.7M -130.8M -430.3K 0.02 47.48 N/A N/A 42,930 654 117,417 20,843 2021-03-22 $23.52 $21.00 74.5% 21.4% 68.1% 67.3% 73.7% -16.6% -9.2% 3.4M -149.2M -551.9K 0.08 44.73 N/A N/A 65,524 5,195 119,210 10,411 2021-03-23 $23.70 $21.00 60.3% 17.3% 61.5% 38.0% 60.5% 0.6% -8.3% 5.0M -168.5M -619.4K 0.05 57.46 N/A N/A 22,255 1,055 142,654 14,605 2021-03-24 $23.18 $21.00 62.1% 17.8% 62.2% 51.6% 60.9% -2.0% -7.8% 4.9M -155.8M -619.1K 0.06 66.64 N/A N/A 31,923 1,863 148,609 15,060 2021-03-25 $23.29 $21.00 66.5% 19.1% 60.4% 63.5% 68.7% -4.7% -2.5% 4.1M -144.0M -590.0K 0.03 50.35 N/A N/A 48,166 1,255 135,244 16,648 2021-03-26 $23.13 $21.00 61.1% 17.5% 60.6% 50.2% 63.4% -3.9% 1.0% 4.8M -159.1M -679.5K 0.23 57.33 N/A N/A 6,993 1,582 158,814 17,518 2021-03-29 $23.30 $21.00 63.7% 18.3% 60.5% 57.0% 65.4% -4.4% -2.0% 5.0M -165.4M -676.9K 0.19 22.44 N/A N/A 3,958 752 160,898 18,861 2021-03-30 $23.10 $21.00 66.7% 19.1% 60.5% 64.8% 66.9% -5.3% -6.8% 5.0M -159.1M -667.0K 1.50 42.00 N/A N/A 8,604 12,886 161,314 19,433 2021-03-31 $23.09 $22.00 60.9% 17.5% 60.3% 49.7% 61.5% -4.1% -4.3% 4.5M -149.8M -693.3K 1.94 25.27 N/A N/A 3,518 6,831 164,070 31,093
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