BOX Options History — May 2021

In May 2021, BOX traded between $20.65 and $23.56. ATM implied volatility averaged 45.0%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 11.9% (HV 20d: 33.1%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2021-05-13: Highest Volume — 48,547 contracts
  • 2021-05-12: Largest IV spike — 35.5% change
  • 2021-05-17: Highest IV Rank — 62.9%
  • 2021-05-17: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.53$20.65$23.56$20.99$23.32
Max Pain$22.20$22.00$23.00$22.00$23.00
ATM IV45.0%31.5%59.8%31.5%32.6%
Expected Move13.2%9.0%17.1%9.0%9.3%
HV 20d33.1%19.1%39.5%39.5%33.6%
HV 60d49.7%47.0%52.3%50.6%47.0%
IV Rank30.1%0.0%62.9%0.0%2.5%
IV Percentile35.2%0.0%82.9%0.0%1.6%
Term Structure-3.1%-10.9%6.9%6.9%2.1%
VWIV46.6%33.0%59.6%33.4%34.6%
Skew 25d-0.1%-9.3%4.0%-2.5%-9.3%
Skew 10d1.3%-18.7%8.1%-4.1%-18.7%
Call IV 25d46.8%32.5%59.4%34.3%39.0%
Put IV 25d46.7%29.7%58.4%31.8%29.7%
Bid-Ask Spread %47.5020.9563.4420.9558.30
Gamma HHI0.200.130.290.130.22
Net GEX3.9M1.4M7.7M1.8M2.8M
Net DEX-73.7M-141.7M-9.6M-21.3M-69.3M
Net VEX-512.5K-636.1K-364.7K-383.9K-583.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.072.940.410.26
Total Volume11,196.651,02948,5472,80917,374
Total OI179,565.3145,080230,781145,080197,255

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$20.99$22.0031.5%9.0%39.5%0.0%33.4%-2.5%6.9%1.8M-21.3M-383.9K0.4120.95N/AN/A1,990819111,44033,640
2021-05-04$20.89$22.0033.2%9.5%39.5%3.8%33.9%0.2%6.8%1.6M-16.2M-368.5K0.4822.37N/AN/A3,6481,764111,99933,865
2021-05-05$20.91$22.0032.8%9.4%39.3%2.8%33.0%3.0%6.6%1.7M-16.9M-379.4K0.7339.01N/AN/A2,4261,771113,80435,136
2021-05-06$20.65$22.0032.3%11.5%19.1%1.8%41.2%2.4%0.5%1.4M-9.6M-364.7K0.9046.98N/AN/A541488115,58736,718
2021-05-07$21.12$22.0031.7%11.0%20.6%0.5%38.5%1.6%0.3%1.9M-23.3M-403.9K0.6949.24N/AN/A1,049728116,27437,383
2021-05-10$22.45$22.0037.6%11.8%30.1%13.6%42.3%1.5%-0.8%3.5M-63.4M-450.7K0.1434.76N/AN/A8,8051,229116,41937,268
2021-05-11$22.80$22.0038.3%12.4%29.8%15.2%43.1%4.0%-2.3%3.8M-71.6M-454.4K0.2724.68N/AN/A9,2222,509116,91237,339
2021-05-12$22.03$22.0051.9%14.9%31.7%45.4%52.0%-0.3%-7.9%3.0M-53.8M-460.7K0.0748.08N/AN/A12,433856119,82939,118
2021-05-13$22.78$22.0055.3%15.8%33.7%52.9%56.4%0.5%-3.0%3.8M-86.3M-509.3K0.3146.68N/AN/A37,12911,418127,92940,015
2021-05-14$23.31$22.0051.8%14.9%34.4%45.3%51.1%-2.4%-3.6%5.9M-122.9M-590.5K0.3552.14N/AN/A8,6973,004148,71149,559
2021-05-17$23.56$22.0059.8%17.1%34.2%62.9%59.6%-1.0%-10.9%6.5M-137.8M-590.7K0.1254.55N/AN/A9,0841,113152,59051,942
2021-05-18$23.55$22.0053.9%15.5%33.8%49.9%54.0%0.3%-7.5%7.1M-141.7M-578.4K0.1256.08N/AN/A7,951943154,22552,079
2021-05-19$23.15$22.0056.3%16.1%34.5%55.1%56.3%-0.6%-9.5%7.7M-118.2M-567.2K0.8057.96N/AN/A19,89515,837154,09752,495
2021-05-20$23.40$22.0056.3%16.1%34.6%55.2%56.6%2.5%-7.1%7.4M-122.2M-636.1K0.4656.52N/AN/A3,6201,660163,36466,507
2021-05-21$23.29$22.0056.1%16.1%34.7%54.7%56.4%0.6%-8.2%6.2M-121.1M-627.6K0.1754.28N/AN/A5,295900163,83766,944
2021-05-24$23.39$22.0050.6%14.5%34.6%42.6%49.8%1.0%-8.4%3.3M-83.8M-596.1K1.2358.06N/AN/A2,0512,515123,52158,291
2021-05-25$22.93$23.0047.9%13.7%35.2%36.4%48.9%-0.4%-5.9%2.9M-62.7M-570.7K0.3463.44N/AN/A3,2931,133123,52960,282
2021-05-26$23.16$23.0046.4%13.3%35.3%33.1%47.3%-0.3%-5.4%3.2M-70.4M-570.5K0.5959.25N/AN/A1,502885123,78561,452
2021-05-27$22.96$23.0044.4%12.7%34.3%28.8%43.8%-1.9%-5.6%3.0M-61.0M-563.0K2.9446.70N/AN/A4,65413,702124,16562,001
2021-05-28$23.32$23.0032.6%9.3%33.6%2.5%34.6%-9.3%2.1%2.8M-69.3M-583.8K0.2658.30N/AN/A13,7713,603124,37172,884