BOX Options History — June 2021 In June 2021, BOX traded between $24.05 and $25.88. ATM implied volatility averaged 32.0%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 8.2% (HV 20d: 23.8%). Max pain ranged from $23.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.36.
Notable Days 2021-06-28 : Highest Volume — 30,883 contracts2021-06-28 : Largest IV spike — 33.3% change2021-06-30 : Highest IV Rank — 19.0%2021-06-01 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $25.06 $24.05 $25.88 $24.05 $25.69 Max Pain $25.14 $23.00 $32.00 $23.00 $32.00 ATM IV 32.0% 27.3% 38.6% 38.6% 36.6% Expected Move 9.4% 7.8% 11.1% 11.1% 10.5% HV 20d 23.8% 15.7% 34.3% 34.3% 15.7% HV 60d 36.6% 32.6% 47.2% 47.2% 32.6% IV Rank 6.8% 0.0% 19.0% 15.9% 19.0% IV Percentile 3.8% 0.0% 14.3% 8.3% 14.3% Term Structure 2.6% -4.0% 6.7% -2.4% 0.1% VWIV 33.6% 28.4% 41.9% 39.8% 41.9% Skew 25d 0.4% -6.6% 4.3% -3.9% -4.4% Skew 10d 0.2% -13.4% 12.6% 4.7% -12.2% Call IV 25d 33.6% 28.6% 42.1% 42.1% 41.2% Put IV 25d 34.0% 29.9% 38.2% 38.2% 36.8% Bid-Ask Spread % 62.21 39.15 81.20 65.81 81.20 Gamma HHI 0.27 0.16 0.72 0.23 0.22 Net GEX 5.7M 748.7K 12.3M 4.3M 2.3M Net DEX -119.7M -189.1M -21.8M -105.4M -21.8M Net VEX -440.2K -591.7K -369.7K -591.7K -404.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.36 0.11 0.74 0.26 0.47 Total Volume 8,894.682 777 30,883 15,112 20,515 Total OI 172,464.773 86,565 211,973 205,214 146,474
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 2021-06-01 $24.05 $23.00 38.6% 11.1% 34.3% 15.9% 39.8% -3.9% -2.4% 4.3M -105.4M -591.7K 0.26 65.81 N/A N/A 12,025 3,087 128,573 76,641 2021-06-02 $24.52 $23.00 37.2% 10.7% 34.3% 12.7% 34.1% -6.6% 1.9% 5.7M -133.5M -564.7K 0.55 69.14 N/A N/A 8,772 4,867 129,608 76,161 2021-06-03 $24.69 $24.00 30.7% 9.9% 34.2% 0.0% 36.1% 1.4% 4.1% 7.2M -146.9M -544.0K 0.29 69.45 N/A N/A 4,103 1,191 130,282 78,856 2021-06-04 $25.19 $24.00 29.1% 9.9% 33.5% 0.0% 34.3% -0.3% 4.4% 7.2M -173.3M -544.4K 0.50 72.77 N/A N/A 5,492 2,755 131,563 79,579 2021-06-07 $24.88 $24.00 31.0% 9.8% 34.1% 4.0% 35.4% 0.7% 5.1% 7.9M -161.8M -513.4K 0.17 74.67 N/A N/A 5,066 866 131,552 79,277 2021-06-08 $24.98 $24.00 28.6% 9.9% 27.8% 0.0% 35.1% 0.7% 6.7% 8.7M -170.8M -492.0K 0.16 65.33 N/A N/A 2,546 404 131,181 79,398 2021-06-09 $24.69 $24.00 32.5% 9.3% 28.1% 8.1% 33.0% 0.0% 4.9% 9.4M -151.7M -486.4K 0.65 44.74 N/A N/A 2,025 1,325 130,783 79,667 2021-06-10 $25.04 $24.00 31.5% 9.0% 24.4% 5.9% 32.2% 4.2% 4.5% 9.7M -172.9M -462.8K 0.13 67.95 N/A N/A 5,566 723 130,709 80,333 2021-06-11 $25.03 $24.00 30.3% 8.7% 22.3% 3.5% 30.9% 3.7% 6.4% 9.7M -171.6M -445.9K 0.37 78.83 N/A N/A 1,859 683 129,111 80,507 2021-06-14 $25.12 $24.00 32.0% 9.2% 21.2% 7.1% 31.9% 2.7% 3.9% 9.5M -183.4M -417.4K 0.40 50.39 N/A N/A 4,450 1,795 129,628 80,106 2021-06-15 $25.15 $24.00 31.2% 8.9% 21.0% 5.3% 30.7% 4.3% 6.3% 7.4M -185.3M -403.9K 0.24 53.65 N/A N/A 1,642 392 129,664 81,033 2021-06-16 $25.13 $24.00 31.7% 9.1% 21.1% 6.5% 32.1% 3.2% 5.8% 7.9M -184.7M -401.1K 0.49 66.79 N/A N/A 2,695 1,326 129,940 81,268 2021-06-17 $24.94 $24.00 32.0% 9.2% 20.1% 7.0% 32.1% 1.0% 0.3% 8.7M -175.2M -390.0K 0.19 80.01 N/A N/A 4,288 798 130,445 81,323 2021-06-18 $25.12 $24.00 31.5% 9.0% 20.0% 5.9% 31.6% 1.8% 0.8% 12.3M -189.1M -385.2K 0.11 39.15 N/A N/A 7,162 768 130,457 81,516 2021-06-21 $24.90 $24.00 31.0% 8.9% 20.2% 5.0% 30.9% 1.1% -0.1% 748.7K -49.3M -369.7K 0.27 49.39 N/A N/A 939 250 53,129 33,436 2021-06-22 $25.14 $24.00 30.6% 8.8% 20.4% 4.0% 30.3% 2.6% 0.8% 837.7K -52.2M -372.6K 0.17 42.53 N/A N/A 663 114 53,446 33,548 2021-06-23 $25.18 $24.00 29.7% 8.5% 18.4% 2.3% 30.1% 3.0% 2.4% 926.6K -52.5M -378.4K 0.45 59.50 N/A N/A 3,265 1,473 53,537 33,644 2021-06-24 $25.24 $24.00 28.2% 8.1% 18.3% 0.0% 30.4% 1.7% 4.4% 1.0M -55.4M -374.7K 0.74 51.19 N/A N/A 10,659 7,865 54,418 33,902 2021-06-25 $25.26 $27.00 27.3% 7.8% 17.7% 0.0% 28.4% 1.3% 4.4% 1.1M -38.6M -374.2K 0.46 50.71 N/A N/A 13,112 6,023 62,131 41,317 2021-06-28 $25.88 $32.00 36.3% 10.4% 18.7% 18.5% 39.8% -6.2% -3.5% 1.5M -36.8M -379.4K 0.35 72.49 N/A N/A 22,840 8,043 68,510 47,386 2021-06-29 $25.61 $32.00 36.4% 10.4% 16.8% 18.5% 37.8% -2.3% -4.0% 2.2M -21.8M -388.0K 0.42 62.96 N/A N/A 7,905 3,346 85,188 54,998 2021-06-30 $25.69 $32.00 36.6% 10.5% 15.7% 19.0% 41.9% -4.4% 0.1% 2.3M -21.8M -404.6K 0.47 81.20 N/A N/A 13,975 6,540 89,635 56,839
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