BOX Options History — July 2021 In July 2021, BOX traded between $22.82 and $26.95. ATM implied volatility averaged 35.9%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 7.4% (HV 20d: 28.5%). Max pain ranged from $24.00 to $32.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.46.
Notable Days 2021-07-29 : Highest Volume — 15,021 contracts2021-07-12 : Largest IV spike — 22.8% change2021-07-29 : Highest IV Rank — 27.7%2021-07-29 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $24.34 $22.82 $26.95 $26.70 $23.85 Max Pain $25.24 $24.00 $32.00 $32.00 $24.00 ATM IV 35.9% 31.9% 40.9% 34.5% 38.6% Expected Move 10.1% 9.1% 11.7% 9.9% 11.1% HV 20d 28.5% 19.5% 37.8% 20.3% 34.8% HV 60d 28.8% 26.0% 33.5% 33.5% 31.4% IV Rank 17.5% 9.3% 27.7% 14.8% 23.2% IV Percentile 15.1% 6.3% 24.6% 11.1% 23.4% Term Structure 5.5% -1.1% 9.9% -1.1% 7.7% VWIV 37.1% 33.1% 46.0% 35.8% 42.9% Skew 25d -1.2% -5.3% 1.1% -2.7% -4.8% Skew 10d -4.6% -23.7% 3.7% -8.2% -15.8% Call IV 25d 37.9% 33.3% 47.5% 37.7% 45.6% Put IV 25d 36.7% 33.4% 42.2% 35.0% 40.8% Bid-Ask Spread % 62.49 46.78 80.05 66.32 71.37 Gamma HHI 0.18 0.13 0.35 0.19 0.14 Net GEX 1.8M -1.4M 3.7M 3.2M 2.3M Net DEX -20.4M -56.6M 34.6M -46.8M -48.3M Net VEX -433.3K -491.4K -365.7K -468.4K -478.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.05 1.66 0.24 0.30 Total Volume 6,908.476 2,763 15,021 5,517 4,167 Total OI 150,667.762 105,201 187,692 161,779 136,810
Daily Data (21 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 2021-07-01 $26.70 $32.00 34.5% 9.9% 20.3% 14.8% 35.8% -2.7% -1.1% 3.2M -46.8M -468.4K 0.24 66.32 N/A N/A 4,452 1,065 99,032 62,747 2021-07-02 $26.95 $32.00 37.3% 10.7% 19.5% 20.4% 38.1% -3.3% 0.6% 3.3M -54.0M -478.2K 0.17 74.32 N/A N/A 12,669 2,217 100,498 63,104 2021-07-06 $26.39 $25.00 35.7% 10.2% 20.6% 17.2% 36.1% -2.9% 3.6% 3.7M -39.8M -474.5K 0.46 54.95 N/A N/A 2,955 1,357 108,758 65,452 2021-07-07 $25.64 $25.00 39.2% 10.3% 23.5% 24.3% 36.1% -0.8% 4.0% 3.1M -22.1M -455.6K 0.37 55.04 N/A N/A 6,453 2,389 108,457 64,875 2021-07-08 $25.18 $25.00 35.8% 10.2% 24.1% 17.4% 36.2% -0.9% 4.9% 2.6M -11.9M -458.3K 0.55 61.03 N/A N/A 2,333 1,274 111,699 65,873 2021-07-09 $25.10 $25.00 32.4% 9.8% 23.6% 10.4% 34.7% -0.5% 4.3% 2.6M -9.9M -446.5K 0.62 47.69 N/A N/A 2,206 1,360 112,155 66,303 2021-07-12 $24.76 $25.00 39.7% 9.8% 24.1% 25.4% 34.4% 0.4% 4.7% 1.8M 2.9M -427.1K 0.20 46.78 N/A N/A 5,651 1,105 113,439 66,396 2021-07-13 $24.24 $25.00 39.3% 9.6% 25.1% 24.6% 34.3% 0.3% 5.0% 1.4M 11.6M -423.0K 0.18 52.15 N/A N/A 5,928 1,068 116,659 66,944 2021-07-14 $23.88 $25.00 33.2% 9.5% 25.5% 12.1% 33.8% -0.7% 4.0% 425.6K 22.5M -406.7K 0.98 58.68 N/A N/A 1,407 1,384 116,747 67,162 2021-07-15 $23.43 $25.00 34.3% 9.8% 26.2% 14.2% 35.7% -1.0% 5.1% -1.4M 34.6M -389.8K 0.27 56.23 N/A N/A 3,988 1,069 117,002 68,220 2021-07-16 $23.35 $25.00 31.9% 9.1% 26.1% 9.3% 33.1% 0.1% 6.3% -946.0K 30.0M -390.9K 1.55 56.16 N/A N/A 1,592 2,469 118,999 68,693 2021-07-19 $22.82 $24.00 35.9% 10.3% 26.7% 17.6% 37.6% 0.8% 6.3% 1.1M -17.4M -365.7K 0.73 54.31 N/A N/A 5,849 4,298 74,229 30,972 2021-07-20 $23.85 $24.00 33.2% 9.5% 31.8% 12.0% 34.2% 1.1% 7.5% 1.6M -34.2M -398.7K 0.07 64.70 N/A N/A 6,037 436 75,933 32,117 2021-07-21 $23.18 $25.00 33.9% 9.7% 32.8% 13.6% 34.6% 0.0% 7.1% 1.3M -24.0M -381.0K 1.66 57.89 N/A N/A 4,535 7,538 78,213 32,382 2021-07-22 $23.29 $24.00 34.3% 9.8% 32.9% 14.2% 36.1% -1.7% 7.0% 1.4M -25.9M -413.2K 0.13 63.50 N/A N/A 3,982 507 80,829 36,006 2021-07-23 $24.05 $24.00 35.3% 10.1% 35.2% 16.3% 36.8% -0.6% 7.0% 2.0M -41.8M -443.3K 0.27 70.63 N/A N/A 6,820 1,866 83,796 36,437 2021-07-26 $23.24 $24.00 35.4% 10.2% 36.9% 16.7% 41.6% -1.3% 9.3% 1.4M -28.8M -420.5K 0.16 80.05 N/A N/A 9,204 1,501 83,796 36,437 2021-07-27 $23.34 $24.00 38.0% 10.9% 35.6% 22.0% 43.2% -1.6% 7.8% 1.7M -31.4M -438.1K 0.23 70.21 N/A N/A 3,386 777 88,623 37,940 2021-07-28 $23.60 $24.00 34.5% 9.9% 36.0% 14.8% 38.7% -0.4% 9.9% 2.0M -36.6M -450.1K 0.41 72.94 N/A N/A 1,960 803 94,542 39,139 2021-07-29 $24.30 $24.00 40.9% 11.7% 37.8% 27.7% 46.0% -5.3% 4.4% 2.6M -56.6M -491.4K 0.05 77.29 N/A N/A 14,240 781 96,843 39,765 2021-07-30 $23.85 $24.00 38.6% 11.1% 34.8% 23.2% 42.9% -4.8% 7.7% 2.3M -48.3M -478.6K 0.30 71.37 N/A N/A 3,201 966 97,268 39,542
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