BOX Options History — September 2021 In September 2021, BOX traded between $22.47 and $26.05. ATM implied volatility averaged 35.1%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 3.7% (HV 20d: 38.8%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.42.
Notable Days 2021-09-17 : Highest Volume — 21,232 contracts2021-09-07 : Largest IV spike — 15.5% change2021-09-13 : Highest IV Rank — 26.3%2021-09-13 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $24.16 $22.47 $26.05 $26.03 $23.76 Max Pain $24.38 $24.00 $25.00 $24.00 $24.00 ATM IV 35.1% 30.0% 39.6% 32.7% 35.9% Expected Move 10.1% 9.4% 11.4% 9.4% 10.3% HV 20d 38.8% 32.8% 43.5% 32.8% 43.3% HV 60d 34.6% 30.3% 37.3% 30.3% 36.9% IV Rank 16.6% 5.9% 26.3% 11.6% 18.3% IV Percentile 19.3% 2.0% 32.1% 9.9% 26.6% Term Structure 2.3% -0.9% 4.5% 3.4% 0.7% VWIV 38.0% 33.6% 47.0% 34.7% 35.4% Skew 25d -0.2% -3.6% 3.6% -3.6% 3.6% Skew 10d -1.9% -21.7% 14.6% -1.0% 2.8% Call IV 25d 38.1% 33.7% 44.7% 38.0% 35.6% Put IV 25d 37.9% 34.3% 42.3% 34.3% 39.2% Bid-Ask Spread % 40.80 14.66 63.89 43.61 35.55 Gamma HHI 0.23 0.16 0.66 0.24 0.16 Net GEX 2.1M -4.7M 6.8M 6.1M 2.0M Net DEX -37.0M -104.7M 13.4M -104.7M -30.4M Net VEX -347.5K -422.6K -268.3K -422.6K -372.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.04 1.50 0.04 0.44 Total Volume 6,460.571 1,713 21,232 7,824 2,237 Total OI 135,750.238 89,641 173,416 152,258 113,588
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 2021-09-01 $26.03 $24.00 32.7% 9.4% 32.8% 11.6% 34.7% -3.6% 3.4% 6.1M -104.7M -422.6K 0.04 43.61 N/A N/A 7,494 330 109,039 43,219 2021-09-02 $25.70 $25.00 31.8% 9.8% 33.2% 9.7% 35.6% -0.8% 4.1% 6.1M -92.6M -406.5K 0.05 37.73 N/A N/A 1,635 78 110,397 43,249 2021-09-03 $26.05 $25.00 30.0% 9.6% 33.4% 5.9% 33.6% 0.6% 4.2% 6.8M -102.0M -406.1K 0.18 35.85 N/A N/A 2,232 391 110,900 43,340 2021-09-07 $25.79 $25.00 34.7% 9.7% 33.5% 15.8% 34.3% -1.6% 4.2% 6.4M -93.1M -373.6K 0.22 48.06 N/A N/A 1,637 358 110,086 43,387 2021-09-08 $25.38 $25.00 34.4% 9.9% 34.0% 15.2% 41.0% -2.8% 4.5% 5.6M -76.5M -357.9K 0.22 36.85 N/A N/A 2,242 501 110,000 43,433 2021-09-09 $23.66 $25.00 34.9% 10.0% 42.2% 16.2% 40.6% -3.2% 3.4% 1.1M -16.9M -298.3K 0.87 56.89 N/A N/A 4,793 4,190 110,498 43,561 2021-09-10 $22.97 $25.00 35.2% 10.1% 39.8% 16.8% 40.4% -0.8% 4.1% -244.0K 4.4M -268.3K 0.37 29.81 N/A N/A 5,613 2,081 111,468 43,844 2021-09-13 $23.41 $25.00 39.6% 11.4% 40.6% 26.3% 43.0% -2.9% 1.6% 844.1K -9.9M -297.7K 0.34 63.89 N/A N/A 15,677 5,397 112,321 46,106 2021-09-14 $22.70 $25.00 37.3% 10.7% 39.7% 21.2% 47.0% -2.9% 2.3% -627.0K 13.4M -269.4K 0.37 57.64 N/A N/A 7,592 2,773 114,329 47,423 2021-09-15 $23.24 $24.00 36.2% 10.4% 39.3% 19.0% 37.6% -1.2% 4.2% 466.5K -4.5M -289.1K 0.62 53.81 N/A N/A 2,424 1,495 118,589 48,612 2021-09-16 $23.06 $24.00 34.7% 9.9% 37.8% 15.8% 37.7% -0.1% 1.3% -680.7K 3.7M -289.9K 1.50 35.96 N/A N/A 3,049 4,560 121,036 50,622 2021-09-17 $22.93 $24.00 35.4% 10.2% 37.4% 17.3% 43.3% -1.8% 0.5% -4.7M 12.7M -282.1K 1.36 49.64 N/A N/A 8,987 12,245 122,566 50,850 2021-09-20 $22.47 $24.00 39.1% 11.2% 37.6% 25.0% 42.9% 1.9% -0.9% 693.6K -5.0M -300.1K 0.17 28.63 N/A N/A 3,333 567 62,856 26,785 2021-09-21 $23.21 $24.00 33.7% 9.7% 39.2% 13.6% 33.7% 2.5% 2.3% 797.9K -11.1M -335.8K 0.06 43.43 N/A N/A 7,119 395 65,449 30,665 2021-09-22 $24.05 $24.00 33.2% 9.5% 40.2% 12.6% 34.1% 2.7% 3.1% 1.3M -25.7M -365.3K 0.47 51.80 N/A N/A 4,256 2,016 67,444 31,026 2021-09-23 $24.66 $24.00 34.4% 9.9% 41.5% 15.2% 35.0% 2.6% 0.9% 2.2M -45.1M -393.4K 0.08 31.69 N/A N/A 4,352 351 73,517 31,169 2021-09-24 $25.14 $24.00 33.8% 9.7% 41.4% 13.8% 35.6% 0.1% 1.7% 2.7M -58.4M -406.1K 0.07 23.34 N/A N/A 5,009 336 75,629 31,183 2021-09-27 $25.24 $24.00 34.4% 9.9% 40.6% 15.2% 35.3% 2.0% 2.1% 2.9M -63.7M -401.4K 0.20 32.04 N/A N/A 2,686 535 77,407 31,277 2021-09-28 $24.18 $24.00 37.8% 10.8% 43.2% 22.4% 38.3% -0.2% 0.0% 2.4M -41.3M -390.8K 0.78 45.89 N/A N/A 1,233 959 80,327 31,399 2021-09-29 $23.66 $24.00 37.1% 10.6% 43.5% 20.9% 38.5% 0.8% 0.6% 2.0M -30.2M -371.3K 0.42 14.66 N/A N/A 1,774 740 80,549 31,610 2021-09-30 $23.76 $24.00 35.9% 10.3% 43.3% 18.3% 35.4% 3.6% 0.7% 2.0M -30.4M -372.7K 0.44 35.55 N/A N/A 1,549 688 81,375 32,213
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