BOX Options History — October 2021

In October 2021, BOX traded between $24.55 and $26.46. ATM implied volatility averaged 35.7%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 2.4% (HV 20d: 33.3%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2021-10-01: Highest Volume — 21,178 contracts
  • 2021-10-13: Largest IV drop — 11.5% change
  • 2021-10-04: Highest IV Rank — 38.2%
  • 2021-10-01: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.69$24.55$26.46$24.77$25.85
Max Pain$24.38$24.00$25.00$24.00$25.00
ATM IV35.7%31.5%45.3%43.5%32.6%
Expected Move10.0%9.0%12.5%12.5%9.3%
HV 20d33.3%17.7%46.3%46.1%17.7%
HV 60d35.9%33.9%37.8%37.7%33.9%
IV Rank17.8%9.0%38.2%34.4%11.3%
IV Percentile21.3%6.0%50.4%40.9%11.9%
Term Structure4.9%-3.7%7.5%-3.7%6.5%
VWIV35.7%32.5%44.4%44.4%35.0%
Skew 25d1.7%-3.0%2.9%-3.0%1.4%
Skew 10d3.5%-7.0%8.5%-7.0%1.0%
Call IV 25d35.9%31.6%46.8%46.8%34.2%
Put IV 25d37.5%33.5%43.8%43.8%35.6%
Bid-Ask Spread %37.9114.4461.7057.7726.17
Gamma HHI0.180.140.280.160.18
Net GEX3.3M2.3M4.7M2.8M2.9M
Net DEX-73.5M-110.5M-50.7M-57.6M-63.0M
Net VEX-392.6K-411.5K-373.8K-408.3K-373.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.051.520.051.52
Total Volume6,823.0481,49821,17821,1784,804
Total OI112,728.38194,673131,189114,786101,049

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$24.77$24.0043.5%12.5%46.1%34.4%44.4%-3.0%-3.7%2.8M-57.6M-408.3K0.0557.77N/AN/A20,23594382,32032,466
2021-10-04$24.55$24.0045.3%11.6%45.8%38.2%41.3%2.1%2.4%2.7M-50.7M-389.0K0.3832.52N/AN/A4,3131,62182,02132,515
2021-10-05$24.94$24.0041.6%11.2%46.2%30.3%40.4%2.7%2.8%3.6M-65.9M-404.7K0.2728.26N/AN/A4,0381,10090,34832,818
2021-10-06$25.35$24.0042.6%11.3%46.3%32.5%39.5%1.4%2.4%4.0M-79.4M-411.5K0.1426.00N/AN/A8,0721,13990,85732,947
2021-10-07$25.55$24.0038.4%10.8%38.2%23.6%38.8%1.2%3.8%4.4M-83.8M-407.9K0.1039.45N/AN/A8,66485690,94733,438
2021-10-08$25.57$24.0035.7%10.4%36.1%17.9%36.3%2.3%4.0%4.4M-83.7M-407.4K0.1433.70N/AN/A3,81752792,89033,961
2021-10-11$25.85$24.0038.8%10.5%35.8%24.4%36.6%1.6%3.1%4.7M-93.0M-407.0K0.7052.38N/AN/A4,2272,94194,50234,477
2021-10-12$25.55$24.0038.5%9.9%33.9%23.8%35.5%2.9%5.4%4.3M-84.0M-400.4K0.2731.22N/AN/A2,04354495,29134,691
2021-10-13$25.82$24.0034.1%9.8%33.3%14.5%34.8%0.8%4.9%4.5M-90.3M-394.6K0.0634.02N/AN/A4,13423995,01334,822
2021-10-14$26.10$24.0033.3%9.5%33.0%12.7%33.7%2.1%5.2%4.7M-99.1M-387.5K0.1143.75N/AN/A8,9611,01095,37935,287
2021-10-15$26.46$24.0031.9%9.1%32.8%9.8%33.1%1.5%5.8%2.3M-110.5M-385.2K0.1444.33N/AN/A7,00498295,80435,385
2021-10-18$25.70$24.0032.9%9.4%33.9%12.0%33.5%2.5%5.9%2.5M-61.4M-383.8K0.6830.03N/AN/A1,24884866,91027,763
2021-10-19$25.94$24.0031.8%9.1%32.5%9.7%32.9%1.5%7.2%2.6M-63.7M-385.2K0.4636.32N/AN/A1,02647267,15428,155
2021-10-20$25.87$25.0031.5%9.0%30.6%9.0%33.3%2.1%6.4%2.5M-63.3M-386.0K0.5714.44N/AN/A5,5093,12468,22028,676
2021-10-21$25.86$25.0032.9%9.4%29.6%12.0%34.0%1.9%6.2%2.7M-64.0M-388.2K0.5461.70N/AN/A5,8143,16769,40428,857
2021-10-22$26.08$25.0032.1%9.2%29.0%10.2%32.5%2.0%6.5%2.9M-68.6M-395.6K0.6034.86N/AN/A5,1393,08470,89528,985
2021-10-25$26.06$25.0033.0%9.5%29.0%12.3%33.4%0.7%6.7%2.9M-69.1M-386.1K1.0343.45N/AN/A3,0133,10971,14529,043
2021-10-26$25.84$25.0032.8%9.4%24.2%11.8%33.5%2.3%7.2%2.8M-63.7M-383.8K1.4047.70N/AN/A2,1413,00271,56929,273
2021-10-27$25.81$25.0033.1%9.5%22.4%12.4%34.1%2.2%6.7%2.9M-62.8M-377.4K1.4142.64N/AN/A2,1202,98271,58129,347
2021-10-28$25.93$25.0032.4%9.3%22.4%10.8%33.6%2.8%7.5%2.9M-65.8M-380.5K1.2835.38N/AN/A2,3112,96171,67029,421
2021-10-29$25.85$25.0032.6%9.3%17.7%11.3%35.0%1.4%6.5%2.9M-63.0M-373.8K1.5226.17N/AN/A1,9052,89971,57729,472