BOX Options History — December 2021

In December 2021, BOX traded between $25.64 and $27.63. ATM implied volatility averaged 36.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 8.1% (HV 20d: 44.4%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.27.

Notable Days

  • 2021-12-01: Highest Volume — 21,774 contracts
  • 2021-12-13: Largest IV spike — 29.3% change
  • 2021-12-01: Highest IV Rank — 34.9%
  • 2021-12-01: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.28$25.64$27.63$26.01$26.36
Max Pain$22.23$22.00$24.00$23.00$22.00
ATM IV36.3%30.9%43.7%43.7%30.9%
Expected Move10.4%8.9%12.5%12.5%8.9%
HV 20d44.4%26.3%48.0%45.3%26.7%
HV 60d33.6%31.2%38.0%38.0%31.4%
IV Rank19.2%7.7%34.9%34.9%7.7%
IV Percentile31.8%3.6%54.4%54.4%4.0%
Term Structure2.7%-3.4%6.7%-3.4%4.3%
VWIV37.0%31.5%45.1%45.1%31.5%
Skew 25d2.0%-0.6%4.7%-0.6%2.2%
Skew 10d3.0%-3.1%10.7%-1.2%1.3%
Call IV 25d36.8%31.5%45.7%45.7%31.5%
Put IV 25d38.8%33.7%46.1%45.1%33.7%
Bid-Ask Spread %37.7511.4859.6945.1011.48
Gamma HHI0.220.150.610.150.18
Net GEX3.2M1.5M6.7M2.8M1.8M
Net DEX-58.3M-74.3M-40.1M-63.5M-44.6M
Net VEX-282.4K-316.4K-248.7K-271.8K-294.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.124.440.203.11
Total Volume8,134.6823,47221,77421,7745,693
Total OI91,702.36470,794114,99494,29577,823

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$26.01$23.0043.7%12.5%45.3%34.9%45.1%-0.6%-3.4%2.8M-63.5M-271.8K0.2045.10N/AN/A18,1173,65766,25728,038
2021-12-02$26.49$24.0040.1%11.5%45.4%27.1%40.7%0.7%-1.7%3.6M-74.3M-288.7K0.2936.79N/AN/A5,4621,56370,18928,238
2021-12-03$25.64$24.0042.8%12.3%46.6%32.9%44.7%3.5%0.3%2.9M-57.7M-277.1K0.5943.49N/AN/A2,7341,62670,68128,345
2021-12-06$25.88$22.0038.8%11.8%46.8%24.4%40.9%4.7%2.0%3.2M-59.1M-264.5K0.2059.49N/AN/A5,3751,10170,51628,472
2021-12-07$26.10$22.0036.9%10.9%46.7%20.4%37.4%3.7%4.3%4.0M-65.5M-258.9K0.1259.69N/AN/A9,2881,11371,98128,523
2021-12-08$26.32$22.0035.0%10.3%46.9%16.4%36.6%2.4%5.7%4.6M-73.1M-277.7K0.4148.87N/AN/A3,0231,24074,73528,575
2021-12-09$25.99$22.0035.0%10.5%46.1%16.3%37.9%1.8%5.6%4.4M-66.2M-270.0K0.2434.93N/AN/A6,0131,43674,74828,817
2021-12-10$25.68$22.0032.0%10.0%46.3%10.1%35.0%1.6%6.7%4.0M-56.5M-256.9K0.6951.78N/AN/A2,3471,62575,71728,871
2021-12-13$26.00$22.0041.4%10.5%46.5%29.9%36.9%1.8%5.5%4.5M-63.0M-252.2K0.7126.66N/AN/A2,0311,44175,89629,131
2021-12-14$25.65$22.0040.9%10.6%46.8%28.9%37.5%2.2%5.8%3.9M-55.4M-248.9K0.2148.41N/AN/A8,2511,70875,90229,069
2021-12-15$26.22$22.0036.4%10.4%47.4%19.4%36.3%3.7%5.5%5.5M-70.5M-266.3K0.3855.28N/AN/A4,3251,65078,36029,221
2021-12-16$25.71$22.0036.9%10.6%48.0%20.4%37.2%2.4%-0.0%4.0M-54.8M-248.7K0.8945.65N/AN/A7,4646,64578,26629,353
2021-12-17$26.03$22.0036.5%10.5%47.6%19.7%37.6%0.7%1.4%6.7M-61.8M-281.3K0.6244.82N/AN/A10,5156,51780,79334,201
2021-12-20$26.03$22.0038.2%11.0%46.3%23.2%38.5%1.5%0.4%1.5M-43.2M-301.8K1.7530.25N/AN/A3,5476,21450,34420,450
2021-12-21$25.90$22.0034.8%10.0%45.5%15.9%36.0%1.7%2.1%1.5M-40.1M-302.8K2.5925.25N/AN/A1,4133,65651,07221,755
2021-12-22$26.13$22.0034.7%10.0%45.0%15.8%35.0%3.9%2.3%1.6M-42.0M-301.9K4.4429.61N/AN/A1,1795,23951,22321,891
2021-12-23$26.85$22.0030.9%8.9%45.1%7.7%32.2%0.7%4.3%1.8M-50.7M-311.3K3.1622.99N/AN/A1,6115,09551,33823,395
2021-12-27$27.63$22.0034.1%9.8%45.4%14.4%35.0%1.0%1.9%2.1M-64.6M-308.4K0.6339.74N/AN/A5,9153,69751,84522,538
2021-12-28$27.50$22.0034.3%9.8%45.6%14.9%33.9%2.7%1.1%2.2M-63.7M-316.4K2.6422.36N/AN/A1,5724,15053,61222,707
2021-12-29$27.03$22.0032.3%9.3%44.4%10.7%33.1%1.6%2.4%2.1M-56.8M-308.0K1.4632.28N/AN/A3,1624,60353,57423,519
2021-12-30$26.91$22.0032.6%9.3%26.3%11.3%34.0%-0.3%3.2%2.0M-54.8M-304.7K2.6515.59N/AN/A1,6284,32253,56623,905
2021-12-31$26.36$22.0030.9%8.9%26.7%7.7%31.5%2.2%4.3%1.8M-44.6M-294.2K3.1111.48N/AN/A1,3844,30953,84023,983