BOX Options History — September 2022

In September 2022, BOX traded between $24.28 and $27.81. ATM implied volatility averaged 37.7%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 8.5% (HV 20d: 29.2%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2022-09-16: Highest Volume — 3,979 contracts
  • 2022-09-12: Largest IV spike — 20.5% change
  • 2022-09-26: Highest IV Rank — 30.2%
  • 2022-09-26: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.80$24.28$27.81$25.62$24.41
Max Pain$28.19$28.00$29.00$28.00$28.00
ATM IV37.7%31.5%42.4%35.9%41.3%
Expected Move10.6%9.3%12.2%10.3%11.8%
HV 20d29.2%26.4%31.8%26.8%29.5%
HV 60d34.1%30.1%38.9%38.9%30.5%
IV Rank18.5%2.8%30.2%14.5%27.5%
IV Percentile42.0%3.2%69.0%31.0%62.7%
Term Structure0.8%-1.3%3.8%-0.1%-0.1%
VWIV35.0%31.5%41.0%33.0%35.5%
Skew 25d5.7%4.2%6.9%4.6%4.2%
Skew 10d10.4%4.0%20.8%8.4%7.4%
Call IV 25d34.5%30.5%40.1%34.5%38.1%
Put IV 25d40.3%35.7%46.2%39.1%42.3%
Bid-Ask Spread %52.1925.9767.3647.3660.54
Gamma HHI0.180.150.240.150.17
Net GEX93.1K-89.8K611.0K-70.1K20.2K
Net DEX620.9K-6.9M5.3M5.2M2.8M
Net VEX-112.1K-127.0K-96.4K-113.2K-98.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.103.992.052.86
Total Volume1,447.5712003,9794422,369
Total OI35,261.14328,24342,22539,74330,028

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$25.62$28.0035.9%10.3%26.8%14.5%33.0%4.6%-0.1%-70.1K5.2M-113.2K2.0547.36N/AN/A14529725,79213,951
2022-09-02$25.62$28.0034.5%9.9%26.9%11.1%34.7%5.7%1.4%-80.5K5.3M-111.6K0.1334.87N/AN/A7269625,85813,872
2022-09-06$25.71$29.0037.5%10.5%26.4%18.4%36.5%5.9%2.0%-89.8K4.9M-110.1K1.1359.25N/AN/A9531,07425,88613,911
2022-09-07$26.07$29.0036.6%10.2%27.5%15.7%33.5%6.6%2.0%-45.5K2.7M-117.0K1.0453.04N/AN/A9621,00126,06313,853
2022-09-08$26.54$29.0033.5%9.7%27.2%7.9%33.4%5.8%3.0%-34.5K840.7K-118.5K0.7148.48N/AN/A37926826,21913,964
2022-09-09$27.21$29.0031.5%9.4%29.4%2.8%31.6%5.4%3.4%1.2K-3.0M-122.2K0.9655.80N/AN/A42240526,38214,051
2022-09-12$27.81$28.0037.9%9.3%30.8%19.0%31.5%5.0%3.8%245.4K-6.9M-125.0K0.1045.94N/AN/A1,51015526,48313,653
2022-09-13$26.97$28.0042.1%9.9%31.5%29.4%32.2%6.3%2.5%170.9K-2.8M-120.3K0.5957.07N/AN/A2,2361,31227,36013,750
2022-09-14$27.17$28.0034.1%9.8%31.8%9.4%33.7%4.4%3.4%152.4K-2.2M-127.0K3.9948.18N/AN/A13152328,03914,186
2022-09-15$26.85$28.0034.8%10.0%31.6%11.2%33.6%5.8%0.2%225.0K-1.7M-122.8K0.8547.00N/AN/A12310528,14113,966
2022-09-16$26.03$28.0036.5%10.5%31.2%15.4%35.7%5.9%-0.0%611.0K733.5K-117.3K1.1667.36N/AN/A1,8402,13928,21313,455
2022-09-19$26.19$28.0036.7%10.5%30.8%15.8%35.4%6.7%-0.7%167.1K-2.4M-111.8K0.3254.95N/AN/A88828418,2639,980
2022-09-20$25.74$28.0037.3%10.7%30.4%17.4%36.8%6.1%-1.2%159.1K-1.1M-113.3K0.4155.18N/AN/A1586418,9919,998
2022-09-21$25.48$28.0038.2%10.9%30.2%19.5%36.3%4.7%-0.3%140.6K-433.7K-111.4K0.3451.16N/AN/A1495119,05610,010
2022-09-22$25.13$28.0038.0%10.9%30.3%19.2%37.8%5.0%-0.3%107.0K828.4K-104.5K3.6856.34N/AN/A5018419,1519,879
2022-09-23$24.43$28.0042.3%12.1%28.9%29.9%41.0%6.9%-1.1%67.2K2.3M-101.0K2.4157.36N/AN/A6415419,1559,888
2022-09-26$24.28$28.0042.4%12.2%27.5%30.2%38.2%6.1%-1.3%46.3K3.0M-96.4K2.6356.65N/AN/A6261,64919,1559,919
2022-09-27$24.64$28.0041.0%11.8%27.4%26.7%34.9%6.3%-0.3%30.8K2.5M-101.8K2.5155.67N/AN/A6301,57919,16510,701
2022-09-28$25.26$28.0039.9%11.4%28.6%23.8%37.8%6.3%-0.6%84.8K355.9K-109.2K2.7825.97N/AN/A6361,77119,22510,892
2022-09-29$24.69$28.0040.3%11.5%29.4%24.8%31.6%6.8%0.1%45.5K2.2M-101.8K2.6857.93N/AN/A6231,66819,27810,702
2022-09-30$24.41$28.0041.3%11.8%29.5%27.5%35.5%4.2%-0.1%20.2K2.8M-98.9K2.8660.54N/AN/A6141,75519,32510,703