BOX Options History — September 2023

In September 2023, BOX traded between $24.09 and $26.63. ATM implied volatility averaged 22.8%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 19.8% (HV 20d: 42.6%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2023-09-22: Highest Volume — 7,756 contracts
  • 2023-09-11: Largest IV spike — 23.4% change
  • 2023-09-26: Highest IV Rank — 17.0%
  • 2023-09-26: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.10$24.09$26.63$26.63$24.20
Max Pain$26.30$25.00$28.00$28.00$25.00
ATM IV22.8%19.8%27.3%19.8%24.9%
Expected Move6.5%5.7%7.8%5.7%7.1%
HV 20d42.6%17.3%46.6%46.6%17.3%
HV 60d31.0%30.4%31.3%31.2%31.1%
IV Rank6.8%0.0%17.0%0.0%11.6%
IV Percentile8.7%0.0%25.8%0.0%19.4%
Term Structure0.1%-1.1%1.7%1.5%-0.7%
VWIV22.1%16.0%26.3%16.0%25.0%
Skew 25d2.2%0.2%3.4%0.5%0.2%
Skew 10d4.7%-5.0%10.9%4.9%-2.2%
Call IV 25d22.1%20.0%25.7%20.7%25.0%
Put IV 25d24.2%21.2%29.0%21.2%25.2%
Bid-Ask Spread %23.985.6965.925.6911.36
Gamma HHI0.360.150.920.190.20
Net GEX-487.8K-9.7M873.3K-517.2K736.4K
Net DEX2.5M-5.2M11.5M8.6M-2.7M
Net VEX-86.0K-112.6K-71.9K-84.0K-105.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.011.361.360.19
Total Volume1,897.952067,7562,499206
Total OI31,344.920,00536,58631,52636,586

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$26.63$28.0019.8%5.7%46.6%0.0%16.0%0.5%1.5%-517.2K8.6M-84.0K1.365.69N/AN/A1,0611,43818,76612,760
2023-09-05$26.13$28.0022.1%6.6%45.7%5.2%22.2%2.6%-0.5%-531.8K11.5M-75.3K0.7125.48N/AN/A1,16382519,46512,777
2023-09-06$26.01$28.0021.4%6.2%45.6%3.6%20.5%2.9%0.5%-486.5K8.7M-77.2K0.6914.25N/AN/A1,8691,28319,90711,729
2023-09-07$26.01$28.0021.9%6.3%45.7%4.8%22.5%2.5%0.1%-318.9K6.1M-79.9K0.4138.14N/AN/A59324221,03711,142
2023-09-08$25.91$28.0019.9%6.1%45.6%0.2%20.6%2.6%-0.1%-316.5K6.2M-78.7K0.5735.53N/AN/A42824621,48311,135
2023-09-11$25.54$28.0024.6%6.0%45.5%10.8%21.4%2.5%0.2%-725.9K8.9M-76.7K1.1114.61N/AN/A1,0021,10821,71911,643
2023-09-12$25.49$27.0022.9%6.1%44.8%7.1%20.7%2.5%0.5%-789.1K7.9M-74.3K0.1611.26N/AN/A73112022,21711,043
2023-09-13$25.23$27.0020.9%6.0%44.7%2.6%20.8%3.0%0.1%-1.4M8.4M-71.9K0.6711.94N/AN/A63642322,78310,753
2023-09-14$25.23$26.0020.8%6.0%44.7%2.2%19.8%2.5%0.3%-1.8M6.7M-74.9K0.5611.80N/AN/A62635123,32510,561
2023-09-15$25.02$26.0020.4%5.8%44.7%1.3%20.5%1.6%0.9%-9.7M8.1M-75.0K1.2111.96N/AN/A49860423,86010,669
2023-09-18$24.98$26.0021.3%6.1%44.4%3.5%21.7%0.8%0.2%335.2K-930.4K-75.0K0.0512.51N/AN/A3,58118015,2024,803
2023-09-19$24.48$26.0022.6%6.5%44.4%6.4%21.3%3.3%-0.9%430.0K-201.4K-74.7K0.277.65N/AN/A80521818,4224,883
2023-09-20$25.02$25.0021.6%6.2%45.8%4.0%21.6%2.4%1.7%616.2K-3.8M-88.6K0.0145.33N/AN/A3,8105119,1044,896
2023-09-21$24.59$25.0022.7%6.5%45.6%6.6%23.5%1.9%0.2%775.8K-4.5M-93.3K0.3012.10N/AN/A79623522,5974,848
2023-09-22$24.09$25.0024.1%6.9%45.6%9.9%24.0%2.1%0.3%655.5K-2.3M-87.8K0.9965.92N/AN/A3,8913,86523,0215,075
2023-09-25$24.13$25.0025.0%7.2%45.1%11.8%24.8%2.6%-0.2%624.6K-1.7M-96.8K0.3365.12N/AN/A98732825,1977,321
2023-09-26$24.45$25.0027.3%7.8%45.8%17.0%25.7%3.4%-1.1%831.9K-5.2M-108.0K0.1761.69N/AN/A2,43142526,0367,574
2023-09-27$24.39$25.0026.2%7.5%45.5%14.4%26.3%1.8%-1.0%873.3K-5.1M-112.6K0.588.49N/AN/A43425328,2017,874
2023-09-28$24.38$25.0025.1%7.2%18.8%12.1%23.8%1.9%-0.3%857.9K-4.6M-109.9K0.708.79N/AN/A1278928,4488,036
2023-09-29$24.20$25.0024.9%7.1%17.3%11.6%25.0%0.2%-0.7%736.4K-2.7M-105.4K0.1911.36N/AN/A1733328,4828,104