BOX Options History — December 2023

In December 2023, BOX traded between $23.88 and $26.64. ATM implied volatility averaged 30.0%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 10.0% (HV 20d: 40.0%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.26.

Notable Days

  • 2023-12-05: Highest Volume — 16,874 contracts
  • 2023-12-06: Largest IV drop — 63.9% change
  • 2023-12-05: Highest IV Rank — 100.0%
  • 2023-12-01: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.43$23.88$26.64$26.49$25.66
Max Pain$25.05$25.00$26.00$25.00$25.00
ATM IV30.0%21.9%70.9%49.5%22.7%
Expected Move7.5%6.3%14.2%14.2%6.5%
HV 20d40.0%16.9%45.3%18.2%45.3%
HV 60d29.2%20.4%31.2%20.6%30.7%
IV Rank21.0%4.1%100.0%67.4%5.7%
IV Percentile32.6%4.4%100.0%98.0%9.1%
Term Structure1.4%-17.0%6.7%-17.0%1.4%
VWIV26.5%22.0%48.2%48.2%23.3%
Skew 25d1.2%-0.8%3.1%3.1%0.4%
Skew 10d2.6%-5.1%12.0%6.1%-0.5%
Call IV 25d26.2%22.0%47.3%47.3%22.5%
Put IV 25d27.5%23.0%50.4%50.4%23.0%
Bid-Ask Spread %40.208.9470.7240.2538.98
Gamma HHI0.180.110.280.140.19
Net GEX691.9K-420.4K1.1M573.3K971.0K
Net DEX-10.0M-18.5M11.9M-11.1M-12.3M
Net VEX-108.9K-127.1K-81.9K-87.7K-112.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.030.940.110.31
Total Volume3,498.518116,8741,866181
Total OI39,992.3527,52252,32627,52235,542

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$26.49$25.0049.5%14.2%18.2%67.4%48.2%3.1%-17.0%573.3K-11.1M-87.7K0.1140.25N/AN/A1,68418218,9528,570
2023-12-04$26.45$25.0055.2%9.7%18.1%80.4%34.0%2.0%0.2%704.4K-12.8M-99.1K0.2062.76N/AN/A2,95160021,8158,685
2023-12-05$26.64$25.0070.9%10.9%16.9%100.0%38.2%1.0%-1.6%766.7K-15.7M-106.8K0.4159.60N/AN/A11,9774,89723,4938,805
2023-12-06$23.88$26.0025.6%7.1%42.4%11.4%24.6%0.9%5.7%-420.4K11.9M-81.9K0.4656.37N/AN/A7,2803,34332,72413,071
2023-12-07$24.13$25.0024.9%6.7%42.7%10.1%23.5%2.5%6.2%62.5K2.5M-88.3K0.0842.99N/AN/A8,14169136,39310,911
2023-12-08$24.02$25.0024.3%6.7%42.6%8.9%24.0%2.1%6.7%159.7K660.8K-106.7K0.1513.30N/AN/A2,92143939,96810,911
2023-12-11$24.36$25.0032.7%6.9%42.6%25.2%24.1%1.5%5.6%371.4K-4.3M-104.6K0.3662.18N/AN/A1,19943340,14410,334
2023-12-12$24.46$25.0031.9%6.7%42.7%23.7%22.8%1.9%5.0%271.7K-4.9M-104.6K0.0765.36N/AN/A6,29747139,91310,436
2023-12-13$24.84$25.0021.9%6.3%42.0%4.1%22.0%1.9%5.6%779.0K-9.6M-111.4K0.0962.88N/AN/A9608941,65610,670
2023-12-14$24.63$25.0022.9%6.6%42.0%6.1%23.9%3.0%0.2%473.2K-6.3M-96.0K0.0358.96N/AN/A2,5158137,73810,613
2023-12-15$25.71$25.0025.6%7.3%44.9%11.3%25.8%-0.3%-0.1%760.4K-18.5M-113.0K0.2570.72N/AN/A5,6421,43238,25910,576
2023-12-18$25.95$25.0024.2%6.9%45.0%8.7%24.2%1.9%1.4%1.1M-15.7M-123.9K0.0610.15N/AN/A1,92711028,0075,910
2023-12-19$26.19$25.0024.3%7.0%45.0%8.8%24.2%0.1%1.2%1.1M-17.4M-126.6K0.1311.23N/AN/A99512528,5695,943
2023-12-20$26.02$25.0024.2%6.9%45.0%8.5%24.5%0.9%1.4%1.1M-16.5M-127.1K0.1918.24N/AN/A5329929,0136,050
2023-12-21$25.81$25.0024.3%7.0%45.1%8.8%23.9%1.6%0.6%1.0M-14.3M-121.2K0.9453.47N/AN/A10710128,9356,133
2023-12-22$25.80$25.0023.9%6.8%45.1%8.0%25.2%-0.8%1.0%1.0M-14.1M-120.7K0.348.94N/AN/A37012528,9306,179
2023-12-26$25.89$25.0023.9%6.8%45.1%8.0%25.4%-0.2%1.7%1.0M-14.0M-116.3K0.3534.47N/AN/A2318228,9986,266
2023-12-27$25.66$25.0023.7%6.8%45.1%7.6%23.7%-0.1%1.4%960.7K-12.4M-113.4K0.3619.77N/AN/A32111628,9826,347
2023-12-28$25.95$25.0023.5%6.7%45.1%7.3%24.1%1.1%0.8%1.1M-14.4M-116.7K0.3113.29N/AN/A2477629,0826,324
2023-12-29$25.66$25.0022.7%6.5%45.3%5.7%23.3%0.4%1.4%971.0K-12.3M-112.1K0.3138.98N/AN/A1384329,1506,392