BHE Options History — January 2007

In January 2007, BHE traded between $22.53 and $25.17. ATM implied volatility averaged 32.5%. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 13.3% (HV 20d: 19.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2007-01-16: Highest Volume — 123 contracts
  • 2007-01-11: Largest IV spike — 38.8% change
  • 2007-01-08: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.74$22.53$25.17$24.66$22.65
Max Pain$22.75$22.50$25.00$25.00$22.50
ATM IV32.5%24.2%35.8%29.4%33.8%
Expected Move9.6%8.1%10.3%8.4%9.7%
HV 20d19.3%18.9%19.6%19.6%18.9%
Term Structure0.1%-2.3%8.6%5.1%-2.2%
VWIV33.5%29.2%37.1%29.4%31.4%
Skew 25d2.0%-4.6%9.2%-4.3%2.6%
Skew 10d-2.5%-23.5%6.0%-6.4%3.4%
Call IV 25d30.6%24.1%35.7%29.8%26.9%
Put IV 25d32.6%25.5%37.7%25.5%29.5%
Bid-Ask Spread %43.6216.0481.9547.4576.14
Gamma HHI0.430.380.570.380.41
Net GEX14.0K3.5K35.7K10.8K4.8K
Net DEX-186.6K-468.3K-14.9K-202.4K-88.3K
Net VEX-4.4K-4.7K-4.1K-4.1K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.002.000.000.40
Total Volume44.150123676
Total OI1,304.11,0081,6231,1761,260

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$24.66$25.0029.4%8.4%0.0%0.0%29.4%-4.3%5.1%10.8K-202.4K-4.1K0.0047.45N/AN/A670721455
2007-01-04$25.17$25.0028.3%8.1%0.0%0.0%0.0%-2.1%8.6%21.1K-459.8K-4.3K1.4025.11N/AN/A5070788455
2007-01-05$24.89$22.5027.6%10.0%0.0%0.0%0.0%1.5%-1.1%20.3K-468.3K-4.7K0.0066.75N/AN/A250831525
2007-01-08$24.55$22.5031.9%10.3%0.0%0.0%0.0%9.2%-2.1%17.0K-309.5K-4.7K0.0020.97N/AN/A00855525
2007-01-09$24.19$22.5032.2%9.6%0.0%0.0%35.2%5.9%-0.5%14.6K-215.9K-4.6K2.0042.36N/AN/A510855525
2007-01-10$24.10$22.5024.2%9.7%0.0%0.0%37.1%5.7%-0.5%13.8K-90.4K-4.5K0.0075.60N/AN/A100852535
2007-01-11$24.39$22.5033.5%9.6%0.0%0.0%33.9%6.8%0.2%18.3K-188.8K-4.5K0.0477.67N/AN/A813858535
2007-01-12$24.55$22.5034.7%9.9%0.0%0.0%35.0%8.1%-1.9%35.7K-302.4K-4.7K0.0020.58N/AN/A380939538
2007-01-16$24.10$22.5031.7%9.1%0.0%0.0%31.6%5.5%-0.4%24.7K-154.5K-4.4K0.0945.52N/AN/A11310967538
2007-01-17$23.71$22.5035.7%10.2%0.0%0.0%0.0%3.1%-2.3%16.3K-81.4K-4.5K0.0021.03N/AN/A2401,075548
2007-01-18$23.49$22.5035.0%10.0%0.0%0.0%34.7%0.9%-0.5%9.7K-14.9K-4.4K0.0720.40N/AN/A1511,060548
2007-01-19$23.55$22.5035.6%10.2%0.0%0.0%34.1%-1.3%-1.4%9.2K-256.8K-4.3K0.0060.87N/AN/A3901,060423
2007-01-22$23.21$22.5035.2%10.1%0.0%0.0%35.2%-4.6%-1.1%10.1K-141.4K-4.2K0.9729.77N/AN/A2928661347
2007-01-23$23.26$22.5035.8%10.3%0.0%0.0%34.8%-2.0%-0.3%11.6K-159.7K-4.2K0.6062.93N/AN/A159678349
2007-01-24$23.30$22.5034.4%9.9%0.0%0.0%33.5%1.5%0.2%15.5K-248.2K-4.3K0.4728.51N/AN/A6832693358
2007-01-25$22.80$22.5034.5%9.9%19.6%0.0%0.0%-2.3%-1.1%8.7K-87.2K-4.6K0.0081.95N/AN/A200739390
2007-01-26$22.89$22.5032.2%9.2%19.3%0.0%29.2%-3.6%1.6%9.7K-110.4K-4.5K0.6535.60N/AN/A3422759390
2007-01-29$22.53$22.5031.4%9.0%19.2%0.0%31.4%3.7%1.1%3.5K-76.7K-4.4K0.9617.07N/AN/A2322789412
2007-01-30$22.75$22.5033.4%9.6%19.4%0.0%0.0%4.9%-0.5%5.3K-74.9K-4.5K0.4016.04N/AN/A104812434
2007-01-31$22.65$22.5033.8%9.7%18.9%0.0%0.0%2.6%-2.2%4.8K-88.3K-4.5K0.0076.14N/AN/A06822438