BHE Options History — February 2007

In February 2007, BHE traded between $21.49 and $23.49. ATM implied volatility averaged 30.2%. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.9% (HV 20d: 27.3%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.33.

Notable Days

  • 2007-02-06: Highest Volume — 688 contracts
  • 2007-02-07: Largest IV drop — 22.8% change
  • 2007-02-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.30$21.49$23.49$22.83$21.49
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV30.2%24.3%39.7%32.1%24.3%
Expected Move8.5%7.0%9.6%9.2%7.0%
HV 20d27.3%17.0%30.6%18.9%27.7%
Term Structure1.7%-1.3%5.9%-0.8%4.2%
VWIV29.7%19.8%36.5%32.2%19.8%
Skew 25d1.2%-5.3%6.6%6.3%3.9%
Skew 10d0.3%-9.4%10.9%7.8%-7.1%
Call IV 25d30.6%23.9%33.9%24.0%28.9%
Put IV 25d31.9%28.0%34.9%30.3%32.7%
Bid-Ask Spread %60.2833.1084.4344.3050.35
Gamma HHI0.530.370.720.410.37
Net GEX-25.3K-91.4K14.8K5.4K7.4K
Net DEX225.3K-377.6K718.8K-119.4K444.5K
Net VEX-7.1K-8.1K-4.4K-4.5K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.085.385.001.13
Total Volume181.8951268812659
Total OI2,240.5261,2662,8051,2662,372

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$22.83$22.5032.1%9.2%18.9%0.0%32.2%6.3%-0.8%5.4K-119.4K-4.5K5.0044.30N/AN/A210822444
2007-02-02$22.97$22.5033.0%9.0%17.0%0.0%0.0%2.0%-0.5%6.6K-140.2K-4.6K2.2938.04N/AN/A716823450
2007-02-05$22.25$22.5038.1%9.4%19.5%0.0%32.3%-1.0%-0.4%-369-3.3K-4.4K1.1974.82N/AN/A270320829466
2007-02-06$23.49$22.5039.7%9.6%28.6%0.0%33.1%4.6%-0.4%1.3K-377.6K-5.5K0.9472.06N/AN/A3553331,074786
2007-02-07$23.25$22.5030.6%9.0%28.3%0.0%31.7%-5.3%-0.1%-52.3K-23.3K-6.6K0.4576.18N/AN/A3001351,1031,088
2007-02-08$22.47$22.5032.1%9.2%30.6%0.0%30.4%0.1%-0.9%-50.7K231.6K-8.0K0.8871.90N/AN/A26231,3721,199
2007-02-09$22.38$22.5031.2%8.9%30.0%0.0%31.3%1.2%-0.1%-69.4K477.4K-8.0K0.1333.90N/AN/A6891,3921,216
2007-02-12$22.15$22.5032.8%9.4%29.8%0.0%32.5%-1.3%-1.3%-65.5K470.1K-7.9K0.0840.71N/AN/A190151,4461,206
2007-02-13$22.06$22.5030.8%8.8%29.4%0.0%0.0%-2.6%0.2%-68.5K625.2K-8.0K5.3833.10N/AN/A13701,5461,216
2007-02-14$22.15$22.5028.5%8.2%29.2%0.0%0.0%-0.9%3.4%-91.2K476.9K-8.1K0.4371.22N/AN/A46201,5491,216
2007-02-15$22.06$22.5028.7%8.2%29.1%0.0%28.6%5.8%2.9%-91.4K718.8K-7.8K0.0884.43N/AN/A131101,5341,227
2007-02-16$22.05$22.5027.7%7.9%29.0%0.0%27.7%6.6%4.5%-85.4K692.8K-7.9K0.4580.59N/AN/A33151,5681,237
2007-02-20$22.24$22.5026.9%7.7%29.0%0.0%26.9%0.4%5.4%12.2K44.0K-7.6K0.7273.67N/AN/A101731,302847
2007-02-21$22.15$22.5025.7%7.4%29.0%0.0%36.5%0.7%5.9%13.5K93.7K-7.7K0.8043.06N/AN/A15121,342865
2007-02-22$22.11$22.5026.1%7.5%28.9%0.0%26.1%0.7%2.2%14.8K-2.5K-7.6K3.0077.72N/AN/A6181,357857
2007-02-23$22.10$22.5026.5%7.6%28.0%0.0%26.4%1.3%1.8%13.0K92.8K-7.6K0.0074.96N/AN/A0361,357873
2007-02-26$21.96$22.5028.3%8.1%28.0%0.0%0.0%-0.3%4.1%10.8K186.2K-7.7K0.7044.59N/AN/A40281,357909
2007-02-27$21.60$22.5030.3%8.7%28.0%0.0%30.5%1.6%2.5%8.2K393.3K-7.5K0.2459.70N/AN/A41101,388935
2007-02-28$21.49$22.5024.3%7.0%27.7%0.0%19.8%3.9%4.2%7.4K444.5K-7.5K1.1350.35N/AN/A3103491,429943