BHE Options History — March 2007

In March 2007, BHE traded between $20.16 and $21.07. ATM implied volatility averaged 31.7%. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 12.5% (HV 20d: 19.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 8.46.

Notable Days

  • 2007-03-27: Highest Volume — 684 contracts
  • 2007-03-12: Largest IV spike — 25.3% change
  • 2007-03-01: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.46$20.16$21.07$21.07$20.66
Max Pain$21.93$20.00$22.50$22.50$20.00
ATM IV31.7%22.7%42.8%36.3%25.8%
Expected Move8.9%6.5%10.4%10.4%7.4%
HV 20d19.2%10.7%29.8%28.3%10.7%
HV 60d22.6%21.4%24.0%24.0%21.4%
Term Structure1.1%-4.6%7.2%-4.6%6.0%
VWIV29.0%17.6%46.1%46.1%18.6%
Skew 25d3.0%-3.0%7.4%2.7%7.4%
Skew 10d5.1%-7.7%10.2%-7.7%9.5%
Call IV 25d27.5%16.6%34.9%31.0%18.3%
Put IV 25d30.5%23.2%35.5%33.7%25.7%
Bid-Ask Spread %53.8116.3683.1566.3344.18
Gamma HHI0.430.350.560.350.42
Net GEX-9.0K-35.5K3.6K459-1.5K
Net DEX419.4K-581.5K1.1M504.4K-581.5K
Net VEX-10.0K-13.7K-8.5K-9.5K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.460.00113.004.710.00
Total Volume163.09116841775
Total OI3,250.6362,6354,4293,0054,429

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$21.07$22.5036.3%10.4%28.3%0.0%46.1%2.7%-4.6%459504.4K-9.5K4.7166.33N/AN/A311461,7391,266
2007-03-02$20.39$22.5033.1%9.5%29.8%0.0%28.7%6.4%0.0%-10.9K979.8K-9.0K0.3183.15N/AN/A86271,7701,346
2007-03-05$20.16$22.5035.3%9.8%29.5%0.0%34.0%-0.1%-1.2%-8.3K1.1M-8.5K0.8877.16N/AN/A60531,8321,346
2007-03-06$20.55$22.5037.4%10.1%29.3%0.0%35.1%2.9%-1.6%-10.0K1.0M-8.8K0.0678.15N/AN/A11571,8521,371
2007-03-07$20.48$22.5037.2%10.1%19.6%0.0%25.5%4.6%-1.7%-7.4K965.1K-8.8K0.0078.79N/AN/A011,8821,378
2007-03-08$20.44$22.5027.9%9.4%19.7%0.0%28.8%0.4%-0.1%-9.1K897.3K-8.5K2.4276.80N/AN/A501211,8821,340
2007-03-09$20.39$22.5029.8%9.0%16.8%0.0%31.7%-3.0%2.1%-8.4K682.6K-8.8K0.2875.75N/AN/A183521,9171,218
2007-03-12$20.41$22.5037.4%9.5%16.9%0.0%17.6%2.0%0.6%-5.9K517.5K-9.9K20.0059.92N/AN/A2402,0901,268
2007-03-13$20.22$22.5037.5%9.5%16.8%0.0%33.7%2.6%-1.8%-7.9K608.3K-9.7K0.7547.53N/AN/A40302,0911,247
2007-03-14$20.32$22.5042.8%9.8%17.2%0.0%23.4%2.0%-1.8%-9.4K617.9K-9.7K2.0740.60N/AN/A601242,0911,277
2007-03-15$20.47$22.5033.3%9.5%17.4%0.0%33.1%3.5%-1.8%-5.9K484.7K-10.0K1.1156.69N/AN/A9102,1311,307
2007-03-16$20.37$22.5031.8%9.1%17.4%0.0%31.6%3.8%0.0%-7.8K549.5K-9.9K0.0043.83N/AN/A4302,1301,306
2007-03-19$20.41$22.5031.5%9.0%17.5%0.0%27.5%-0.6%0.2%-11.0K288.6K-9.9K0.2742.69N/AN/A59161,5021,133
2007-03-20$20.40$22.5031.9%9.1%16.9%0.0%0.0%-2.0%0.8%-9.0K270.0K-10.0K0.0836.08N/AN/A6151,5611,139
2007-03-21$20.38$22.5031.0%8.9%17.0%0.0%31.0%-0.2%0.4%-10.1K291.1K-10.0K113.0057.55N/AN/A11131,5781,144
2007-03-22$20.43$22.5031.6%9.1%17.1%0.0%0.0%1.0%0.4%-7.2K180.4K-9.6K5.2057.56N/AN/A201041,5791,071
2007-03-23$20.52$22.5026.8%7.7%17.3%0.0%26.8%6.9%3.6%-12.9K250.5K-9.7K1.0820.37N/AN/A2402601,5791,119
2007-03-26$20.55$20.0022.7%6.5%17.4%0.0%22.7%6.6%7.2%-24.8K-15.8K-10.5K24.5044.32N/AN/A102451,8191,379
2007-03-27$20.44$20.0025.4%7.3%16.7%0.0%25.4%6.0%5.1%-35.5K136.6K-11.2K0.0239.80N/AN/A671131,8191,534
2007-03-28$20.50$20.0025.3%7.3%16.8%0.0%18.6%6.3%5.9%3.6K-294.6K-12.8K0.0716.36N/AN/A1412,4901,535
2007-03-29$20.46$20.0026.0%7.5%15.5%0.0%0.0%6.8%5.4%310-171.3K-12.6K0.9040.18N/AN/A2422182,4921,535
2007-03-30$20.66$20.0025.8%7.4%10.7%0.0%0.0%7.4%6.0%-1.5K-581.5K-13.7K0.0044.18N/AN/A502,7161,713