BHE Options History — April 2007 In April 2007, BHE traded between $20.58 and $22.33. ATM implied volatility averaged 27.5%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 12.2% (HV 20d: 15.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.51.
Notable Days 2007-04-24 : Highest Volume — 811 contracts2007-04-09 : Largest IV spike — 35.8% change2007-04-10 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $21.35 $20.58 $22.33 $20.58 $21.18 Max Pain $22.00 $20.00 $22.50 $20.00 $22.50 ATM IV 27.5% 19.0% 31.8% 27.1% 30.6% Expected Move 8.2% 5.8% 9.2% 7.8% 8.8% HV 20d 15.3% 9.9% 24.3% 9.9% 24.3% HV 60d 21.7% 20.7% 23.5% 20.8% 23.2% Term Structure 1.0% -7.8% 14.9% 4.8% -7.8% VWIV 29.4% 20.5% 32.0% 30.2% 24.7% Skew 25d -0.1% -4.6% 6.0% -2.3% -4.6% Skew 10d 1.1% -6.8% 12.7% -3.0% -2.8% Call IV 25d 29.3% 25.1% 34.0% 29.4% 29.1% Put IV 25d 29.2% 23.7% 33.3% 27.1% 24.5% Bid-Ask Spread % 44.06 12.40 71.21 12.40 34.67 Gamma HHI 0.49 0.41 0.68 0.42 0.48 Net GEX 53.4K -716 129.8K -716 67.5K Net DEX -1.4M -2.6M -560.3K -560.3K -1.1M Net VEX -14.4K -16.9K -12.2K -13.4K -16.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.51 0.00 8.33 1.47 1.23 Total Volume 129.9 0 811 47 29 Total OI 4,525.35 3,715 4,957 4,429 4,476
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-04-02 $20.58 $20.00 27.1% 7.8% 9.9% 0.0% 30.2% -2.3% 4.8% -716 -560.3K -13.4K 1.47 12.40 N/A N/A 19 28 2,716 1,713 2007-04-03 $20.99 $20.00 21.3% 6.1% 10.1% 0.0% 20.5% -3.3% 12.3% 7.4K -951.4K -13.4K 0.17 37.35 N/A N/A 65 11 2,729 1,741 2007-04-04 $20.91 $20.00 24.2% 6.9% 10.1% 0.0% 0.0% -3.0% 8.5% 8.0K -927.4K -13.4K 0.00 25.53 N/A N/A 0 0 2,716 1,741 2007-04-05 $20.96 $20.00 20.2% 5.8% 10.0% 0.0% 0.0% -2.5% 14.9% 14.6K -1.0M -13.2K 0.00 51.38 N/A N/A 57 0 2,716 1,741 2007-04-09 $20.92 $22.50 27.4% 9.2% 10.0% 0.0% 31.9% 1.2% -1.3% 13.1K -1.1M -13.1K 1.54 16.46 N/A N/A 13 20 2,770 1,740 2007-04-10 $21.12 $22.50 19.0% 9.2% 10.4% 0.0% 31.4% 2.3% -1.3% 29.8K -1.4M -12.5K 0.00 39.71 N/A N/A 134 0 2,770 1,760 2007-04-11 $20.86 $22.50 23.9% 8.9% 10.9% 0.0% 31.5% -1.4% -0.6% 9.2K -1.0M -13.0K 0.00 59.21 N/A N/A 139 0 2,820 1,760 2007-04-12 $20.96 $22.50 30.3% 8.7% 10.9% 0.0% 30.5% 0.9% -0.1% 26.0K -1.2M -12.2K 0.95 19.03 N/A N/A 111 105 2,836 1,760 2007-04-13 $21.53 $22.50 30.3% 8.7% 14.0% 0.0% 30.4% 0.9% 0.5% 45.9K -1.6M -14.5K 5.50 51.29 N/A N/A 2 11 2,947 1,833 2007-04-16 $21.90 $22.50 31.8% 9.1% 14.6% 0.0% 32.0% 1.6% -1.8% 82.3K -2.3M -14.0K 0.97 47.23 N/A N/A 35 34 2,946 1,833 2007-04-17 $21.98 $22.50 31.1% 8.9% 14.6% 0.0% 0.0% 1.3% -2.1% 91.8K -2.4M -13.9K 1.00 52.26 N/A N/A 46 46 2,964 1,816 2007-04-18 $21.94 $22.50 29.9% 8.6% 14.7% 0.0% 29.9% -1.7% -1.4% 93.6K -2.3M -14.2K 4.29 63.01 N/A N/A 24 103 3,008 1,861 2007-04-19 $22.03 $22.50 31.6% 9.0% 14.6% 0.0% 31.7% -0.9% -2.8% 91.6K -2.3M -14.6K 8.33 58.86 N/A N/A 6 50 3,011 1,914 2007-04-20 $22.33 $22.50 30.2% 8.7% 14.9% 0.0% 0.0% 0.9% -3.0% 129.8K -2.6M -14.8K 1.05 71.21 N/A N/A 77 81 3,011 1,946 2007-04-23 $22.10 $22.50 31.5% 9.0% 15.8% 0.0% 31.5% 6.0% -2.1% 85.7K -1.9M -15.0K 0.51 66.51 N/A N/A 239 123 2,390 1,325 2007-04-24 $21.06 $22.50 27.3% 7.8% 24.3% 0.0% 28.7% -1.8% 2.7% 62.6K -836.6K -14.9K 0.33 54.47 N/A N/A 612 199 2,557 1,420 2007-04-25 $21.21 $22.50 31.4% 9.0% 24.3% 0.0% 0.0% 4.1% -3.0% 68.8K -1.1M -16.9K 1.00 57.50 N/A N/A 39 39 2,872 1,503 2007-04-26 $21.19 $22.50 27.3% 7.8% 24.3% 0.0% 27.1% -0.6% 2.5% 67.1K -931.1K -16.8K 0.22 29.36 N/A N/A 37 8 2,875 1,542 2007-04-27 $21.31 $22.50 24.2% 6.9% 24.3% 0.0% 24.7% 1.2% 0.1% 74.6K -1.1M -16.8K 0.12 33.80 N/A N/A 50 6 2,878 1,550 2007-04-30 $21.18 $22.50 30.6% 8.8% 24.3% 0.0% 0.0% -4.6% -7.8% 67.5K -1.1M -16.9K 1.23 34.67 N/A N/A 13 16 2,922 1,554
« Mar 2007 | All History | May 2007 » Home BHE History April 2007