BHE Options History — May 2007

In May 2007, BHE traded between $20.34 and $22.11. ATM implied volatility averaged 23.0%. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.8% (HV 20d: 23.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2007-05-21: Highest Volume — 445 contracts
  • 2007-05-09: Largest IV spike — 30.7% change
  • 2007-05-14: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.15$20.34$22.11$21.40$22.11
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV23.0%16.8%28.0%23.0%24.2%
Expected Move6.8%4.8%8.0%6.6%6.9%
HV 20d23.8%19.6%27.3%24.4%27.3%
HV 60d20.0%18.0%23.3%23.3%21.3%
Term Structure2.8%-1.4%13.8%3.1%1.7%
VWIV22.6%14.8%25.7%22.3%24.2%
Skew 25d2.7%-5.5%12.3%4.7%0.5%
Skew 10d2.5%-8.5%8.3%4.8%0.5%
Call IV 25d21.9%14.9%26.3%23.1%24.5%
Put IV 25d24.6%17.3%27.7%27.7%24.9%
Bid-Ask Spread %46.2818.1185.9458.2768.27
Gamma HHI0.490.340.620.540.55
Net GEX40.1K-81.5K101.8K88.3K54.3K
Net DEX-686.8K-1.4M64.6K-1.1M-1.4M
Net VEX-15.3K-17.1K-9.1K-16.8K-17.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0010.001.922.91
Total Volume97.955144538352
Total OI4,2183,3854,6664,5023,939

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$21.40$22.5023.0%6.6%24.4%0.0%22.3%4.7%3.1%88.3K-1.1M-16.8K1.9258.27N/AN/A13252,9321,570
2007-05-02$21.57$22.5024.0%6.9%23.6%0.0%20.7%-4.5%1.0%101.8K-1.3M-17.0K1.5619.79N/AN/A16252,9331,577
2007-05-03$21.47$22.5022.8%6.5%23.6%0.0%0.0%-5.5%2.0%91.8K-1.1M-16.6K2.4023.34N/AN/A20482,9331,593
2007-05-04$21.34$22.5020.8%6.9%23.8%0.0%0.0%2.7%0.8%83.6K-1.0M-16.4K0.0021.42N/AN/A0302,9331,641
2007-05-07$21.22$22.5020.1%7.2%23.9%0.0%0.0%1.7%1.6%56.0K-702.1K-15.2K0.9918.11N/AN/A1061052,9331,661
2007-05-08$21.14$22.5018.7%7.6%23.7%0.0%25.7%1.6%-1.1%43.6K-560.4K-14.3K0.8621.15N/AN/A28242,8761,603
2007-05-09$21.35$22.5024.5%6.2%23.4%0.0%0.0%5.2%2.6%95.5K-957.1K-15.0K0.2526.08N/AN/A2052,8791,625
2007-05-10$20.89$22.5023.9%6.9%24.8%0.0%0.0%-1.4%1.5%44.0K-474.6K-14.7K4.2832.79N/AN/A251072,8751,626
2007-05-11$21.21$22.5027.2%7.8%23.4%0.0%0.0%2.6%0.6%60.7K-621.8K-15.5K1.1025.87N/AN/A10112,8891,698
2007-05-14$21.02$22.5028.0%8.0%22.6%0.0%0.0%3.9%-1.4%23.1K-524.4K-9.1K0.0063.63N/AN/A402,3061,292
2007-05-15$20.60$22.5023.9%6.9%23.3%0.0%0.0%-0.8%3.4%-27.8K-133.8K-13.9K0.4674.66N/AN/A74342,8931,708
2007-05-16$20.90$22.5025.2%7.2%24.2%0.0%0.0%1.8%2.5%17.4K-212.6K-14.4K0.0033.92N/AN/A2202,9171,738
2007-05-17$20.34$22.5025.4%7.3%25.6%0.0%25.4%7.2%3.0%-81.5K64.6K-14.3K10.0062.50N/AN/A3302,9201,724
2007-05-18$20.56$22.5024.8%7.1%25.3%0.0%24.9%-2.3%2.0%-23.2K-12.4K-14.0K0.6768.65N/AN/A642,9231,743
2007-05-21$20.82$22.5025.8%7.4%25.9%0.0%0.0%10.9%1.7%31.5K-503.6K-14.3K0.9320.09N/AN/A2302152,1651,220
2007-05-22$20.83$22.5023.8%6.8%19.6%0.0%0.0%7.4%4.9%29.1K-460.0K-15.2K0.0066.30N/AN/A12902,2491,341
2007-05-23$21.51$22.5016.8%4.8%22.7%0.0%14.8%3.2%4.5%41.3K-888.7K-15.9K0.5739.25N/AN/A35202,2781,341
2007-05-24$21.17$22.5020.3%5.8%23.4%0.0%22.0%2.9%13.8%38.0K-760.8K-16.2K1.4940.94N/AN/A1031532,3051,361
2007-05-25$21.28$22.5018.4%5.3%23.4%0.0%0.0%2.5%4.2%36.4K-795.0K-16.9K2.5073.95N/AN/A4102,3751,476
2007-05-29$21.37$22.5019.8%5.7%23.4%0.0%23.3%2.5%2.0%37.5K-804.1K-16.6K0.2485.94N/AN/A87212,3791,486
2007-05-30$21.23$22.5025.3%7.3%23.2%0.0%0.0%12.3%7.7%39.8K-786.1K-16.6K0.0073.30N/AN/A102,4331,507
2007-05-31$22.11$22.5024.2%6.9%27.3%0.0%24.2%0.5%1.7%54.3K-1.4M-17.1K2.9168.27N/AN/A902622,4321,507