BHE Options History — June 2007

In June 2007, BHE traded between $21.91 and $23.40. ATM implied volatility averaged 26.9%. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 1.3% (HV 20d: 28.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 4.06.

Notable Days

  • 2007-06-27: Highest Volume — 523 contracts
  • 2007-06-11: Largest IV spike — 27.4% change
  • 2007-06-11: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.72$21.91$23.40$21.91$22.62
Max Pain$20.12$20.00$22.50$22.50$20.00
ATM IV26.9%21.2%30.3%23.0%27.0%
Expected Move8.2%6.6%9.1%6.6%7.7%
HV 20d28.2%23.3%31.3%27.4%24.6%
HV 60d23.7%21.3%24.8%21.3%24.8%
Term Structure1.5%-2.3%5.5%4.7%3.8%
VWIV28.5%23.4%31.8%23.4%25.8%
Skew 25d2.0%-3.6%5.3%0.8%5.3%
Skew 10d2.1%-6.1%8.3%1.2%7.4%
Call IV 25d27.9%20.9%30.6%23.5%20.9%
Put IV 25d29.9%24.3%34.0%24.3%26.2%
Bid-Ask Spread %42.4423.1063.8449.9361.38
Gamma HHI0.550.410.740.460.41
Net GEX56.5K9.2K93.6K44.8K9.2K
Net DEX-2.0M-2.6M-753.9K-1.3M-753.9K
Net VEX-19.0K-20.2K-17.9K-17.9K-20.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.060.0057.110.950.52
Total Volume118.714252337435
Total OI4,6154,1485,3764,1485,376

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$21.91$22.5023.0%6.6%27.4%0.0%23.4%0.8%4.7%44.8K-1.3M-17.9K0.9549.93N/AN/A1921822,4831,665
2007-06-04$22.75$20.0023.6%7.9%30.2%0.0%27.7%3.5%0.5%56.3K-2.2M-18.7K4.9143.32N/AN/A341672,6441,755
2007-06-05$22.68$20.0024.3%8.9%30.1%0.0%30.5%2.9%-1.9%52.0K-2.0M-19.6K0.7755.09N/AN/A2111632,6591,838
2007-06-06$22.23$20.0027.1%8.3%31.2%0.0%29.0%3.1%0.1%56.5K-1.7M-19.9K0.5126.98N/AN/A91462,7541,873
2007-06-07$22.02$20.0027.2%8.9%31.3%0.0%31.2%2.7%-2.2%58.2K-1.5M-19.6K0.0045.36N/AN/A0132,7501,858
2007-06-08$22.29$20.0021.2%8.5%30.3%0.0%0.0%4.8%-1.3%68.7K-1.6M-19.8K1.5035.81N/AN/A232,7501,869
2007-06-11$22.26$20.0027.0%9.1%30.0%0.0%30.0%3.7%-1.4%69.8K-1.8M-19.4K0.3327.01N/AN/A46152,7501,868
2007-06-12$22.04$20.0027.6%9.1%30.0%0.0%31.8%4.0%-2.3%65.3K-1.5M-19.4K0.5028.92N/AN/A212,7731,873
2007-06-13$22.34$20.0026.6%8.5%29.0%0.0%29.7%3.0%-0.5%83.6K-1.8M-19.2K1.6725.55N/AN/A6102,7741,874
2007-06-14$22.64$20.0030.3%8.7%29.0%0.0%30.3%3.6%-1.2%93.6K-2.1M-19.3K0.0727.17N/AN/A1412,7751,874
2007-06-15$23.08$20.0028.6%8.2%27.0%0.0%26.9%2.3%0.5%63.3K-2.6M-19.0K0.0029.83N/AN/A6802,7821,875
2007-06-18$22.86$20.0028.6%8.2%27.5%0.0%28.6%1.6%2.0%52.6K-2.2M-18.8K0.1523.10N/AN/A97152,6891,803
2007-06-19$23.40$20.0028.4%8.1%28.1%0.0%28.0%-1.1%2.7%52.8K-2.6M-18.7K1.3338.86N/AN/A15202,6901,818
2007-06-20$23.01$20.0027.4%7.9%29.2%0.0%28.0%1.9%5.1%54.4K-2.4M-18.6K1.6243.20N/AN/A13212,6891,824
2007-06-21$23.20$20.0028.6%8.2%27.4%0.0%28.8%-1.4%3.6%52.7K-2.5M-18.7K0.3139.73N/AN/A32102,6941,845
2007-06-22$23.05$20.0026.3%7.5%26.7%0.0%26.2%-3.6%5.5%56.8K-2.4M-18.5K2.0058.16N/AN/A5102,7151,845
2007-06-25$23.15$20.0028.9%8.3%26.7%0.0%28.4%1.1%1.3%55.0K-2.5M-18.4K1.2263.84N/AN/A9112,7201,850
2007-06-26$23.09$20.0027.2%7.8%26.8%0.0%0.0%0.4%3.8%58.3K-2.4M-18.2K0.0062.88N/AN/A202,7281,850
2007-06-27$23.32$20.0029.3%8.4%26.6%0.0%28.9%1.9%3.7%56.5K-2.6M-18.0K57.1160.06N/AN/A95142,7301,850
2007-06-28$23.13$20.0026.2%7.5%23.3%0.0%25.8%0.7%4.9%25.9K-1.8M-19.3K5.6945.05N/AN/A613472,7362,347
2007-06-29$22.62$20.0027.0%7.7%24.6%0.0%0.0%5.3%3.8%9.2K-753.9K-20.2K0.5261.38N/AN/A23122,7292,647