BHE Options History — July 2007

In July 2007, BHE traded between $22.09 and $24.88. ATM implied volatility averaged 30.7%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.3% (HV 20d: 28.5%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.75.

Notable Days

  • 2007-07-18: Highest Volume — 2,223 contracts
  • 2007-07-05: Largest IV spike — 32.1% change
  • 2007-07-17: Highest IV Rank — 67.4%
  • 2007-07-17: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.60$22.09$24.88$23.18$22.20
Max Pain$23.21$20.00$25.00$20.00$22.50
ATM IV30.7%21.5%34.3%25.6%32.4%
Expected Move9.0%6.2%9.8%7.3%9.3%
HV 20d28.5%21.2%38.8%22.4%37.0%
HV 60d27.0%24.7%30.1%25.3%30.1%
IV Rank56.6%40.2%67.4%44.5%60.0%
IV Percentile71.2%42.5%87.3%50.8%77.8%
Term Structure0.1%-4.8%11.9%4.5%1.5%
VWIV32.1%26.3%36.0%26.3%32.4%
Skew 25d1.9%-4.9%11.1%-1.1%-0.8%
Skew 10d2.9%-15.3%24.0%0.5%-0.4%
Call IV 25d30.5%19.8%37.9%27.3%27.2%
Put IV 25d32.4%24.2%37.7%26.2%26.4%
Bid-Ask Spread %42.8118.3288.3284.7518.32
Gamma HHI0.470.400.580.420.55
Net GEX83.6K-62.0K244.7K7.0K211.8K
Net DEX-2.3M-6.1M417.8K-1.2M-97.2K
Net VEX-22.3K-28.0K-18.2K-19.8K-27.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0015.290.462.60
Total Volume440.143132,2231918
Total OI6,801.9525,38210,1605,3828,762

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$23.18$20.0025.6%7.3%22.4%0.0%26.3%-1.1%4.5%7.0K-1.2M-19.8K0.4684.75N/AN/A1362,7282,654
2007-07-03$23.50$20.0021.5%6.2%22.8%0.0%0.0%-0.8%11.9%7.6K-1.5M-19.7K1.5480.19N/AN/A13202,7242,660
2007-07-05$23.30$20.0028.3%8.1%21.7%44.5%28.0%10.9%5.5%6.8K-1.3M-19.7K0.0088.32N/AN/A2902,7352,670
2007-07-06$23.19$25.0027.2%9.1%21.4%40.2%30.9%2.4%0.1%8.7K-1.3M-19.3K0.0032.77N/AN/A1502,7502,670
2007-07-09$23.38$25.0028.4%9.0%21.2%44.6%0.0%1.6%-0.3%6.7K-1.5M-19.0K0.1327.84N/AN/A248322,7652,670
2007-07-10$23.10$25.0030.7%9.8%21.8%53.8%33.2%2.7%-2.9%27.6K-1.5M-19.2K0.0851.67N/AN/A1212,8792,670
2007-07-11$23.18$25.0028.2%9.8%21.3%44.1%34.5%3.3%-2.0%28.9K-1.6M-18.9K0.0032.85N/AN/A3502,8912,671
2007-07-12$24.45$25.0032.6%9.4%27.8%61.1%33.9%6.8%-1.3%-13.2K-3.1M-18.2K0.3463.67N/AN/A195662,8922,671
2007-07-13$24.30$25.0033.4%9.6%27.8%63.9%36.0%6.5%-3.2%-9.2K-3.1M-19.2K0.0041.81N/AN/A01512,9572,705
2007-07-16$24.87$25.0033.7%9.7%28.1%65.2%33.5%-2.2%-4.8%-27.5K-3.7M-19.2K7.7630.13N/AN/A1078302,9572,801
2007-07-17$24.88$25.0034.3%9.8%27.7%67.4%0.0%-2.2%-3.9%-17.7K-3.9M-19.3K12.5029.42N/AN/A243003,0492,767
2007-07-18$24.09$25.0031.6%9.0%29.6%56.9%33.5%-4.9%-1.9%-62.0K-2.3M-19.6K0.2826.59N/AN/A1,7344893,0583,044
2007-07-19$24.42$22.5030.0%8.6%29.1%51.1%30.1%-4.4%0.5%13.4K-4.9M-22.6K0.1446.77N/AN/A1,8552554,7453,468
2007-07-20$24.32$22.5031.7%9.1%29.1%57.3%31.8%3.0%-1.9%200.4K-6.1M-28.0K0.0020.70N/AN/A4906,4613,699
2007-07-23$24.49$22.5030.5%8.8%29.0%52.9%30.5%3.5%0.1%228.7K-4.6M-27.0K0.4626.20N/AN/A67315,1052,859
2007-07-24$23.61$22.5033.3%9.5%32.2%63.6%33.2%1.3%-1.6%244.7K-2.6M-27.0K7.5443.10N/AN/A372795,1422,864
2007-07-25$24.01$22.5033.5%9.6%32.6%64.5%33.5%-0.5%-3.4%243.1K-3.6M-27.1K15.2960.17N/AN/A385815,1562,764
2007-07-26$22.72$22.5032.6%9.3%38.2%61.0%31.6%-4.0%0.5%238.2K-438.4K-24.5K0.7130.61N/AN/A4042865,1742,888
2007-07-27$22.25$22.5032.2%9.2%38.8%59.4%32.2%11.1%2.7%222.4K-730.7K-25.2K5.0229.72N/AN/A1668345,3742,601
2007-07-30$22.09$22.5033.3%9.6%38.1%63.8%33.3%8.8%1.4%189.2K417.8K-27.8K0.1033.42N/AN/A2125,4113,330
2007-07-31$22.20$22.5032.4%9.3%37.0%60.0%32.4%-0.8%1.5%211.8K-97.2K-27.7K2.6018.32N/AN/A5135,4303,332