BHE Options History — August 2007

In August 2007, BHE traded between $21.83 and $25.15. ATM implied volatility averaged 34.7%, placing in the 68.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 7.2% (HV 20d: 41.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.55.

Notable Days

  • 2007-08-16: Highest Volume — 817 contracts
  • 2007-08-09: Largest IV spike — 53.8% change
  • 2007-08-15: Highest IV Rank — 97.0%
  • 2007-08-15: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.95$21.83$25.15$22.55$25.08
Max Pain$23.70$22.50$25.00$22.50$25.00
ATM IV34.7%24.7%42.0%33.4%32.8%
Expected Move10.0%8.9%11.9%9.6%9.4%
HV 20d41.9%37.0%45.8%37.1%41.2%
HV 60d33.5%30.2%35.3%30.3%35.0%
IV Rank68.9%30.6%97.0%63.9%61.5%
IV Percentile80.7%19.3%99.4%83.4%73.7%
Term Structure2.2%-0.3%5.4%2.0%2.7%
VWIV33.4%24.6%42.6%31.1%32.9%
Skew 25d6.2%-3.5%12.9%3.2%-3.5%
Skew 10d8.9%-6.9%25.1%4.2%-6.9%
Call IV 25d30.8%25.3%36.6%27.2%30.5%
Put IV 25d37.0%26.9%47.5%30.4%26.9%
Bid-Ask Spread %57.3516.5881.7467.2764.06
Gamma HHI0.500.330.830.520.36
Net GEX161.7K-4.6K333.1K225.4K2.6K
Net DEX-2.5M-7.3M-314.4K-581.3K-1.8M
Net VEX-23.9K-28.3K-20.1K-28.3K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.0020.671.000.00
Total Volume89.5650817415
Total OI6,7454,5178,7648,7644,617

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$22.55$22.5033.4%9.6%37.1%63.9%0.0%3.2%2.0%225.4K-581.3K-28.3K1.0067.27N/AN/A225,4333,331
2007-08-02$22.59$22.5031.0%8.9%37.0%54.9%0.0%3.4%3.2%245.5K-661.4K-28.2K20.6716.58N/AN/A61245,4333,331
2007-08-03$21.83$22.5031.9%9.1%38.8%58.2%0.0%-3.4%1.7%207.9K-314.4K-25.8K0.0048.63N/AN/A605,4352,860
2007-08-06$22.63$22.5032.8%9.8%41.1%61.7%0.0%6.3%1.4%267.3K-1.5M-26.3K0.0031.64N/AN/A055,4362,834
2007-08-07$23.12$22.5032.2%9.3%41.7%59.5%0.0%4.6%3.4%299.3K-2.7M-26.2K0.5032.86N/AN/A215,4362,834
2007-08-08$23.84$22.5024.7%8.9%43.0%30.6%31.1%5.0%0.9%331.9K-4.3M-26.4K0.0039.37N/AN/A1405,4362,833
2007-08-09$24.78$22.5038.0%10.0%41.0%81.9%25.5%11.5%2.4%323.5K-7.3M-26.6K1.4263.10N/AN/A1552205,4442,833
2007-08-10$24.00$25.0040.5%10.7%42.5%91.5%0.0%10.8%1.6%332.9K-5.3M-27.9K0.2134.52N/AN/A111235,5672,857
2007-08-13$23.38$25.0038.7%11.2%42.5%84.4%0.0%5.5%1.7%324.5K-3.8M-25.8K0.0067.23N/AN/A0425,5582,866
2007-08-14$23.14$22.5036.0%11.4%42.5%74.2%0.0%3.4%-0.3%298.7K-2.9M-24.9K0.0069.76N/AN/A005,5582,844
2007-08-15$22.88$22.5042.0%11.9%41.3%97.0%0.0%6.3%1.1%323.8K-2.5M-24.4K0.0068.72N/AN/A0105,5582,844
2007-08-16$24.09$22.5040.1%11.5%45.3%89.8%42.6%12.6%0.1%217.7K-4.9M-24.3K1.1375.42N/AN/A3844335,5582,823
2007-08-17$24.33$22.5041.4%11.9%45.4%94.8%41.4%10.6%0.8%333.1K-5.0M-22.9K0.5165.92N/AN/A51265,4062,834
2007-08-20$24.76$22.5035.5%10.2%45.8%72.0%35.4%12.9%4.1%2.0K-1.6M-22.3K0.6864.47N/AN/A1781212,0332,484
2007-08-21$24.61$25.0035.1%10.1%43.7%70.5%35.1%9.5%1.8%-3.7K-1.4M-22.1K0.0078.05N/AN/A2502,0002,587
2007-08-22$25.15$25.0031.3%9.0%44.0%55.9%31.2%9.1%5.4%-1.1K-1.7M-21.6K0.1581.74N/AN/A2032,0062,587
2007-08-23$24.35$25.0032.6%9.4%40.6%61.0%35.3%4.6%2.1%-3.0K-1.3M-21.2K0.0072.93N/AN/A0122,0092,584
2007-08-24$24.89$25.0032.1%9.2%40.1%59.0%32.3%8.5%3.6%-2.2K-1.5M-21.2K0.1473.74N/AN/A1422,0092,590
2007-08-27$24.64$25.0032.7%9.4%40.2%61.5%0.0%5.8%1.7%-1.5K-1.5M-21.1K0.0029.12N/AN/A1302,0222,588
2007-08-28$23.99$25.0034.2%9.8%41.8%67.1%0.0%4.2%2.7%-4.6K-1.1M-21.2K0.0033.15N/AN/A002,0222,588
2007-08-29$25.00$25.0034.3%9.8%43.7%67.5%0.0%7.2%2.6%-547-1.6M-21.0K17.0060.54N/AN/A2342,0222,588
2007-08-30$25.14$25.0034.1%9.8%43.7%66.6%24.6%5.1%3.7%710-1.8M-20.7K0.0080.25N/AN/A402,0242,593
2007-08-31$25.08$25.0032.8%9.4%41.2%61.5%32.9%-3.5%2.7%2.6K-1.8M-20.1K0.0064.06N/AN/A1502,0242,593