BHE Options History — September 2007

In September 2007, BHE traded between $23.25 and $25.34. ATM implied volatility averaged 37.0%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 1.0% (HV 20d: 36.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.97.

Notable Days

2007-09-24: Highest Volume — 199 contracts
2007-09-24: Largest IV spike — 15.2% change
2007-09-24: Highest IV Rank — 94.9%
2007-09-24: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.34	$23.25	$25.34	$25.34	$23.87
Max Pain	$22.89	$22.50	$25.00	$25.00	$22.50
ATM IV	37.0%	31.3%	41.4%	34.4%	39.5%
Expected Move	10.8%	9.9%	11.9%	9.9%	11.3%
HV 20d	36.0%	30.6%	39.9%	39.8%	33.6%
HV 60d	36.5%	34.9%	38.1%	34.9%	38.1%
IV Rank	77.7%	55.9%	94.9%	67.7%	87.4%
IV Percentile	89.8%	56.7%	98.9%	84.5%	95.2%
Term Structure	-1.6%	-5.6%	3.1%	2.5%	-1.9%
VWIV	38.0%	34.6%	41.4%	34.6%	40.2%
Skew 25d	5.8%	-4.5%	11.4%	0.5%	-1.8%
Skew 10d	8.4%	-6.4%	19.1%	-2.1%	-2.7%
Call IV 25d	32.9%	29.1%	38.6%	29.1%	38.6%
Put IV 25d	38.7%	28.9%	41.9%	29.6%	36.8%
Bid-Ask Spread %	44.07	17.00	84.43	17.00	81.89
Gamma HHI	0.36	0.32	0.46	0.34	0.33
Net GEX	1.2K	-9.5K	15.2K	3.8K	2.6K
Net DEX	-1.2M	-2.1M	-317.6K	-2.1M	-1.1M
Net VEX	-18.9K	-20.6K	-17.6K	-19.5K	-17.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.00	10.00	0.00	0.00
Total Volume	32.368	0	199	22	33
Total OI	4,615.842	4,356	4,696	4,630	4,552

Daily Data (19 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
2007-09-04	$25.34	$25.00	34.4%	9.9%	39.8%	67.7%	0.0%	0.5%	2.5%	3.8K	-2.1M	-19.5K	0.00	17.00	N/A	N/A	22	0	2,037	2,593
2007-09-05	$25.02	$25.00	36.0%	10.3%	39.9%	73.9%	0.0%	-4.5%	0.5%	3.2K	-1.8M	-20.0K	0.00	42.91	N/A	N/A	0	0	2,056	2,593
2007-09-06	$24.76	$25.00	34.6%	9.9%	38.9%	68.5%	34.6%	3.5%	3.1%	2.3K	-1.6M	-20.0K	0.00	52.32	N/A	N/A	32	0	2,056	2,593
2007-09-07	$24.13	$22.50	31.3%	10.5%	37.5%	55.9%	36.0%	11.4%	-2.2%	-1.6K	-946.3K	-20.6K	0.92	28.56	N/A	N/A	13	12	2,076	2,593
2007-09-10	$24.03	$22.50	35.0%	11.2%	35.7%	70.2%	0.0%	8.8%	-3.2%	-2.1K	-946.7K	-20.2K	0.00	31.56	N/A	N/A	0	0	2,068	2,605
2007-09-11	$24.15	$22.50	37.5%	10.9%	34.4%	79.8%	38.6%	6.8%	-2.7%	-888	-1.0M	-19.9K	1.20	29.19	N/A	N/A	5	6	2,068	2,605
2007-09-12	$23.68	$22.50	35.9%	11.6%	35.0%	73.7%	39.2%	8.3%	-3.0%	-3.7K	-734.2K	-19.6K	0.00	22.29	N/A	N/A	14	0	2,071	2,609
2007-09-13	$24.08	$22.50	37.8%	10.8%	35.1%	80.8%	38.0%	9.2%	-3.6%	-1.9K	-937.4K	-19.6K	10.00	31.89	N/A	N/A	1	10	2,061	2,609
2007-09-14	$23.65	$22.50	38.3%	11.0%	30.6%	82.8%	38.5%	5.6%	-2.3%	-5.2K	-616.9K	-19.3K	2.00	34.69	N/A	N/A	3	6	2,061	2,599
2007-09-17	$23.25	$22.50	39.5%	11.3%	30.8%	87.5%	38.9%	5.3%	-2.9%	-9.5K	-317.6K	-18.9K	0.00	28.00	N/A	N/A	13	0	2,061	2,605
2007-09-18	$24.84	$22.50	35.3%	10.1%	38.8%	71.1%	0.0%	8.1%	-0.9%	10.5K	-1.6M	-18.3K	0.00	84.43	N/A	N/A	0	0	2,071	2,605
2007-09-19	$24.32	$22.50	37.4%	10.7%	39.4%	79.3%	35.4%	7.1%	-2.5%	306	-1.2M	-18.7K	0.26	41.75	N/A	N/A	46	12	2,071	2,605
2007-09-20	$24.49	$22.50	37.4%	10.7%	38.7%	79.5%	37.5%	8.5%	-2.6%	15.2K	-1.3M	-18.5K	0.00	44.24	N/A	N/A	6	0	2,091	2,605
2007-09-21	$24.36	$22.50	36.0%	10.3%	37.0%	73.8%	35.9%	7.8%	-1.9%	9.7K	-1.3M	-17.9K	0.38	45.35	N/A	N/A	8	3	2,088	2,605
2007-09-24	$24.35	$22.50	41.4%	11.9%	36.0%	94.9%	41.4%	5.8%	-5.6%	-5.8K	-1.2M	-17.8K	0.26	41.21	N/A	N/A	158	41	1,897	2,459
2007-09-25	$24.64	$22.50	40.2%	11.5%	36.2%	90.1%	40.4%	7.0%	-1.9%	-2.3K	-1.4M	-17.7K	0.26	59.36	N/A	N/A	39	10	1,953	2,470
2007-09-26	$24.73	$22.50	38.1%	10.9%	34.8%	82.3%	38.5%	6.3%	0.2%	1.0K	-1.6M	-17.6K	0.32	44.45	N/A	N/A	88	28	1,979	2,480
2007-09-27	$24.71	$22.50	36.9%	10.6%	31.4%	77.4%	36.8%	7.0%	1.1%	6.8K	-1.8M	-17.6K	0.00	76.23	N/A	N/A	6	0	2,053	2,498
2007-09-28	$23.87	$22.50	39.5%	11.3%	33.6%	87.4%	40.2%	-1.8%	-1.9%	2.6K	-1.1M	-17.6K	0.00	81.89	N/A	N/A	33	0	2,054	2,498