BHE Options History — October 2007

In October 2007, BHE traded between $20.35 and $24.10. ATM implied volatility averaged 40.2%, placing in the 80.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 4.2% (HV 20d: 44.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.93.

Notable Days

  • 2007-10-04: Highest Volume — 392 contracts
  • 2007-10-04: Largest IV spike — 24.1% change
  • 2007-10-04: Highest IV Rank — 100.0%
  • 2007-10-16: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.51$20.35$24.10$24.10$20.51
Max Pain$20.43$20.00$22.50$22.50$20.00
ATM IV40.2%33.7%46.6%39.0%35.6%
Expected Move11.5%9.7%13.3%11.2%10.2%
HV 20d44.4%33.4%49.2%33.8%46.5%
HV 60d41.0%38.0%43.6%38.1%40.3%
IV Rank80.0%56.7%100.0%85.4%62.9%
IV Percentile90.0%66.5%100.0%94.7%75.6%
Term Structure-3.2%-8.8%3.0%-2.2%0.5%
VWIV40.8%36.7%46.7%38.2%39.5%
Skew 25d4.4%-8.8%12.9%2.1%10.8%
Skew 10d8.7%-13.8%22.5%1.7%14.6%
Call IV 25d37.4%25.3%49.6%38.3%25.3%
Put IV 25d41.8%34.1%48.8%40.4%36.1%
Bid-Ask Spread %37.8517.6085.7674.6219.10
Gamma HHI0.490.320.610.330.50
Net GEX-18.3K-34.0K5.9K5.4K-23.4K
Net DEX889.4K-1.2M1.9M-1.2M1.3M
Net VEX-15.4K-17.5K-13.9K-17.5K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0017.800.000.74
Total Volume940392010
Total OI4,352.6523,3304,8984,5693,914

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$24.10$22.5039.0%11.2%33.8%85.4%0.0%2.1%-2.2%5.4K-1.2M-17.5K0.0074.62N/AN/A002,0712,498
2007-10-02$24.09$22.5037.4%10.7%33.5%79.4%38.2%2.9%-0.4%5.9K-1.2M-17.3K0.0075.04N/AN/A102,0712,498
2007-10-03$23.92$22.5037.1%10.6%33.4%78.3%37.4%1.2%0.4%5.7K-1.1M-17.0K0.0067.05N/AN/A402,0712,498
2007-10-04$21.56$22.5046.1%13.2%49.2%100.0%45.5%-8.8%-4.0%-16.3K1.0M-16.4K2.4464.86N/AN/A1142782,0752,498
2007-10-05$21.67$20.0035.5%11.2%48.8%64.0%46.7%7.2%-2.2%-21.3K1.2M-16.8K0.2425.29N/AN/A286682,1442,646
2007-10-08$21.71$20.0037.9%11.2%48.9%72.2%39.3%5.8%-3.2%-17.2K1.0M-16.7K0.2520.30N/AN/A412,1842,641
2007-10-09$21.78$20.0038.7%11.3%48.8%74.7%39.2%3.4%-4.8%-15.0K823.4K-16.5K0.2025.64N/AN/A1022,1872,629
2007-10-10$21.42$20.0046.6%12.2%48.7%100.0%0.0%1.7%-5.4%-20.2K1.3M-16.1K0.1025.77N/AN/A5052,1972,631
2007-10-11$21.23$20.0041.3%11.8%48.0%82.1%36.7%8.5%-5.3%-22.6K1.5M-15.5K0.0340.27N/AN/A10432,1962,636
2007-10-12$21.50$20.0039.5%11.3%48.3%76.0%39.6%5.0%-3.0%-16.8K1.2M-16.0K0.0023.33N/AN/A0212,2492,639
2007-10-15$20.80$20.0044.1%12.7%49.2%91.6%44.2%7.8%-5.5%-26.0K1.9M-14.6K8.4017.60N/AN/A5422,2492,643
2007-10-16$20.71$20.0046.5%13.3%41.2%99.6%0.0%3.3%-8.8%-26.3K1.8M-14.7K17.8025.67N/AN/A101782,2542,644
2007-10-17$20.72$20.0044.3%12.7%41.1%92.2%41.5%6.7%-5.5%-30.5K1.7M-14.6K0.5017.65N/AN/A20102,2542,607
2007-10-18$20.98$20.0045.9%13.2%41.4%97.6%42.3%10.2%-7.1%-27.0K1.5M-14.6K0.1920.37N/AN/A62122,2742,612
2007-10-19$20.35$20.0043.9%12.6%42.2%90.8%0.0%1.1%-6.1%-34.0K1.9M-13.9K5.1422.14N/AN/A7362,2562,597
2007-10-22$21.08$20.0044.1%12.7%45.0%91.6%37.9%8.5%-4.6%-27.8K974.0K-14.3K0.1323.50N/AN/A4561,3931,937
2007-10-23$21.37$20.0036.4%10.4%45.1%65.7%0.0%8.4%0.1%-24.2K802.8K-14.5K0.0050.29N/AN/A3901,4331,937
2007-10-24$21.28$20.0040.8%11.7%44.9%80.3%43.0%12.9%-6.3%-22.4K711.0K-14.5K0.1521.28N/AN/A230351,4721,937
2007-10-25$20.91$20.0038.7%11.1%45.0%73.5%39.5%-0.4%-3.1%-17.5K828.8K-14.6K0.0029.40N/AN/A0321,6361,949
2007-10-26$21.54$20.0033.7%9.7%45.8%56.7%0.0%3.6%0.2%-9.5K621.2K-15.0K0.2623.40N/AN/A58151,6361,949
2007-10-29$20.81$20.0034.1%9.8%46.6%57.8%0.0%-3.0%0.4%-19.2K916.8K-14.0K0.0685.76N/AN/A7851,6361,949
2007-10-30$20.60$20.0036.8%10.6%46.5%67.2%0.0%2.1%3.0%-19.9K1.1M-14.0K0.7472.31N/AN/A1591171,7161,968
2007-10-31$20.51$20.0035.6%10.2%46.5%62.9%0.0%10.8%0.5%-23.4K1.3M-14.3K0.0019.10N/AN/A0101,8392,075