BHE Options History — November 2007

In November 2007, BHE traded between $17.95 and $20.62. ATM implied volatility averaged 38.3%, placing in the 72.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 2.2% (HV 20d: 40.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 5.06.

Notable Days

  • 2007-11-02: Highest Volume — 328 contracts
  • 2007-11-13: Largest IV drop — 15.9% change
  • 2007-11-27: Highest IV Rank — 90.7%
  • 2007-11-27: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.07$17.95$20.62$19.43$17.95
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV38.3%32.1%43.9%39.1%33.5%
Expected Move11.0%9.6%12.6%11.2%9.6%
HV 20d40.5%34.5%45.1%34.7%39.2%
HV 60d40.6%39.4%41.5%41.1%40.8%
IV Rank72.0%51.5%90.7%74.6%55.9%
IV Percentile82.9%53.3%96.5%90.0%59.1%
Term Structure0.5%-3.7%5.4%-3.0%5.4%
VWIV33.6%21.7%38.8%36.4%36.6%
Skew 25d3.2%-4.3%8.3%4.5%7.4%
Skew 10d4.5%-4.3%16.5%8.7%9.3%
Call IV 25d35.3%25.5%42.0%34.5%25.5%
Put IV 25d38.5%30.9%42.7%39.1%32.9%
Bid-Ask Spread %52.2829.1982.4280.6750.90
Gamma HHI0.670.550.760.610.68
Net GEX-34.8K-38.7K-29.1K-30.1K-34.6K
Net DEX2.0M1.2M2.6M1.7M2.6M
Net VEX-12.5K-14.9K-10.0K-13.0K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.060.0070.670.8370.67
Total Volume78.048232822215
Total OI4,265.7623,9204,5003,9204,398

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$19.43$20.0039.1%11.2%34.7%74.6%0.0%4.5%-3.0%-30.1K1.7M-13.0K0.8380.67N/AN/A12101,8392,081
2007-11-02$19.46$20.0037.5%10.8%34.6%69.5%0.0%-4.0%-3.7%-33.3K1.8M-12.7K1.2275.28N/AN/A1481801,8512,091
2007-11-05$19.25$20.0035.1%10.2%34.5%61.5%0.0%4.6%0.6%-36.6K2.0M-12.7K0.0033.27N/AN/A01051,9992,241
2007-11-06$19.36$20.0036.8%10.4%34.6%67.1%0.0%4.0%0.1%-36.8K2.0M-13.3K0.0052.34N/AN/A0281,9992,281
2007-11-07$18.98$20.0032.1%10.5%34.8%51.5%36.4%1.9%1.1%-37.0K2.0M-12.9K2.4037.54N/AN/A5121,9992,277
2007-11-08$19.75$20.0036.7%10.8%38.4%66.8%0.0%4.7%0.4%-35.4K1.8M-14.1K0.6829.19N/AN/A34231,9942,275
2007-11-09$19.15$20.0039.7%10.6%39.0%76.9%36.8%0.6%0.7%-38.7K2.0M-12.9K0.0037.26N/AN/A1601,9982,277
2007-11-12$19.91$20.0042.7%10.6%40.7%86.7%36.8%8.3%1.1%-34.9K1.5M-14.2K0.6775.04N/AN/A30202,0142,277
2007-11-13$20.62$20.0035.9%11.3%42.7%64.0%38.8%4.1%1.3%-29.1K1.2M-14.8K0.0462.42N/AN/A11352,0242,270
2007-11-14$20.25$20.0035.3%11.0%43.2%61.9%0.0%3.0%1.2%-30.2K1.2M-14.9K9.5038.14N/AN/A201902,1352,270
2007-11-15$19.43$20.0038.9%11.2%45.1%74.1%0.0%0.1%-0.7%-37.3K2.0M-13.6K1.4558.48N/AN/A11162,1552,326
2007-11-16$19.67$20.0036.8%10.6%44.3%67.1%21.7%2.3%0.8%-37.9K1.8M-13.9K0.0038.27N/AN/A042,1642,336
2007-11-19$19.02$20.0035.6%10.2%43.5%63.0%0.0%6.6%1.7%-37.7K2.1M-12.4K0.0082.42N/AN/A201,9212,268
2007-11-20$18.46$20.0039.9%11.4%43.7%77.3%35.8%3.5%2.3%-35.6K2.5M-10.9K0.3149.43N/AN/A35111,9232,268
2007-11-21$18.37$20.0041.2%11.8%43.7%81.8%0.0%6.9%0.2%-34.1K2.3M-11.3K0.2073.36N/AN/A2041,9442,257
2007-11-23$18.53$20.0042.3%12.1%43.9%85.5%0.0%5.1%-1.5%-35.8K2.3M-11.1K0.0547.27N/AN/A2011,9592,254
2007-11-26$18.02$20.0040.6%11.6%42.4%79.7%0.0%-4.3%1.4%-31.2K2.3M-10.7K0.8452.54N/AN/A43361,9792,247
2007-11-27$18.11$20.0043.9%12.6%41.5%90.7%26.2%1.7%-2.5%-32.7K2.5M-10.6K2.2737.47N/AN/A30682,0112,277
2007-11-28$18.51$20.0041.9%12.0%42.8%84.3%0.0%5.9%-0.2%-35.9K2.4M-11.6K0.0034.96N/AN/A16202,0272,287
2007-11-29$18.26$20.0038.1%10.9%42.9%71.3%36.6%1.2%3.2%-35.5K2.4M-11.2K0.0051.62N/AN/A1002,1012,287
2007-11-30$17.95$20.0033.5%9.6%39.2%55.9%0.0%7.4%5.4%-34.6K2.6M-10.0K70.6750.90N/AN/A32122,1112,287