BHE Options History — December 2007

In December 2007, BHE traded between $17.06 and $18.39. ATM implied volatility averaged 37.9%, placing in the 70.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 5.0% (HV 20d: 32.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 6.22.

Notable Days

  • 2007-12-12: Highest Volume — 530 contracts
  • 2007-12-06: Largest IV drop — 12.2% change
  • 2007-12-12: Highest IV Rank — 85.3%
  • 2007-12-26: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.65$17.06$18.39$17.52$17.73
Max Pain$20.25$20.00$22.50$20.00$20.00
ATM IV37.9%33.0%42.3%34.7%38.5%
Expected Move10.9%9.5%11.9%9.9%11.0%
HV 20d32.9%25.7%41.5%39.8%32.6%
HV 60d39.7%35.1%41.4%40.8%35.1%
IV Rank70.8%54.4%85.3%59.9%72.8%
IV Percentile80.1%54.7%95.0%65.4%82.4%
Term Structure3.1%-0.2%5.1%4.6%4.6%
VWIV36.8%23.1%49.6%47.0%23.1%
Skew 25d6.5%-7.3%19.2%4.8%9.9%
Skew 10d11.4%-6.3%25.6%6.6%11.1%
Call IV 25d32.5%24.6%38.8%28.6%26.8%
Put IV 25d39.1%30.6%46.3%33.4%36.7%
Bid-Ask Spread %36.9719.6860.8820.7619.68
Gamma HHI0.400.290.620.620.33
Net GEX-43.6K-54.8K-21.1K-30.4K-50.4K
Net DEX2.2M1.6M2.6M2.4M1.8M
Net VEX-8.9K-9.8K-8.0K-9.3K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.220.0083.670.000.31
Total Volume114.7505301059
Total OI4,649.154,0935,2904,2354,481

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$17.52$20.0034.7%9.9%39.8%59.9%47.0%4.8%4.6%-30.4K2.4M-9.3K0.0020.76N/AN/A1002,1082,127
2007-12-04$17.08$20.0033.6%9.6%40.4%56.3%33.5%-1.4%4.2%-25.4K2.5M-8.0K0.2725.56N/AN/A3392,1082,066
2007-12-05$17.22$20.0037.6%10.8%40.5%69.7%37.6%-0.1%-0.2%-26.2K2.5M-8.0K1.4020.14N/AN/A572,0962,015
2007-12-06$17.65$20.0033.0%9.5%41.5%54.4%33.0%3.6%3.0%-30.7K2.5M-8.2K1.2720.47N/AN/A2072622,0912,002
2007-12-07$17.67$22.5033.1%10.6%38.3%54.7%0.0%7.5%2.2%-21.1K2.2M-8.9K0.0060.88N/AN/A202,2962,084
2007-12-10$17.85$22.5035.4%10.4%37.5%62.3%35.9%4.3%5.1%-39.9K2.3M-8.6K1.6242.48N/AN/A1632642,1452,084
2007-12-11$17.58$20.0037.8%11.1%34.1%70.3%38.7%-7.3%2.4%-39.7K2.3M-9.6K0.0047.09N/AN/A7402,3022,305
2007-12-12$17.74$20.0042.3%10.9%31.0%85.3%48.9%8.4%3.6%-37.7K2.4M-9.7K0.0034.84N/AN/A05302,3642,305
2007-12-13$17.71$20.0037.9%10.9%30.8%70.8%0.0%7.9%4.6%-50.1K2.4M-9.8K0.0032.19N/AN/A002,3642,776
2007-12-14$17.49$20.0039.3%11.3%28.1%75.4%30.4%3.4%-0.2%-49.0K2.5M-9.7K7.5037.80N/AN/A6452,3642,776
2007-12-17$17.38$20.0037.8%10.8%27.4%70.5%0.0%6.0%3.8%-50.9K2.5M-9.1K0.0037.90N/AN/A032,3642,754
2007-12-18$17.55$20.0039.8%11.4%25.9%77.0%49.6%19.2%2.2%-50.3K2.4M-9.2K83.6739.01N/AN/A32512,3642,735
2007-12-19$17.06$20.0040.2%11.5%25.7%78.5%36.6%15.7%2.6%-54.8K2.6M-8.7K0.0019.68N/AN/A0252,3642,879
2007-12-20$17.14$20.0039.9%11.4%25.9%77.4%33.9%16.4%1.5%-54.4K2.5M-8.8K0.0555.73N/AN/A15182,3642,857
2007-12-21$18.05$20.0039.4%11.3%32.3%75.6%29.8%10.0%3.9%-48.4K1.9M-9.1K0.1339.37N/AN/A4762,4642,826
2007-12-24$18.30$20.0039.5%11.3%31.1%76.0%29.6%3.9%3.6%-54.7K1.7M-9.0K1.0059.47N/AN/A881,8562,579
2007-12-26$18.39$20.0041.6%11.9%31.1%83.0%40.9%6.6%1.1%-53.2K1.6M-9.2K0.4047.84N/AN/A1041,8642,571
2007-12-27$17.78$20.0038.4%11.0%32.3%72.4%39.7%-0.5%5.0%-51.8K1.9M-8.6K0.8642.04N/AN/A761,8742,567
2007-12-28$18.05$20.0038.7%11.1%32.5%73.3%23.1%12.3%3.9%-52.8K1.8M-8.8K1.0536.47N/AN/A40421,8812,561
2007-12-31$17.73$20.0038.5%11.0%32.6%72.8%0.0%9.9%4.6%-50.4K1.8M-8.2K0.3119.68N/AN/A45141,9182,563