BHE Options History — January 2008

In January 2008, BHE traded between $15.48 and $17.73. ATM implied volatility averaged 54.9%, placing in the 79.8% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 14.2% (HV 20d: 40.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 5.26.

Notable Days

  • 2008-01-09: Highest Volume — 922 contracts
  • 2008-01-04: Largest IV spike — 52.1% change
  • 2008-01-04: Highest IV Rank — 100.0%
  • 2008-01-23: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.20$15.48$17.73$17.44$17.73
Max Pain$17.74$17.50$20.00$20.00$17.50
ATM IV54.9%37.1%67.0%40.7%55.6%
Expected Move15.2%10.6%18.3%11.7%15.9%
HV 20d40.7%32.0%44.1%32.0%44.1%
HV 60d38.0%35.2%38.9%35.2%38.5%
IV Rank79.8%60.0%100.0%80.0%77.4%
IV Percentile96.8%73.0%100.0%91.6%96.0%
Term Structure-5.0%-12.1%5.3%2.1%-8.4%
VWIV50.8%33.6%63.7%42.3%54.6%
Skew 25d9.6%-2.1%16.8%12.9%13.0%
Skew 10d20.8%-1.5%39.4%20.6%22.3%
Call IV 25d45.7%33.7%56.8%33.7%50.5%
Put IV 25d55.3%34.5%67.7%46.6%63.5%
Bid-Ask Spread %43.9214.6378.3214.6364.15
Gamma HHI0.560.290.840.290.36
Net GEX-35.0K-61.7K3.0K-49.5K3.0K
Net DEX1.3M-84.0K2.2M1.9M-84.0K
Net VEX-8.0K-9.1K-6.6K-7.8K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.260.0036.332.600.54
Total Volume141.14359221857
Total OI3,975.7622,2065,5684,4102,470

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$17.44$20.0040.7%11.7%32.0%80.0%42.3%12.9%2.1%-49.5K1.9M-7.8K2.6014.63N/AN/A5131,9182,492
2008-01-03$16.79$20.0037.1%10.6%33.5%68.1%33.6%-2.1%5.3%-45.0K2.1M-7.0K7.7736.59N/AN/A221711,9182,481
2008-01-04$15.63$17.5056.5%13.2%41.7%100.0%45.4%4.6%-0.8%-57.0K2.2M-6.9K8.0051.26N/AN/A5401,9402,480
2008-01-07$15.93$17.5067.0%13.8%41.2%100.0%0.0%8.5%-1.9%-56.6K2.0M-6.9K2.7048.80N/AN/A10271,9442,397
2008-01-08$15.82$17.5049.4%14.1%41.1%64.9%47.4%9.1%-4.7%-61.2K2.0M-6.6K0.0136.29N/AN/A21031,9542,385
2008-01-09$15.76$17.5059.5%14.1%40.7%85.2%48.5%4.9%0.9%-59.3K2.0M-6.8K25.3434.04N/AN/A358872,1642,384
2008-01-10$16.27$17.5046.9%13.4%42.7%60.0%46.1%16.8%-2.1%-61.7K2.0M-9.1K0.0853.63N/AN/A385302,1852,991
2008-01-11$16.03$17.5057.0%16.3%42.6%80.2%52.3%15.7%-6.9%-54.1K1.8M-9.1K0.5733.59N/AN/A21122,4503,021
2008-01-14$16.15$17.5053.8%15.4%42.8%73.8%54.3%9.3%-5.1%-52.5K1.7M-8.7K0.1342.64N/AN/A812,4633,033
2008-01-15$15.88$17.5053.2%15.3%42.9%72.6%0.0%3.0%-4.6%-56.6K1.7M-8.4K15.4040.84N/AN/A5772,4713,034
2008-01-16$16.19$17.5058.1%16.7%43.8%82.4%0.0%11.8%-6.9%-40.0K1.5M-8.4K3.2578.32N/AN/A8262,4713,089
2008-01-17$15.86$17.5054.1%15.5%43.9%74.4%0.0%2.3%-5.2%-54.6K1.6M-8.3K0.2042.99N/AN/A2042,4793,089
2008-01-18$15.79$17.5056.0%16.0%43.0%78.1%53.8%0.8%-6.0%-47.8K1.6M-8.0K0.0275.67N/AN/A26062,4793,056
2008-01-22$15.64$17.5060.9%17.5%42.9%87.9%60.1%8.8%-7.3%-8.6K553.0K-7.8K36.3338.35N/AN/A31099281,278
2008-01-23$15.71$17.5063.8%18.3%37.7%93.7%63.7%16.7%-7.9%-9.1K625.1K-7.7K6.1147.41N/AN/A9559311,299
2008-01-24$15.48$17.5061.6%17.7%36.9%89.3%0.0%10.9%-9.8%-9.9K650.7K-7.6K0.0037.10N/AN/A509401,329
2008-01-25$15.99$17.5062.2%17.8%39.5%90.5%52.3%15.8%-12.1%-8.7K522.0K-7.9K1.3228.00N/AN/A1512009421,319
2008-01-28$16.51$17.5054.8%15.7%40.4%75.7%56.2%5.8%-9.9%-3.8K325.1K-8.2K0.0019.08N/AN/A1301,0931,319
2008-01-29$16.70$17.5049.3%14.1%40.2%64.8%0.0%15.9%-4.1%-1.7K254.1K-8.4K0.0060.82N/AN/A3101,1031,319
2008-01-30$16.83$17.5055.4%15.9%40.1%77.0%54.6%16.6%-9.8%-282107.5K-8.5K0.0838.16N/AN/A3731,1341,319
2008-01-31$17.73$17.5055.6%15.9%44.1%77.4%0.0%13.0%-8.4%3.0K-84.0K-9.0K0.5464.15N/AN/A37201,1511,319