BHE Options History — February 2008

In February 2008, BHE traded between $16.53 and $18.56. ATM implied volatility averaged 42.3%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 0.4% (HV 20d: 41.8%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2008-02-19: Highest Volume — 762 contracts
  • 2008-02-08: Largest IV drop — 24.9% change
  • 2008-02-04: Highest IV Rank — 86.7%
  • 2008-02-01: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.56$16.53$18.56$18.08$16.80
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV42.3%35.0%60.3%56.9%40.9%
Expected Move11.9%10.0%16.3%16.3%11.7%
HV 20d41.8%32.9%47.5%42.1%46.6%
HV 60d38.9%37.0%40.8%38.7%40.8%
IV Rank50.8%36.4%86.7%80.0%48.1%
IV Percentile74.7%52.8%98.0%96.8%81.7%
Term Structure1.0%-7.5%7.0%-7.5%2.2%
VWIV42.8%35.0%48.4%46.9%35.5%
Skew 25d6.1%-4.1%16.0%-0.6%7.9%
Skew 10d7.5%-8.0%31.5%-4.3%14.5%
Call IV 25d38.1%26.8%52.2%52.2%35.1%
Put IV 25d44.2%31.6%53.6%51.7%43.0%
Bid-Ask Spread %59.4125.3585.9966.1735.56
Gamma HHI0.390.310.570.350.31
Net GEX10.0K-17.0K36.7K4.0K13.4K
Net DEX-235.6K-872.7K361.8K-226.8K-237.2K
Net VEX-9.6K-11.3K-8.1K-9.0K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.009.174.751.00
Total Volume94.5507625812
Total OI3,035.92,2893,1982,5193,120

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$18.08$17.5056.9%16.3%42.1%80.0%46.9%-0.6%-7.5%4.0K-226.8K-9.0K4.7566.17N/AN/A1014801,1801,339
2008-02-04$17.69$17.5060.3%14.2%33.0%86.7%0.0%9.8%-1.9%-2.4K-129.7K-9.2K9.1733.10N/AN/A6551,2691,773
2008-02-05$18.00$17.5051.8%13.2%32.9%69.8%0.0%10.7%-1.4%7.0K-222.2K-8.9K0.0825.35N/AN/A118101,2691,828
2008-02-06$17.47$17.5051.9%13.1%35.1%69.9%0.0%2.5%-0.4%-2.2K-82.8K-9.1K0.0031.58N/AN/A2801,2511,818
2008-02-07$16.86$17.5051.5%12.2%37.8%69.1%0.0%4.9%0.3%-13.1K233.6K-8.8K2.7541.62N/AN/A4111,2651,818
2008-02-08$16.53$17.5038.7%12.3%37.1%43.6%48.4%5.5%-0.2%-17.0K361.8K-8.5K0.0452.91N/AN/A5221,2651,828
2008-02-11$16.62$17.5035.8%11.7%36.7%37.9%48.1%12.5%1.8%-7.4K333.3K-8.2K0.0076.94N/AN/A0111,3091,830
2008-02-12$16.91$17.5040.7%12.0%37.0%47.6%0.0%6.0%0.2%1.1K147.0K-8.4K0.0069.62N/AN/A101,3091,840
2008-02-13$18.06$17.5038.7%12.6%42.6%43.7%0.0%14.7%-1.1%15.4K-345.2K-8.6K0.0077.64N/AN/A201,3091,840
2008-02-14$17.17$17.5044.0%12.6%46.8%54.2%0.0%0.8%-1.8%19.2K117-8.3K0.0075.07N/AN/A8001,3081,840
2008-02-15$17.21$17.5042.9%12.3%45.9%52.0%0.0%6.3%-0.1%36.7K92.7K-8.3K0.0070.58N/AN/A301,3581,840
2008-02-19$17.52$17.5035.0%10.0%46.1%36.4%35.0%4.9%7.0%-5.5K42.7K-8.1K0.0077.79N/AN/A76201,0101,279
2008-02-20$17.75$17.5037.6%10.8%45.8%41.6%0.0%16.0%2.1%15.7K-446.6K-11.2K0.0085.99N/AN/A001,7621,279
2008-02-21$17.80$17.5035.4%10.2%45.8%37.1%35.5%-2.5%1.9%18.7K-607.9K-11.3K0.0056.85N/AN/A4901,7621,279
2008-02-22$17.83$17.5036.0%10.3%45.2%38.3%0.0%-4.1%5.2%19.9K-546.8K-11.1K0.0070.84N/AN/A4401,8081,279
2008-02-25$18.24$17.5037.4%10.7%44.6%41.1%0.0%12.5%3.3%24.2K-741.7K-11.2K0.0074.84N/AN/A001,8321,279
2008-02-26$18.56$17.5038.1%10.9%43.8%42.6%0.0%7.5%4.3%25.3K-854.2K-11.3K0.0076.81N/AN/A101,8321,279
2008-02-27$18.42$17.5036.1%10.3%44.0%38.5%0.0%2.6%2.3%25.7K-872.7K-11.3K0.0043.67N/AN/A1801,8331,279
2008-02-28$17.59$17.5035.7%10.2%47.5%37.7%0.0%4.3%3.2%21.5K-608.5K-11.0K0.0045.37N/AN/A5101,8411,279
2008-02-29$16.80$17.5040.9%11.7%46.6%48.1%0.0%7.9%2.2%13.4K-237.2K-10.4K1.0035.56N/AN/A111,8411,279