BHE Options History — March 2008

In March 2008, BHE traded between $16.61 and $19.72. ATM implied volatility averaged 44.2%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 3.2% (HV 20d: 47.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.28.

Notable Days

  • 2008-03-25: Highest Volume — 165 contracts
  • 2008-03-26: Largest IV spike — 19.2% change
  • 2008-03-17: Highest IV Rank — 68.5%
  • 2008-03-17: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.78$16.61$19.72$16.61$17.95
Max Pain$15.50$15.00$17.50$17.50$15.00
ATM IV44.2%39.8%51.1%42.0%46.6%
Expected Move12.8%11.4%14.7%12.0%13.4%
HV 20d47.5%39.8%54.8%46.0%49.2%
HV 60d43.5%40.5%46.3%40.5%46.1%
IV Rank54.7%45.9%68.5%50.3%59.5%
IV Percentile84.7%72.2%91.7%84.5%88.5%
Term Structure0.3%-10.7%5.9%-0.7%2.8%
VWIV47.8%42.7%53.7%45.2%45.3%
Skew 25d5.3%-7.3%17.1%6.4%-1.6%
Skew 10d11.1%-6.4%34.8%22.9%-3.9%
Call IV 25d42.0%31.1%49.8%40.5%44.4%
Put IV 25d47.3%33.8%54.3%46.9%42.9%
Bid-Ask Spread %40.1822.1870.5637.9940.80
Gamma HHI0.330.310.430.320.34
Net GEX21.3K9.7K33.4K9.7K19.7K
Net DEX-683.0K-1.5M-106.8K-106.8K-655.9K
Net VEX-10.6K-11.4K-9.9K-9.9K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.0026.500.000.00
Total Volume45.9501650110
Total OI3,234.953,1133,4453,1213,443

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$16.61$17.5042.0%12.0%46.0%50.3%0.0%6.4%-0.7%9.7K-106.8K-9.9K0.0037.99N/AN/A001,8421,279
2008-03-04$16.80$17.5041.9%12.0%45.8%50.1%0.0%12.3%0.0%13.6K-232.6K-9.9K0.0038.48N/AN/A0301,8421,271
2008-03-05$17.48$17.5039.8%11.4%47.7%45.9%0.0%6.3%2.5%19.9K-469.8K-10.6K0.0047.10N/AN/A3001,8421,299
2008-03-06$16.64$17.5040.8%11.7%49.7%47.8%0.0%-5.1%0.6%11.7K-220.0K-10.1K0.0051.28N/AN/A001,8411,299
2008-03-07$16.85$15.0042.3%12.2%48.4%50.9%45.2%9.2%0.0%14.5K-276.2K-10.2K0.1429.44N/AN/A2231,8411,299
2008-03-10$16.79$15.0045.6%12.9%47.8%57.3%49.9%6.8%-1.8%13.8K-261.3K-10.0K0.0365.49N/AN/A3511,8411,296
2008-03-11$17.22$15.0042.4%12.4%48.6%51.1%0.0%10.4%0.2%18.4K-379.8K-10.4K0.0043.60N/AN/A1001,8571,295
2008-03-12$17.15$15.0039.9%13.0%48.3%46.0%48.0%7.2%-3.9%21.8K-507.4K-10.2K0.3922.18N/AN/A51201,8641,295
2008-03-13$17.78$15.0045.4%13.0%43.9%57.1%45.3%8.8%-0.2%26.9K-681.9K-10.8K0.5025.22N/AN/A20101,9041,307
2008-03-14$17.81$15.0044.5%12.8%39.8%55.3%42.7%5.3%0.4%25.1K-749.2K-10.8K2.0029.19N/AN/A10201,8941,317
2008-03-17$17.54$15.0051.1%14.7%40.3%68.5%0.0%6.7%-10.7%22.2K-603.8K-10.5K2.8670.56N/AN/A21601,8941,337
2008-03-18$18.42$15.0050.6%14.5%43.4%67.3%49.8%10.2%-1.7%25.7K-988.0K-10.6K0.2929.86N/AN/A2471,9001,319
2008-03-19$18.06$15.0045.4%13.0%43.9%57.0%0.0%-1.1%-1.3%30.2K-1.0M-10.7K1.7528.69N/AN/A36631,9211,319
2008-03-20$19.08$15.0044.3%12.7%47.9%54.9%0.0%17.1%-0.9%27.6K-1.3M-11.4K0.0029.80N/AN/A401,9571,371
2008-03-24$19.72$15.0039.8%11.4%49.0%45.9%53.7%10.8%5.9%32.8K-1.5M-11.3K0.5745.47N/AN/A35201,8761,319
2008-03-25$19.58$15.0040.5%11.6%48.7%47.3%0.0%2.8%5.4%33.4K-1.5M-11.4K26.5032.12N/AN/A61591,9051,339
2008-03-26$18.34$15.0048.3%13.8%54.2%62.8%48.8%-4.7%1.6%21.3K-888.9K-11.3K3.3340.41N/AN/A6201,9071,497
2008-03-27$17.90$15.0048.0%13.8%54.8%62.3%49.0%-7.3%3.3%18.5K-695.8K-10.9K0.4750.74N/AN/A45211,9131,512
2008-03-28$17.90$15.0045.7%13.1%52.2%57.6%45.3%6.3%3.8%19.7K-692.0K-10.9K0.0045.16N/AN/A2001,9221,523
2008-03-31$17.95$15.0046.6%13.4%49.2%59.5%0.0%-1.6%2.8%19.7K-655.9K-10.7K0.0040.80N/AN/A11001,9201,523