BHE Options History — April 2008

In April 2008, BHE traded between $16.47 and $18.69. ATM implied volatility averaged 46.4%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 0.4% (HV 20d: 46.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2008-04-07: Highest Volume — 112 contracts
  • 2008-04-10: Largest IV spike — 52.8% change
  • 2008-04-22: Highest IV Rank — 80.7%
  • 2008-04-22: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.79$16.47$18.69$18.45$17.78
Max Pain$17.16$15.00$17.50$15.00$17.50
ATM IV46.4%33.0%57.3%44.7%42.2%
Expected Move13.8%11.9%16.4%12.8%12.1%
HV 20d46.8%42.3%54.0%49.6%45.9%
HV 60d45.3%42.7%47.5%45.7%46.7%
IV Rank59.1%32.3%80.7%55.7%50.7%
IV Percentile81.5%33.7%96.8%85.3%73.0%
Term Structure-4.2%-11.4%5.8%5.6%-1.9%
VWIV47.3%35.5%57.8%44.9%42.2%
Skew 25d6.0%-9.6%19.7%5.0%5.5%
Skew 10d11.4%-10.8%31.5%6.0%5.8%
Call IV 25d44.4%31.4%55.8%40.0%31.4%
Put IV 25d50.4%37.0%59.1%45.0%37.0%
Bid-Ask Spread %42.6721.9278.9767.5321.92
Gamma HHI0.430.300.530.370.51
Net GEX34.3K19.4K66.9K29.8K36.1K
Net DEX-650.9K-1.1M-34.9K-965.4K-417.6K
Net VEX-9.8K-11.0K-7.9K-11.0K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.002.500.000.40
Total Volume35.90901121135
Total OI3,233.1362,4723,6613,5532,661

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$18.45$15.0044.7%12.8%49.6%55.7%44.9%5.0%5.6%29.8K-965.4K-11.0K0.0067.53N/AN/A1102,0301,523
2008-04-02$18.68$15.0046.1%13.2%49.6%58.4%0.0%6.1%5.8%33.1K-1.0M-11.0K1.6725.08N/AN/A6102,0211,523
2008-04-03$18.60$15.0047.4%13.6%48.0%61.0%0.0%6.9%2.4%32.4K-999.1K-10.9K0.0023.89N/AN/A002,0271,533
2008-04-04$18.69$17.5046.6%13.9%43.8%59.3%0.0%7.1%-5.4%35.9K-1.1M-10.8K0.0032.35N/AN/A3002,0271,533
2008-04-07$18.35$17.5040.0%13.7%44.5%46.3%47.7%5.0%-5.2%36.6K-954.0K-10.5K1.8050.45N/AN/A40722,0401,533
2008-04-08$18.56$17.5034.7%14.3%44.5%35.7%0.0%9.3%-6.6%39.0K-1.0M-10.8K0.0056.17N/AN/A102,0691,549
2008-04-09$18.29$17.5033.0%13.6%44.3%32.3%0.0%5.6%-4.1%37.7K-1.0M-10.7K0.2542.01N/AN/A412,0701,549
2008-04-10$18.62$17.5050.4%14.5%44.6%67.0%0.0%10.4%-5.7%38.9K-1.0M-10.6K0.0042.48N/AN/A302,0741,550
2008-04-11$17.90$17.5047.1%13.5%45.4%60.5%0.0%4.1%-4.4%39.0K-774.2K-10.2K0.0030.12N/AN/A002,0741,550
2008-04-14$18.25$17.5048.7%14.0%45.9%63.7%0.0%11.3%-4.9%38.0K-932.7K-10.2K0.0034.48N/AN/A002,0741,550
2008-04-15$16.85$17.5048.8%14.0%54.0%63.7%47.1%-9.6%-4.7%19.4K-318.6K-9.2K0.7778.97N/AN/A31242,0741,550
2008-04-16$17.59$17.5050.8%14.6%53.3%67.8%0.0%4.4%-6.0%43.6K-615.9K-9.4K0.2363.45N/AN/A43102,1031,510
2008-04-17$17.79$17.5050.0%14.3%53.1%66.2%0.0%9.1%-5.8%47.5K-785.8K-9.8K0.0034.18N/AN/A0102,1411,510
2008-04-18$17.67$17.5049.4%14.2%48.9%65.1%50.7%0.9%-7.6%66.9K-873.4K-9.9K1.0041.79N/AN/A25252,1411,520
2008-04-21$17.18$17.5053.2%15.2%47.5%72.5%53.0%4.7%-8.1%24.3K-308.8K-9.1K0.1234.49N/AN/A83101,688784
2008-04-22$17.01$17.5057.3%16.4%47.6%80.7%54.2%5.1%-11.4%22.4K-216.2K-8.9K0.4528.61N/AN/A51231,688784
2008-04-23$17.09$17.5055.0%15.8%42.4%76.1%57.8%3.6%-8.2%25.7K-254.5K-9.1K2.5049.20N/AN/A24601,768811
2008-04-24$16.70$17.5046.7%13.4%42.3%59.5%35.5%7.6%-4.7%24.2K-98.6K-8.3K0.3532.61N/AN/A43151,792821
2008-04-25$16.47$17.5043.1%12.3%42.4%52.4%0.0%6.0%-4.6%22.3K-34.9K-7.9K1.8050.93N/AN/A591,791831
2008-04-28$17.35$17.5041.5%11.9%46.9%49.3%41.5%19.7%-1.8%30.1K-241.7K-8.8K0.0036.03N/AN/A2001,793833
2008-04-29$17.55$17.5045.0%12.9%45.9%56.3%45.0%3.5%-4.1%32.6K-381.8K-9.0K0.4362.07N/AN/A46201,803833
2008-04-30$17.78$17.5042.2%12.1%45.9%50.7%42.2%5.5%-1.9%36.1K-417.6K-8.9K0.4021.92N/AN/A25101,818843