BHE Options History — May 2008

In May 2008, BHE traded between $17.34 and $18.30. ATM implied volatility averaged 43.7%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 9.5% (HV 20d: 34.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 3.39.

Notable Days

  • 2008-05-29: Highest Volume — 320 contracts
  • 2008-05-13: Largest IV spike — 32.3% change
  • 2008-05-13: Highest IV Rank — 86.1%
  • 2008-05-01: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.81$17.34$18.30$18.17$17.77
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV43.7%36.6%60.0%48.8%38.6%
Expected Move11.7%10.5%14.0%14.0%11.1%
HV 20d34.3%18.8%46.7%46.7%18.8%
HV 60d43.2%39.6%46.8%46.8%39.6%
IV Rank52.9%37.3%86.1%63.9%38.2%
IV Percentile68.8%38.5%97.6%87.3%48.4%
Term Structure-1.2%-6.0%2.1%-6.0%-1.2%
VWIV37.1%21.8%46.1%46.1%38.6%
Skew 25d6.8%-1.6%19.9%19.9%9.0%
Skew 10d10.6%-3.5%26.6%11.3%11.0%
Call IV 25d33.5%25.8%41.0%26.4%25.8%
Put IV 25d40.3%31.7%46.3%46.3%34.7%
Bid-Ask Spread %43.3518.6578.0824.6618.85
Gamma HHI0.580.500.690.560.57
Net GEX36.9K29.4K45.1K40.4K29.4K
Net DEX-363.3K-715.4K2.8K-598.4K2.8K
Net VEX-8.9K-9.8K-6.4K-9.8K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.390.0030.000.000.80
Total Volume37.1903202327
Total OI2,615.0952,1352,8032,6912,786

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$18.17$17.5048.8%14.0%46.7%63.9%0.0%19.9%-6.0%40.4K-598.4K-9.8K0.0024.66N/AN/A2301,838853
2008-05-02$18.03$17.5046.1%13.2%46.7%58.5%46.1%10.7%-5.6%39.1K-562.5K-9.6K1.8246.54N/AN/A11201,858853
2008-05-05$17.86$17.5049.2%11.7%46.4%64.5%35.9%7.6%0.6%39.0K-524.7K-9.4K3.4025.03N/AN/A10341,868853
2008-05-06$17.81$17.5049.7%11.9%46.1%65.5%0.0%6.2%-1.3%37.7K-462.1K-9.4K0.0032.30N/AN/A101,878887
2008-05-07$17.43$17.5047.5%11.7%46.4%61.2%0.0%1.5%-1.4%33.8K-360.9K-9.1K1.6068.64N/AN/A20321,879887
2008-05-08$17.34$17.5047.7%11.7%45.8%61.7%0.0%5.1%-1.4%32.5K-245.9K-8.8K0.0030.70N/AN/A0451,889903
2008-05-09$17.86$17.5044.8%11.6%45.2%55.8%0.0%6.5%0.1%39.2K-432.8K-9.2K0.0032.48N/AN/A001,889888
2008-05-12$17.99$17.5045.4%12.0%44.7%56.9%0.0%6.1%-0.9%42.5K-715.4K-6.4K0.0072.14N/AN/A0201,597538
2008-05-13$18.30$17.5060.0%11.9%33.9%86.1%38.3%8.9%-2.1%45.1K-575.0K-9.6K1.0040.59N/AN/A10101,889894
2008-05-14$18.23$17.5046.6%11.4%30.7%59.5%0.0%2.1%-0.7%44.7K-647.2K-9.4K0.7024.52N/AN/A1071,899904
2008-05-15$18.16$17.5039.4%11.3%30.6%45.0%34.0%1.5%-1.7%42.9K-571.4K-9.3K0.0078.08N/AN/A2401,899902
2008-05-16$17.95$17.5040.5%11.6%30.8%47.3%0.0%-1.6%-2.3%40.8K-465.4K-8.9K1.0057.74N/AN/A111,893902
2008-05-19$17.84$17.5040.5%11.6%29.0%47.3%40.5%7.4%-0.5%34.4K-268.0K-8.8K0.4237.62N/AN/A48201,671725
2008-05-20$17.54$17.5039.9%11.4%29.4%46.0%39.9%7.7%0.2%31.8K-142.4K-8.5K0.0034.40N/AN/A2001,697744
2008-05-21$17.49$17.5040.6%11.6%29.5%47.5%0.0%5.3%-0.9%32.7K-148.4K-8.3K0.0042.09N/AN/A301,707734
2008-05-22$17.66$17.5036.6%10.5%28.2%39.5%0.0%6.1%2.1%34.2K-183.3K-8.4K0.0066.16N/AN/A201,710734
2008-05-23$17.47$17.5037.5%10.7%27.9%39.3%37.5%3.5%1.6%32.2K-164.8K-8.2K1.2564.47N/AN/A8101,708734
2008-05-27$17.58$17.5041.6%11.9%21.2%47.9%0.0%4.9%-3.3%33.4K-171.9K-8.2K30.0065.35N/AN/A1301,716744
2008-05-28$17.73$17.5039.2%11.3%21.0%41.2%21.8%17.2%1.1%34.4K-209.2K-8.6K12.0029.33N/AN/A1121,716761
2008-05-29$17.73$17.5038.2%11.0%20.5%37.3%38.2%6.4%-0.5%35.3K-181.7K-8.3K7.0018.65N/AN/A402801,717773
2008-05-30$17.77$17.5038.6%11.1%18.8%38.2%38.6%9.0%-1.2%29.4K2.8K-9.6K0.8018.85N/AN/A15121,7521,034