BHE Options History — June 2008

In June 2008, BHE traded between $16.34 and $17.94. ATM implied volatility averaged 38.8%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 10.9% (HV 20d: 27.9%). 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 14 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2008-06-05: Highest Volume — 328 contracts
  • 2008-06-30: Largest IV drop — 13.8% change
  • 2008-06-11: Highest IV Rank — 44.9%
  • 2008-06-19: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.29$16.34$17.94$17.29$16.34
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV38.8%32.8%41.9%37.3%32.8%
Expected Move11.0%9.4%11.7%10.7%9.4%
HV 20d27.9%20.9%36.2%20.9%36.2%
HV 60d36.7%33.5%39.5%38.7%35.6%
IV Rank38.2%24.9%44.9%35.3%24.9%
IV Percentile47.6%10.7%67.1%39.3%10.7%
Term Structure1.7%-2.3%6.8%-0.6%5.7%
VWIV36.0%24.4%40.3%37.3%38.9%
Skew 25d3.9%-15.0%16.5%0.6%-15.0%
Skew 10d8.6%-9.6%26.8%2.3%-6.1%
Call IV 25d34.9%27.6%40.0%31.4%40.0%
Put IV 25d38.8%25.0%45.7%32.0%25.0%
Bid-Ask Spread %33.9722.5251.5422.8942.68
Gamma HHI0.430.220.640.560.22
Net GEX35.7K10.2K78.1K23.2K10.2K
Net DEX74.0K-335.8K538.0K241.6K538.0K
Net VEX-10.0K-10.9K-8.6K-8.7K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.006.560.070.00
Total Volume57.905032815655
Total OI3,292.6192,8113,5172,8113,440

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$17.29$17.5037.3%10.7%20.9%35.3%37.3%0.6%-0.6%23.2K241.6K-8.7K0.0722.89N/AN/A146101,7671,044
2008-06-03$16.93$17.5040.6%11.6%21.8%42.3%0.0%-5.7%-2.3%21.8K259.8K-8.6K1.5724.31N/AN/A23361,8421,044
2008-06-04$17.35$17.5039.8%11.4%23.9%40.7%0.0%3.1%-0.6%29.5K102.5K-9.3K0.0046.87N/AN/A8601,8531,069
2008-06-05$17.80$17.5039.2%11.2%24.4%39.3%39.2%16.5%-2.0%37.7K-45.6K-9.6K0.4422.52N/AN/A2281001,9071,069
2008-06-06$17.38$17.5037.9%10.6%25.9%36.4%0.0%4.8%2.9%39.2K-96.1K-10.7K0.3832.28N/AN/A1662,0831,169
2008-06-09$16.84$17.5040.8%11.1%25.8%42.8%38.3%5.3%1.0%27.8K233.1K-9.6K0.0029.69N/AN/A1502,0871,175
2008-06-10$17.18$17.5041.6%11.2%26.8%44.2%0.0%7.0%-0.7%35.8K44.1K-10.0K0.0033.67N/AN/A1202,1001,175
2008-06-11$17.36$17.5041.9%11.3%26.3%44.9%0.0%4.3%0.3%40.4K-92.5K-10.4K0.3330.57N/AN/A30102,1101,175
2008-06-12$17.45$17.5040.5%11.6%26.4%41.9%40.3%4.3%-0.2%41.7K-127.5K-10.5K0.0032.48N/AN/A1502,1401,181
2008-06-13$17.78$17.5037.7%10.8%27.4%35.7%0.0%2.8%1.1%48.4K-190.5K-10.6K0.0030.33N/AN/A0252,1531,181
2008-06-16$17.94$17.5037.6%10.8%27.4%35.5%37.6%4.9%2.6%52.7K-335.8K-10.7K6.5634.75N/AN/A271772,1531,181
2008-06-17$17.56$17.5039.6%11.4%28.3%39.9%0.0%-4.7%0.8%47.3K-140.0K-10.8K0.0051.54N/AN/A0332,1791,288
2008-06-18$17.40$17.5038.1%10.9%27.9%36.5%29.0%13.0%3.1%42.4K52.7K-10.5K3.3331.53N/AN/A3102,1791,321
2008-06-19$17.76$17.5040.7%11.7%28.8%42.3%0.0%5.7%1.1%53.8K-151.1K-10.9K1.0038.87N/AN/A10102,1801,331
2008-06-20$17.50$17.5039.4%11.3%29.1%39.4%24.4%-8.6%-0.2%78.1K-57.5K-10.7K0.0049.76N/AN/A0102,1761,341
2008-06-23$17.18$17.5038.8%11.1%29.6%38.1%38.8%11.5%4.2%27.1K155.6K-10.2K0.2025.45N/AN/A50102,0471,315
2008-06-24$16.80$17.5037.1%10.6%30.4%34.4%0.0%8.9%2.3%20.7K306.9K-9.6K0.5535.34N/AN/A1162,0801,325
2008-06-25$17.31$17.5038.9%11.1%32.3%38.3%38.9%2.4%5.9%27.8K171.9K-10.0K5.0040.55N/AN/A6302,0901,325
2008-06-26$16.89$17.5036.8%10.6%33.4%33.8%0.0%9.3%6.8%20.1K373.3K-9.6K0.0027.20N/AN/A002,0901,345
2008-06-27$17.11$17.5038.0%10.9%33.8%36.4%0.0%10.9%4.4%23.7K311.8K-9.7K0.0030.00N/AN/A0102,0901,345
2008-06-30$16.34$17.5032.8%9.4%36.2%24.9%0.0%-15.0%5.7%10.2K538.0K-8.9K0.0042.68N/AN/A5502,0901,350