BHE Options History — July 2008

In July 2008, BHE traded between $14.31 and $19.02. ATM implied volatility averaged 44.8%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 11.0% (HV 20d: 55.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2008-07-24: Highest Volume — 197 contracts
  • 2008-07-02: Largest IV spike — 39.6% change
  • 2008-07-15: Highest IV Rank — 69.9%
  • 2008-07-15: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.23$14.31$19.02$16.47$14.64
Max Pain$15.80$15.00$17.50$15.00$15.00
ATM IV44.8%30.8%54.2%30.8%47.4%
Expected Move13.0%8.8%15.6%8.8%13.6%
HV 20d55.8%33.3%103.3%35.7%102.6%
HV 60d41.7%31.1%63.2%35.5%63.2%
IV Rank48.0%20.6%69.9%20.6%53.7%
IV Percentile69.1%4.0%92.9%4.0%80.6%
Term Structure-1.8%-5.8%6.6%4.4%-3.5%
VWIV42.2%37.9%46.4%38.9%37.9%
Skew 25d5.0%-6.0%17.5%6.0%-3.1%
Skew 10d5.3%-13.2%27.0%11.9%-3.4%
Call IV 25d40.5%27.1%50.1%38.8%41.5%
Put IV 25d45.5%36.5%53.9%44.7%38.4%
Bid-Ask Spread %38.6516.0976.3528.2922.17
Gamma HHI0.250.180.630.240.27
Net GEX2.4K-10.7K53.4K12.5K-9.3K
Net DEX623.2K167.3K1.1M490.1K749.3K
Net VEX-8.1K-9.7K-6.2K-9.1K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.003.332.040.00
Total Volume42.45531977019
Total OI3,0072,2833,4933,4752,312

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$16.47$15.0030.8%8.8%35.7%20.6%38.9%6.0%4.4%12.5K490.1K-9.1K2.0428.29N/AN/A23472,1451,330
2008-07-02$15.98$15.0043.0%12.3%35.7%47.4%0.0%1.4%3.0%5.9K601.9K-8.6K0.0037.53N/AN/A0202,1441,326
2008-07-03$16.03$15.0039.8%11.4%34.1%35.6%0.0%11.3%6.6%3.3K666.0K-8.5K0.0075.81N/AN/A0202,1441,338
2008-07-07$16.23$15.0051.7%13.5%33.9%63.9%0.0%2.6%0.5%7.6K581.7K-8.5K2.5028.24N/AN/A4102,1441,338
2008-07-08$16.58$15.0039.1%13.4%33.3%34.1%0.0%4.0%-4.8%10.0K559.5K-8.7K3.3328.53N/AN/A3102,1481,338
2008-07-09$15.98$15.0036.6%13.4%34.7%28.2%0.0%-3.6%-0.2%1.8K653.1K-8.2K0.1035.21N/AN/A100102,1451,348
2008-07-10$16.27$15.0047.9%13.7%35.2%54.7%0.0%2.3%-5.7%-3.1K704.7K-8.3K0.0051.91N/AN/A502,0511,357
2008-07-11$16.70$15.0045.2%13.0%36.6%48.5%0.0%16.6%-2.1%4.9K526.7K-8.8K0.0021.44N/AN/A032,0511,357
2008-07-14$16.11$15.0052.3%15.0%37.6%65.3%0.0%1.2%-3.3%-4.0K668.2K-8.1K2.8032.17N/AN/A10282,0511,357
2008-07-15$16.20$15.0054.2%15.6%37.4%69.9%0.0%11.8%-5.8%-3.8K674.4K-8.2K0.8764.77N/AN/A15132,0511,354
2008-07-16$17.03$15.0046.4%13.3%41.6%51.4%0.0%17.5%-4.4%10.4K453.9K-8.8K0.1745.05N/AN/A70122,0461,361
2008-07-17$17.37$15.0048.8%14.0%42.2%57.1%0.0%5.2%-5.5%20.1K330.2K-9.0K0.0035.65N/AN/A1502,0571,366
2008-07-18$17.57$15.0041.8%12.0%41.7%40.3%41.8%9.8%0.8%53.4K218.2K-9.1K1.3342.52N/AN/A12162,0581,366
2008-07-21$17.51$17.5040.3%11.5%41.4%36.8%0.0%2.4%2.5%-4.5K454.8K-8.9K0.8344.80N/AN/A12109801,303
2008-07-22$18.37$17.5046.5%13.3%44.1%51.4%46.4%2.6%-3.5%-3.1K353.7K-9.3K0.4748.16N/AN/A43209921,313
2008-07-23$19.02$17.5041.0%11.8%44.4%38.6%43.0%16.6%-5.3%-572167.3K-9.7K1.1048.28N/AN/A39431,0241,327
2008-07-24$14.68$17.5050.6%14.5%103.3%61.2%44.0%-2.0%-5.7%-10.2K1.1M-6.6K0.9976.35N/AN/A99981,0621,370
2008-07-25$14.31$17.5045.0%12.9%103.3%48.0%39.8%8.5%0.9%-9.8K1.0M-6.3K1.0031.18N/AN/A35351,0951,361
2008-07-28$14.51$17.5048.0%13.7%103.3%55.0%0.0%-6.0%-3.5%-9.6K1.0M-6.3K0.0016.09N/AN/A0231,1091,351
2008-07-29$14.92$17.5043.3%12.4%103.1%43.9%0.0%2.9%-0.7%-10.7K971.7K-6.7K0.7519.07N/AN/A431,1091,368
2008-07-30$14.68$15.0046.1%13.2%103.0%50.6%46.1%1.3%-4.7%-9.5K765.6K-6.2K0.0017.06N/AN/A501,1091,198
2008-07-31$14.64$15.0047.4%13.6%102.6%53.7%37.9%-3.1%-3.5%-9.3K749.3K-6.2K0.0022.17N/AN/A0191,1141,198