BHE Options History — August 2008

In August 2008, BHE traded between $15.09 and $17.59. ATM implied volatility averaged 39.9%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 43.4% (HV 20d: 83.3%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.77.

Notable Days

  • 2008-08-01: Highest Volume — 90 contracts
  • 2008-08-11: Largest IV spike — 29.8% change
  • 2008-08-05: Highest IV Rank — 55.7%
  • 2008-08-01: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.56$15.09$17.59$15.25$16.49
Max Pain$15.36$12.50$17.50$15.00$17.50
ATM IV39.9%31.6%48.3%45.3%36.9%
Expected Move11.6%10.4%13.0%13.0%10.6%
HV 20d83.3%38.4%106.4%103.9%39.4%
HV 60d65.7%63.7%66.7%63.7%66.2%
IV Rank27.3%2.1%55.7%48.7%16.6%
IV Percentile41.6%1.2%82.5%71.8%18.3%
Term Structure0.7%-5.0%3.7%-5.0%0.4%
VWIV40.7%38.0%45.3%45.3%38.8%
Skew 25d9.2%0.9%18.8%7.9%6.0%
Skew 10d13.8%2.1%23.3%10.1%10.6%
Call IV 25d33.8%24.8%42.5%34.4%35.8%
Put IV 25d43.0%38.7%47.1%42.3%41.8%
Bid-Ask Spread %36.1716.2765.0622.0238.62
Gamma HHI0.240.190.290.290.26
Net GEX-5.7K-11.8K16.8K-10.2K-9.1K
Net DEX404.1K109.8K736.3K736.3K459.4K
Net VEX-7.4K-8.2K-6.5K-6.6K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.770.0012.502.750.00
Total Volume28.476090900
Total OI2,355.9052,2562,5012,3172,317

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$15.25$15.0045.3%13.0%103.9%48.7%45.3%7.9%-5.0%-10.2K736.3K-6.6K2.7522.02N/AN/A24661,1141,203
2008-08-04$15.09$12.5046.8%12.6%103.8%52.3%0.0%4.6%-0.1%-11.8K727.3K-6.5K1.5031.38N/AN/A8121,1271,235
2008-08-05$15.96$12.5048.3%11.8%105.6%55.7%41.2%5.3%0.6%-10.7K590.8K-7.1K0.3731.01N/AN/A62231,1301,235
2008-08-06$15.97$12.5037.8%11.9%104.8%31.0%0.0%3.5%2.7%-10.3K553.9K-7.2K0.0043.49N/AN/A001,1291,247
2008-08-07$15.88$12.5037.8%12.0%104.6%31.0%0.0%2.2%-0.8%-10.5K551.7K-7.2K0.0016.27N/AN/A601,1291,247
2008-08-08$16.85$12.5031.6%11.3%106.4%2.1%40.4%16.9%0.6%-5.0K324.3K-7.8K1.4244.19N/AN/A31441,1321,247
2008-08-11$17.30$15.0041.0%11.5%105.8%28.2%39.8%18.8%2.6%-2.7K253.0K-8.0K0.0565.06N/AN/A2011,1501,273
2008-08-12$17.31$15.0045.3%11.8%105.8%40.1%41.3%10.4%-0.6%-1.3K175.8K-8.1K0.2553.62N/AN/A40101,1691,272
2008-08-13$16.94$15.0033.3%11.8%104.7%6.8%0.0%2.6%0.5%-1.7K263.8K-8.0K0.0057.48N/AN/A001,2091,272
2008-08-14$17.37$15.0039.5%11.3%104.8%23.9%0.0%18.4%-0.3%3.3K216.2K-8.0K0.0030.86N/AN/A0201,2091,272
2008-08-15$17.59$15.0036.4%10.4%104.9%15.3%0.0%15.2%1.9%16.8K109.8K-8.2K0.0034.32N/AN/A7001,2091,292
2008-08-18$17.45$15.0038.0%10.9%104.9%20.0%38.0%14.5%3.6%-6.7K192.0K-8.1K10.0052.84N/AN/A7701,0991,212
2008-08-19$17.02$15.0041.9%12.0%103.6%30.5%42.1%12.4%-1.7%-5.2K252.4K-7.7K0.0030.39N/AN/A0121,1041,152
2008-08-20$16.92$17.5039.1%11.2%102.6%23.0%39.1%11.9%0.5%-6.3K298.3K-7.6K0.0022.43N/AN/A2601,1041,164
2008-08-21$16.79$17.5037.8%10.8%40.2%19.2%0.0%13.2%1.3%-6.2K324.8K-7.5K0.0021.87N/AN/A101,1301,164
2008-08-22$16.98$17.5037.4%10.7%38.4%18.2%0.0%9.7%1.7%-6.2K296.6K-7.5K0.0029.53N/AN/A001,1311,164
2008-08-25$16.39$17.5038.1%10.9%41.3%20.1%0.0%2.8%1.2%-7.7K442.9K-7.0K12.5029.37N/AN/A2251,1311,164
2008-08-26$15.99$17.5037.9%10.9%41.9%19.4%38.8%0.9%3.7%-9.2K572.9K-6.7K10.0033.76N/AN/A1101,1311,174
2008-08-27$16.09$17.5043.2%12.4%41.2%34.3%0.0%6.8%3.2%-9.6K565.5K-6.7K0.0034.55N/AN/A701,1301,184
2008-08-28$16.16$17.5044.0%12.6%41.1%36.6%0.0%10.2%-0.6%-10.1K578.5K-6.7K0.0036.59N/AN/A001,1331,184
2008-08-29$16.49$17.5036.9%10.6%39.4%16.6%0.0%6.0%0.4%-9.1K459.4K-6.9K0.0038.62N/AN/A001,1331,184