BHE Options History — September 2008

In September 2008, BHE traded between $14.08 and $16.35. ATM implied volatility averaged 48.3%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 7.4% (HV 20d: 41.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 6.55.

Notable Days

  • 2008-09-29: Highest Volume — 521 contracts
  • 2008-09-22: Largest IV spike — 21.1% change
  • 2008-09-22: Highest IV Rank — 64.6%
  • 2008-09-22: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.23$14.08$16.35$16.35$14.08
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV48.3%39.3%54.2%39.3%45.9%
Expected Move13.8%11.3%15.5%11.3%13.2%
HV 20d41.0%32.3%50.7%39.3%50.7%
HV 60d67.8%65.9%69.7%66.1%69.6%
IV Rank48.4%23.3%64.6%23.3%41.8%
IV Percentile77.7%39.3%92.5%39.3%67.1%
Term Structure0.5%-3.6%9.4%-1.6%7.7%
VWIV46.2%37.1%52.6%52.6%47.9%
Skew 25d7.4%-11.5%25.8%-11.5%-10.1%
Skew 10d13.6%-10.9%39.9%-0.0%-10.9%
Call IV 25d41.5%30.8%51.6%39.5%46.2%
Put IV 25d48.9%28.1%70.5%28.1%36.1%
Bid-Ask Spread %50.5021.0889.8253.4689.52
Gamma HHI0.340.270.820.280.82
Net GEX-12.9K-43.9K-9.3K-10.1K-43.9K
Net DEX781.4K512.5K1.6M512.5K1.6M
Net VEX-5.7K-6.6K-4.9K-6.6K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.550.0051.101.000.00
Total Volume59.286052163
Total OI2,356.7622,2093,0042,3173,004

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$16.35$17.5039.3%11.3%39.3%23.3%0.0%-11.5%-1.6%-10.1K512.5K-6.6K1.0053.46N/AN/A331,1331,184
2008-09-03$15.99$17.5043.8%12.6%35.1%35.9%0.0%3.4%-2.8%-10.5K584.0K-6.4K0.0037.19N/AN/A001,1331,185
2008-09-04$15.37$17.5042.1%12.1%37.8%31.1%0.0%10.1%0.4%-10.4K721.5K-5.9K10.0021.08N/AN/A1101,1331,185
2008-09-05$15.37$17.5046.1%13.3%37.8%42.3%0.0%7.1%1.0%-10.4K752.7K-5.8K0.0035.76N/AN/A031,1341,195
2008-09-08$15.80$17.5043.1%12.8%32.3%34.0%0.0%1.6%2.1%-11.2K699.8K-6.1K10.0041.70N/AN/A1101,1341,198
2008-09-09$15.16$17.5047.7%13.0%33.0%46.7%0.0%-4.3%2.2%-10.8K770.1K-5.6K0.2047.83N/AN/A3061,1341,205
2008-09-10$15.60$17.5052.9%14.2%35.3%61.0%0.0%13.3%-2.8%-10.5K693.3K-5.9K0.0041.56N/AN/A001,1641,194
2008-09-11$15.80$17.5048.9%14.0%35.2%50.0%0.0%13.8%0.2%-11.2K688.0K-6.0K0.0057.66N/AN/A001,1641,194
2008-09-12$15.50$17.5048.1%13.8%34.0%47.7%0.0%-1.0%-1.1%-10.7K716.1K-5.8K0.0049.10N/AN/A001,1641,194
2008-09-15$15.05$17.5052.6%15.1%34.2%60.2%52.6%10.6%-2.8%-9.6K729.2K-5.7K0.5036.87N/AN/A20101,1641,194
2008-09-16$15.54$17.5051.8%14.8%37.0%57.9%0.0%12.8%-3.6%-11.0K699.2K-5.7K1.0336.33N/AN/A29301,1701,177
2008-09-17$14.75$17.5052.6%15.1%40.0%60.1%0.0%7.6%-1.8%-9.3K772.0K-5.4K0.0052.06N/AN/A061,1691,193
2008-09-18$15.48$17.5050.0%14.3%44.6%53.0%47.0%11.0%-0.4%-11.3K705.6K-5.9K3.4373.55N/AN/A23791,1691,199
2008-09-19$15.71$17.5044.7%12.8%45.1%38.5%37.1%-5.3%2.5%-16.9K700.0K-5.9K0.0089.82N/AN/A1001,1671,258
2008-09-22$14.84$17.5054.2%15.5%48.6%64.6%0.0%4.9%-2.9%-10.2K768.5K-5.4K0.0062.59N/AN/A001,0651,144
2008-09-23$14.73$17.5051.2%14.7%47.4%56.4%0.0%4.8%0.9%-10.1K786.9K-5.2K3.3336.09N/AN/A3101,0751,144
2008-09-24$14.66$17.5052.8%15.2%46.8%60.9%0.0%19.4%-2.3%-9.8K811.7K-5.1K0.0025.28N/AN/A301,0781,135
2008-09-25$14.64$17.5051.5%14.8%46.7%57.1%0.0%20.0%1.2%-9.9K819.1K-4.9K0.0028.97N/AN/A2101,0751,135
2008-09-26$15.09$17.5046.4%13.3%48.2%43.2%46.4%21.3%4.2%-10.4K800.9K-5.2K11.0655.06N/AN/A343761,0961,135
2008-09-29$14.28$17.5048.7%14.0%50.7%49.5%47.9%25.8%9.4%-22.2K1.0M-5.4K51.1088.94N/AN/A105111,1081,411
2008-09-30$14.08$17.5045.9%13.2%50.7%41.8%0.0%-10.1%7.7%-43.9K1.6M-5.4K0.0089.52N/AN/A301,1041,900