BHE Options History — October 2008

In October 2008, BHE traded between $9.28 and $14.27. ATM implied volatility averaged 78.9%, placing in the 71.5% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded above realized volatility by 8.6% (HV 20d: 70.3%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.36.

Notable Days

  • 2008-10-24: Highest Volume — 118 contracts
  • 2008-10-06: Largest IV spike — 47.2% change
  • 2008-10-06: Highest IV Rank — 100.0%
  • 2008-10-08: Largest Expected Move — 26.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.77$9.28$14.27$14.27$11.99
Max Pain$12.83$10.00$17.50$17.50$10.00
ATM IV78.9%50.6%105.7%50.6%58.5%
Expected Move22.2%14.5%26.5%14.5%16.8%
HV 20d70.3%50.9%94.3%50.9%94.3%
HV 60d66.5%56.2%76.9%69.6%65.1%
IV Rank71.5%36.9%100.0%54.6%36.9%
IV Percentile96.3%84.1%100.0%84.1%88.5%
Term Structure-6.1%-14.3%7.2%5.4%7.2%
VWIV71.8%57.3%86.9%60.2%58.8%
Skew 25d15.8%-12.2%41.1%12.4%24.3%
Skew 10d31.4%-27.5%60.5%18.7%37.9%
Call IV 25d66.9%38.3%89.5%48.3%48.6%
Put IV 25d82.7%59.1%97.8%60.7%73.0%
Bid-Ask Spread %51.6322.3784.8469.9034.65
Gamma HHI0.380.180.800.800.18
Net GEX-7.2K-45.5K-87-45.5K-416
Net DEX1.0M159.9K1.7M1.6M159.9K
Net VEX-3.1K-5.6K-2.0K-5.6K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.008.674.330.44
Total Volume36.34801181665
Total OI2,389.5651,5193,0893,0011,646

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$14.27$17.5050.6%14.5%50.9%54.6%60.2%12.4%5.4%-45.5K1.6M-5.6K4.3369.90N/AN/A3131,1011,900
2008-10-02$13.47$17.5061.8%17.7%52.9%85.8%0.0%-0.2%4.8%-34.4K1.7M-5.1K0.0035.92N/AN/A0101,1041,891
2008-10-03$13.27$17.5059.2%17.0%52.9%78.4%0.0%20.0%4.6%-30.1K1.7M-4.7K0.0052.05N/AN/A5401,1041,842
2008-10-06$12.70$15.0087.1%21.5%52.8%100.0%74.1%25.9%-14.3%-20.4K1.6M-4.5K1.1752.28N/AN/A18211,1571,842
2008-10-07$11.14$15.0083.2%22.3%67.2%93.0%79.1%1.7%-7.4%-6.4K1.6M-3.7K1.0058.65N/AN/A10101,1631,851
2008-10-08$10.83$12.50101.7%26.5%65.3%100.0%86.9%15.4%-11.6%-4.6K1.6M-3.2K0.4147.45N/AN/A79321,1731,857
2008-10-09$10.04$12.50105.7%25.0%67.3%100.0%0.0%1.0%-8.8%-2.4K1.5M-3.1K1.3163.53N/AN/A36471,2251,864
2008-10-10$10.27$12.5098.4%24.4%69.2%90.3%84.3%2.5%-12.9%-2.2K1.5M-3.1K0.1684.84N/AN/A1931,2151,770
2008-10-13$10.88$12.5084.8%24.9%74.4%72.1%0.0%4.6%-12.0%-2.1K1.6M-3.0K8.6784.03N/AN/A3261,2251,839
2008-10-14$10.54$12.5062.0%23.8%72.3%41.6%0.0%-12.2%-11.4%-1.8K1.6M-3.1K7.6749.61N/AN/A6461,2251,839
2008-10-15$9.73$12.5086.5%26.1%74.6%74.4%0.0%2.4%-12.9%-2.1K1.5M-2.7K0.0054.41N/AN/A001,2231,833
2008-10-16$9.79$12.5091.8%26.3%70.9%81.4%0.0%11.9%-12.9%-2.4K1.4M-2.5K0.0045.17N/AN/A401,2231,731
2008-10-17$9.86$12.5087.7%25.1%70.4%76.0%0.0%16.1%-11.5%-4.6K1.4M-2.4K0.0034.28N/AN/A3101,2231,719
2008-10-20$10.12$12.5082.1%23.5%71.3%68.4%0.0%12.9%-10.0%-827452.0K-2.5K0.7142.37N/AN/A1410853708
2008-10-21$9.68$12.5085.6%24.5%71.7%73.1%0.0%14.5%-12.6%-798451.6K-2.3K0.0028.36N/AN/A50861718
2008-10-22$9.44$10.0083.3%23.9%71.4%70.0%0.0%11.0%-9.2%-613392.7K-2.3K0.0054.98N/AN/A00864670
2008-10-23$9.60$10.0078.5%22.5%72.4%63.6%78.5%33.5%-7.5%-666410.5K-2.2K0.6045.31N/AN/A3521864664
2008-10-24$9.28$12.5074.1%21.2%69.9%57.8%57.3%41.1%-4.7%-827387.6K-2.0K0.7477.55N/AN/A6850864655
2008-10-27$9.31$12.5075.6%21.7%69.6%59.7%75.5%35.8%0.2%-723332.4K-2.1K0.0022.37N/AN/A360931647
2008-10-28$10.39$12.5071.9%20.6%83.7%54.8%71.8%38.2%0.0%-542297.0K-2.5K0.0041.28N/AN/A390963634
2008-10-29$10.18$10.0074.3%21.3%83.1%58.0%63.4%17.5%-0.7%-87245.7K-2.7K0.0070.41N/AN/A2101,000634
2008-10-30$11.01$10.0071.5%20.5%88.1%54.3%0.0%33.2%-2.4%-179215.1K-2.9K0.0038.14N/AN/A101,011634
2008-10-31$11.99$10.0058.5%16.8%94.3%36.9%58.8%24.3%7.2%-416159.9K-3.2K0.4434.65N/AN/A45201,012634