BHE Options History — November 2008 In November 2008, BHE traded between $9.98 and $12.68. ATM implied volatility averaged 71.3%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 7.7% (HV 20d: 79.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.27.
Notable Days 2008-11-24 : Highest Volume — 107 contracts2008-11-14 : Largest IV spike — 22.5% change2008-11-20 : Highest IV Rank — 89.2%2008-11-20 : Largest Expected Move — 28.0%Monthly Statistics Metric Avg Min Max Open Close Price $11.44 $9.98 $12.68 $12.13 $12.68 Max Pain $11.58 $10.00 $12.50 $10.00 $10.00 ATM IV 71.3% 60.5% 97.6% 64.8% 62.6% Expected Move 20.6% 17.4% 28.0% 18.6% 18.0% HV 20d 79.0% 71.0% 93.3% 93.3% 76.7% HV 60d 67.6% 63.4% 73.7% 63.8% 73.7% IV Rank 54.1% 39.7% 89.2% 45.4% 42.5% IV Percentile 92.3% 86.1% 98.8% 92.5% 86.1% Term Structure 1.3% -13.7% 8.3% -0.9% 5.2% VWIV 67.0% 43.0% 88.9% 46.6% 62.6% Skew 25d 14.0% -7.2% 35.8% 24.3% 24.9% Skew 10d 31.7% 6.7% 58.1% 39.2% 38.3% Call IV 25d 62.3% 44.4% 86.0% 47.8% 46.3% Put IV 25d 76.3% 46.9% 96.8% 72.2% 71.2% Bid-Ask Spread % 58.07 35.61 78.87 35.61 62.06 Gamma HHI 0.19 0.16 0.27 0.19 0.20 Net GEX 379 -507 1.6K -401 1.4K Net DEX 144.3K 15.0K 219.8K 101.9K 15.0K Net VEX -3.1K -3.5K -2.5K -3.4K -3.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.27 0.00 1.25 0.00 0.26 Total Volume 27.632 0 107 12 53 Total OI 1,756.737 1,662 1,812 1,701 1,812
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-11-03 $12.13 $10.00 64.8% 18.6% 93.3% 45.4% 0.0% 24.3% -0.9% -401 101.9K -3.4K 0.00 35.61 N/A N/A 0 12 1,053 648 2008-11-04 $12.17 $10.00 65.3% 18.7% 80.0% 46.1% 46.6% 1.0% 1.6% -507 91.9K -3.5K 0.00 44.40 N/A N/A 16 0 1,053 658 2008-11-05 $11.75 $10.00 60.8% 17.4% 80.4% 40.1% 43.0% -7.2% 6.8% -118 113.0K -3.4K 0.00 42.59 N/A N/A 28 0 1,063 658 2008-11-06 $11.70 $10.00 64.7% 18.5% 74.8% 45.2% 75.5% 14.3% -0.5% -401 144.5K -3.2K 0.25 37.85 N/A N/A 40 10 1,064 658 2008-11-07 $11.83 $12.50 62.4% 19.0% 74.6% 42.2% 0.0% 30.1% -2.3% -108 130.6K -3.2K 0.00 62.66 N/A N/A 10 0 1,094 668 2008-11-10 $11.80 $12.50 68.7% 19.0% 72.2% 50.6% 66.5% 13.2% -1.8% -200 118.2K -3.3K 0.10 60.70 N/A N/A 10 1 1,091 668 2008-11-11 $11.79 $12.50 66.8% 19.4% 71.0% 48.0% 0.0% 11.8% -0.5% -9 109.0K -3.3K 0.00 46.27 N/A N/A 0 0 1,101 669 2008-11-12 $10.85 $12.50 64.7% 21.1% 71.5% 45.3% 0.0% 8.3% 4.8% 232 183.6K -2.9K 0.00 69.22 N/A N/A 0 35 1,101 669 2008-11-13 $11.65 $12.50 60.5% 17.4% 75.2% 39.7% 59.0% 35.8% 2.1% -195 187.8K -3.1K 0.00 58.40 N/A N/A 0 20 1,101 684 2008-11-14 $10.97 $12.50 74.2% 21.3% 79.1% 57.9% 0.0% 10.3% 2.0% 497 162.1K -3.0K 0.00 63.52 N/A N/A 0 0 1,101 669 2008-11-17 $11.02 $12.50 82.8% 23.7% 78.7% 69.4% 71.7% 24.3% 3.4% 421 194.5K -2.9K 1.25 71.58 N/A N/A 4 5 1,101 669 2008-11-18 $11.19 $12.50 76.4% 21.9% 76.6% 60.9% 0.0% 6.0% 4.1% 445 165.5K -3.1K 0.00 74.45 N/A N/A 10 0 1,103 674 2008-11-19 $10.28 $12.50 85.4% 24.5% 82.7% 72.9% 0.0% 6.7% -4.2% 862 205.7K -2.8K 0.00 44.76 N/A N/A 10 0 1,104 674 2008-11-20 $9.98 $12.50 97.6% 28.0% 83.4% 89.2% 88.9% 10.8% -13.7% 1.0K 188.0K -2.8K 0.17 59.60 N/A N/A 48 8 1,114 664 2008-11-21 $10.69 $12.50 78.1% 22.4% 85.4% 63.1% 77.4% 8.4% 3.2% 1.6K 219.8K -2.5K 0.75 66.12 N/A N/A 20 15 1,140 664 2008-11-24 $11.19 $12.50 83.2% 23.9% 86.5% 69.9% 79.6% 12.5% 3.6% 219 196.2K -2.8K 0.35 57.47 N/A N/A 79 28 1,032 630 2008-11-25 $11.48 $10.00 68.9% 19.8% 78.3% 50.9% 0.0% 9.2% 4.2% 1.1K 141.5K -3.1K 0.00 78.87 N/A N/A 0 10 1,100 658 2008-11-26 $12.20 $10.00 66.9% 19.2% 80.1% 48.2% 66.1% 21.5% 8.3% 1.3K 72.4K -3.3K 0.33 67.28 N/A N/A 40 13 1,100 668 2008-11-28 $12.68 $10.00 62.6% 18.0% 76.7% 42.5% 62.6% 24.9% 5.2% 1.4K 15.0K -3.5K 0.26 62.06 N/A N/A 42 11 1,134 678
« Oct 2008 | All History | Dec 2008 » Home BHE History November 2008