BHE Options History — December 2008

In December 2008, BHE traded between $11.00 and $13.28. ATM implied volatility averaged 74.0%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded below realized volatility by 11.0% (HV 20d: 85.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2008-12-30: Highest Volume — 98 contracts
  • 2008-12-02: Largest IV drop — 17.9% change
  • 2008-12-04: Highest IV Rank — 80.4%
  • 2008-12-04: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.36$11.00$13.28$11.00$12.77
Max Pain$12.05$10.00$12.50$10.00$12.50
ATM IV74.0%59.5%91.0%88.9%60.3%
Expected Move21.0%17.1%26.1%25.5%17.3%
HV 20d85.0%57.3%95.9%87.6%57.3%
HV 60d80.8%79.0%81.8%79.0%80.3%
IV Rank57.6%38.3%80.4%77.6%39.3%
IV Percentile87.6%73.8%98.0%98.0%74.2%
Term Structure-1.6%-14.3%14.3%14.3%3.4%
VWIV75.6%44.9%116.5%116.5%60.3%
Skew 25d18.2%-11.1%39.4%37.6%-10.3%
Skew 10d37.5%-18.2%71.9%40.9%-18.2%
Call IV 25d64.1%45.7%81.9%64.0%63.4%
Put IV 25d82.3%52.4%116.4%101.7%53.0%
Bid-Ask Spread %46.6815.9390.7352.9617.46
Gamma HHI0.250.160.350.210.17
Net GEX1.7K4843.0K1.6K484
Net DEX3.8K-226.9K167.5K78.2K59.1K
Net VEX-3.7K-4.3K-2.9K-3.2K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.002.630.232.17
Total Volume30.5451981673
Total OI1,951.5911,8652,1021,8651,995

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$11.00$10.0088.9%25.5%87.6%77.6%0.0%37.6%14.3%1.6K78.2K-3.2K0.2352.96N/AN/A1331,176689
2008-12-02$11.43$10.0073.0%20.9%88.8%56.3%116.5%39.4%-14.3%1.7K167.5K-2.9K0.0059.26N/AN/A0101,183691
2008-12-03$11.74$10.0078.8%22.6%89.4%64.1%90.3%36.3%-4.0%1.7K107.8K-3.2K1.0087.55N/AN/A10101,183699
2008-12-04$11.21$10.0091.0%26.1%90.0%80.4%86.8%14.9%-12.2%1.4K107.7K-3.2K1.0064.66N/AN/A10101,187709
2008-12-05$12.08$12.5075.6%20.6%94.1%59.8%0.0%19.7%-0.8%1.5K88.3K-3.3K0.0090.08N/AN/A2101,187719
2008-12-08$12.65$12.5078.1%21.4%95.4%63.2%0.0%14.1%-4.6%2.0K-34.5K-3.6K2.0041.24N/AN/A10201,198719
2008-12-09$12.39$12.5086.9%22.3%95.7%74.8%91.5%16.3%-5.0%2.0K-38.2K-3.7K0.0040.94N/AN/A0261,208739
2008-12-10$12.64$12.5079.5%22.0%95.9%65.1%72.3%16.4%-4.7%1.9K-38.3K-3.8K0.0040.68N/AN/A201,208748
2008-12-11$12.02$12.5079.2%22.7%92.7%64.6%81.9%1.3%-5.7%1.7K-3.1K-3.6K0.0044.74N/AN/A101,206748
2008-12-12$12.86$12.5073.1%21.0%92.3%56.4%59.7%23.3%2.5%2.0K-41.9K-3.6K0.1332.53N/AN/A78101,207748
2008-12-15$12.72$12.5077.8%22.3%89.3%62.7%69.0%12.6%-3.2%2.4K-92.4K-3.9K0.5435.08N/AN/A56301,274757
2008-12-16$13.28$12.5076.9%22.0%90.2%61.5%0.0%17.9%-3.9%3.0K-216.3K-4.3K0.0045.11N/AN/A0101,298787
2008-12-17$13.17$12.5077.3%22.2%90.4%62.1%0.0%20.6%-4.0%2.5K-226.9K-4.3K0.0036.18N/AN/A011,298797
2008-12-18$13.23$12.5073.0%20.9%83.5%56.4%67.5%18.7%-3.4%2.0K-199.4K-4.1K0.8336.43N/AN/A12101,298797
2008-12-19$12.93$12.5070.5%20.2%83.1%53.0%0.0%9.7%-3.2%2.2K-166.9K-4.1K0.0090.73N/AN/A801,295807
2008-12-22$12.63$12.5069.1%19.8%81.3%51.2%61.8%14.2%-0.9%1.2K27.0K-3.8K1.0029.98N/AN/A10101,160733
2008-12-23$12.40$12.5062.5%17.9%80.6%42.3%44.9%-11.1%6.7%82443.3K-3.7K0.0050.53N/AN/A2601,160743
2008-12-24$12.29$12.5065.9%18.9%80.3%46.9%73.7%25.1%3.9%1.2K93.9K-3.7K0.1732.61N/AN/A4881,131743
2008-12-26$12.22$12.5064.7%18.5%77.5%45.2%64.7%27.3%0.3%1.4K99.9K-3.7K0.5644.77N/AN/A18101,153743
2008-12-29$11.89$12.5066.1%18.9%76.6%47.1%0.0%25.4%-0.0%988131.4K-3.6K0.0037.52N/AN/A1001,149753
2008-12-30$12.35$12.5059.5%17.1%57.7%38.3%93.7%31.2%2.7%1.2K137.7K-3.6K2.6315.93N/AN/A27711,159753
2008-12-31$12.77$12.5060.3%17.3%57.3%39.3%60.3%-10.3%3.4%48459.1K-3.8K2.1717.46N/AN/A23501,176819