BHE Options History — January 2009

In January 2009, BHE traded between $11.10 and $13.41. ATM implied volatility averaged 64.9%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 17.2% (HV 20d: 47.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.07.

Notable Days

2009-01-07: Highest Volume — 90 contracts
2009-01-15: Largest IV spike — 75.8% change
2009-01-23: Highest IV Rank — 64.9%
2009-01-23: Largest Expected Move — 22.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.20	$11.10	$13.41	$12.89	$11.74
Max Pain	$10.13	$10.00	$12.50	$12.50	$10.00
ATM IV	64.9%	38.5%	79.4%	65.5%	58.1%
Expected Move	19.0%	16.7%	22.8%	18.8%	16.7%
HV 20d	47.7%	34.7%	56.8%	56.8%	52.8%
HV 60d	71.9%	67.4%	75.5%	75.5%	67.4%
IV Rank	45.5%	10.3%	64.9%	46.4%	36.4%
IV Percentile	75.8%	14.3%	92.1%	81.0%	67.5%
Term Structure	-2.7%	-10.4%	3.7%	0.2%	3.7%
VWIV	64.8%	62.1%	68.1%	65.2%	63.8%
Skew 25d	16.9%	7.5%	25.8%	15.4%	17.9%
Skew 10d	27.3%	8.0%	46.7%	19.0%	27.4%
Call IV 25d	56.0%	45.4%	68.2%	45.4%	53.0%
Put IV 25d	72.9%	60.9%	81.4%	60.9%	70.9%
Bid-Ask Spread %	59.00	18.88	74.83	18.88	74.83
Gamma HHI	0.29	0.17	0.47	0.17	0.33
Net GEX	854	-5.2K	5.1K	-718	4.5K
Net DEX	65.5K	-35.1K	183.9K	61.2K	51.0K
Net VEX	-3.5K	-4.0K	-3.0K	-3.9K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.50	0.00	0.42
Total Volume	22	0	90	10	68
Total OI	1,724.95	1,252	2,153	2,054	1,298

Daily Data (20 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
2009-01-02	$12.89	$12.50	65.5%	18.8%	56.8%	46.4%	0.0%	15.4%	0.2%	-718	61.2K	-3.9K	0.00	18.88	N/A	N/A	10	0	1,195	859
2009-01-05	$13.13	$10.00	69.5%	19.3%	53.7%	51.6%	0.0%	19.6%	-1.7%	-491	16.8K	-3.9K	0.00	63.37	N/A	N/A	10	0	1,205	859
2009-01-06	$13.41	$10.00	66.3%	18.7%	47.9%	47.3%	0.0%	21.6%	-0.4%	-541	-35.1K	-3.9K	0.00	62.46	N/A	N/A	20	0	1,210	859
2009-01-07	$13.00	$10.00	67.7%	18.1%	47.0%	49.3%	0.0%	9.8%	1.4%	-367	24.7K	-3.8K	0.50	64.21	N/A	N/A	60	30	1,230	859
2009-01-08	$12.87	$10.00	70.4%	18.9%	46.4%	52.9%	65.2%	13.6%	-2.2%	-41	29.3K	-4.0K	0.00	58.00	N/A	N/A	10	0	1,274	879
2009-01-09	$12.43	$10.00	65.8%	18.9%	47.7%	46.7%	0.0%	14.5%	-4.6%	-31	19.5K	-3.8K	0.00	69.28	N/A	N/A	20	0	1,284	831
2009-01-12	$12.40	$10.00	64.1%	19.0%	44.0%	44.4%	0.0%	13.9%	-3.8%	-990	50.3K	-3.7K	0.00	63.52	N/A	N/A	0	0	1,284	831
2009-01-13	$12.41	$10.00	57.7%	18.5%	36.4%	35.9%	0.0%	16.8%	-2.1%	-1.7K	77.2K	-3.6K	0.00	63.41	N/A	N/A	0	0	1,284	831
2009-01-14	$12.13	$10.00	38.5%	19.5%	37.0%	10.3%	0.0%	15.2%	-5.0%	-2.4K	183.9K	-3.6K	0.00	72.08	N/A	N/A	20	0	1,244	827
2009-01-15	$12.45	$10.00	67.7%	19.4%	34.7%	49.3%	68.1%	9.9%	-5.0%	-3.3K	107.9K	-3.6K	0.00	51.23	N/A	N/A	10	0	1,242	827
2009-01-16	$12.62	$10.00	63.6%	18.2%	35.1%	43.7%	62.1%	18.8%	1.3%	-5.2K	63.7K	-3.6K	0.02	69.53	N/A	N/A	85	2	1,252	827
2009-01-20	$11.39	$10.00	68.7%	19.7%	49.9%	50.6%	0.0%	7.5%	-6.6%	3.1K	58.1K	-3.2K	0.00	66.52	N/A	N/A	28	0	704	548
2009-01-21	$11.54	$10.00	64.8%	18.6%	50.1%	45.4%	0.0%	18.9%	-1.3%	2.9K	89.7K	-3.2K	0.00	53.65	N/A	N/A	20	0	704	548
2009-01-22	$11.21	$10.00	77.1%	22.1%	50.3%	61.8%	0.0%	17.6%	-7.9%	3.1K	115.8K	-3.1K	0.00	48.40	N/A	N/A	10	0	724	548
2009-01-23	$11.10	$10.00	79.4%	22.8%	50.2%	64.9%	0.0%	18.1%	-10.4%	2.8K	136.5K	-3.0K	0.00	57.11	N/A	N/A	0	0	734	548
2009-01-26	$11.56	$10.00	64.4%	18.5%	52.7%	44.9%	0.0%	25.1%	-1.6%	3.3K	110.2K	-3.1K	0.00	58.68	N/A	N/A	0	0	734	548
2009-01-27	$11.69	$10.00	63.4%	18.2%	53.0%	43.6%	63.8%	18.6%	-1.2%	3.7K	86.9K	-3.2K	0.00	71.65	N/A	N/A	27	0	734	548
2009-01-28	$12.22	$10.00	61.7%	17.7%	54.5%	41.2%	0.0%	25.8%	-2.8%	5.1K	17.0K	-3.4K	0.00	33.06	N/A	N/A	0	10	755	533
2009-01-29	$11.76	$10.00	64.0%	18.4%	54.5%	44.3%	0.0%	19.6%	-3.1%	4.3K	45.4K	-3.3K	0.00	60.22	N/A	N/A	0	0	755	543
2009-01-30	$11.74	$10.00	58.1%	16.7%	52.8%	36.4%	0.0%	17.9%	3.7%	4.5K	51.0K	-3.3K	0.42	74.83	N/A	N/A	48	20	755	543