BHE Options History — February 2009

In February 2009, BHE traded between $9.77 and $12.37. ATM implied volatility averaged 58.3%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 9.1% (HV 20d: 49.1%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.37.

Notable Days

2009-02-26: Highest Volume — 333 contracts
2009-02-19: Largest IV spike — 33.9% change
2009-02-19: Highest IV Rank — 51.4%
2009-02-19: Largest Expected Move — 19.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.25	$9.77	$12.37	$12.06	$9.77
Max Pain	$9.29	$7.50	$12.50	$10.00	$7.50
ATM IV	58.3%	48.1%	69.3%	62.4%	62.8%
Expected Move	16.9%	14.3%	19.9%	17.9%	18.0%
HV 20d	49.1%	39.7%	55.9%	53.8%	39.7%
HV 60d	63.2%	51.3%	67.6%	67.6%	51.3%
IV Rank	36.7%	23.0%	51.4%	42.1%	42.7%
IV Percentile	67.5%	51.2%	82.5%	71.8%	71.0%
Term Structure	-1.1%	-8.8%	8.1%	0.2%	-7.2%
VWIV	59.8%	46.0%	82.9%	82.9%	63.8%
Skew 25d	13.7%	-5.7%	25.8%	25.8%	5.4%
Skew 10d	20.2%	-7.9%	39.0%	38.1%	8.6%
Call IV 25d	51.8%	42.8%	64.9%	52.6%	51.2%
Put IV 25d	65.4%	56.6%	78.4%	78.4%	56.6%
Bid-Ask Spread %	47.47	15.57	102.23	43.55	15.57
Gamma HHI	0.34	0.25	0.55	0.35	0.55
Net GEX	3.6K	187	7.1K	5.1K	1.5K
Net DEX	112.1K	-996	204.8K	41.3K	182.3K
Net VEX	-2.9K	-3.5K	-2.1K	-3.4K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	2.00	1.67	0.49
Total Volume	28.632	0	333	0	0
Total OI	1,375.947	1,286	1,565	1,347	1,565

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
2009-02-02	$12.06	$10.00	62.4%	17.9%	53.8%	42.1%	0.0%	25.8%	0.2%	5.1K	41.3K	-3.4K	0.00	43.55	N/A	N/A	0	0	784	563
2009-02-03	$11.85	$10.00	59.8%	17.1%	53.3%	38.7%	82.9%	23.4%	1.3%	5.1K	43.1K	-3.4K	1.67	38.07	N/A	N/A	3	5	784	563
2009-02-04	$11.89	$10.00	54.8%	15.7%	52.6%	31.9%	46.0%	18.3%	-3.0%	5.2K	21.5K	-3.4K	2.00	48.85	N/A	N/A	1	2	781	568
2009-02-05	$12.15	$12.50	51.6%	14.8%	52.6%	27.8%	51.3%	23.6%	8.1%	6.4K	4.7K	-3.5K	0.00	102.23	N/A	N/A	0	2	782	570
2009-02-06	$12.37	$0.00	59.3%	16.8%	53.0%	38.0%	0.0%	10.8%	-2.6%	6.3K	-996	-3.5K	0.00	53.74	N/A	N/A	33	0	782	570
2009-02-09	$12.22	$0.00	53.4%	16.6%	51.8%	30.1%	0.0%	16.1%	-1.6%	7.1K	6.6K	-3.4K	0.00	58.43	N/A	N/A	30	0	795	570
2009-02-10	$11.51	$0.00	48.1%	15.2%	55.8%	23.0%	0.0%	7.9%	2.0%	5.5K	78.6K	-3.2K	0.00	57.57	N/A	N/A	1	0	825	570
2009-02-11	$11.37	$0.00	49.4%	15.8%	55.9%	24.8%	0.0%	16.1%	0.6%	5.1K	98.5K	-3.1K	0.00	64.31	N/A	N/A	10	0	826	570
2009-02-12	$11.48	$0.00	53.0%	15.2%	55.7%	29.6%	64.6%	16.3%	1.6%	4.7K	141.9K	-2.9K	1.00	50.13	N/A	N/A	10	10	826	570
2009-02-13	$11.54	$10.00	49.9%	14.3%	54.7%	25.4%	50.2%	15.8%	1.9%	5.4K	116.3K	-3.0K	0.00	52.04	N/A	N/A	13	0	832	580
2009-02-17	$11.56	$10.00	52.9%	15.2%	54.4%	29.5%	0.0%	17.3%	2.6%	5.2K	123.5K	-3.0K	0.00	47.11	N/A	N/A	0	0	845	580
2009-02-18	$11.39	$10.00	51.7%	14.8%	40.5%	27.9%	0.0%	16.5%	1.1%	1.2K	146.6K	-2.8K	0.00	47.48	N/A	N/A	20	0	845	570
2009-02-19	$11.11	$10.00	69.3%	19.9%	41.1%	51.4%	0.0%	16.7%	-4.3%	1.9K	144.9K	-2.8K	0.00	45.44	N/A	N/A	15	0	835	570
2009-02-20	$10.57	$10.00	68.9%	19.8%	43.5%	50.9%	63.8%	8.6%	-4.6%	719	187.6K	-2.5K	0.00	32.65	N/A	N/A	20	0	835	558
2009-02-23	$10.16	$7.50	66.8%	19.2%	45.4%	48.1%	0.0%	-5.7%	-8.8%	187	194.8K	-2.3K	0.00	33.48	N/A	N/A	25	0	733	553
2009-02-24	$10.49	$7.50	66.0%	18.9%	44.4%	46.9%	0.0%	4.8%	-3.7%	520	190.1K	-2.4K	0.00	51.57	N/A	N/A	0	0	758	553
2009-02-25	$10.17	$7.50	62.6%	17.9%	44.9%	42.4%	0.0%	10.6%	0.1%	192	203.9K	-2.3K	0.00	43.18	N/A	N/A	11	0	758	553
2009-02-26	$10.03	$7.50	64.7%	18.5%	40.6%	45.2%	0.0%	11.4%	-4.9%	339	204.8K	-2.1K	0.49	16.44	N/A	N/A	223	110	768	553
2009-02-27	$9.77	$7.50	62.8%	18.0%	39.7%	42.7%	0.0%	5.4%	-7.2%	1.5K	182.3K	-2.7K	0.00	15.57	N/A	N/A	0	0	918	647