BHE Options History — March 2009

In March 2009, BHE traded between $8.67 and $11.57. ATM implied volatility averaged 57.8%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 0.1% (HV 20d: 58.0%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.06.

Notable Days

  • 2009-03-18: Highest Volume — 815 contracts
  • 2009-03-27: Largest IV spike — 54.1% change
  • 2009-03-09: Highest IV Rank — 51.9%
  • 2009-03-09: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.23$8.67$11.57$9.51$11.20
Max Pain$10.11$7.50$12.50$7.50$10.00
ATM IV57.8%27.8%69.7%66.0%54.1%
Expected Move16.2%8.0%20.0%18.9%15.5%
HV 20d58.0%37.6%72.2%40.1%71.9%
HV 60d52.2%48.3%57.4%50.8%56.9%
IV Rank36.6%0.0%51.9%46.9%33.8%
IV Percentile60.2%0.0%82.9%77.4%54.8%
Term Structure3.3%-7.1%29.0%-6.9%20.8%
VWIV51.1%26.5%66.0%66.0%58.9%
Skew 25d19.4%-8.6%49.0%-2.2%26.6%
Skew 10d26.5%-5.2%78.0%-0.4%22.9%
Call IV 25d44.5%29.8%60.9%58.7%33.8%
Put IV 25d63.9%52.3%91.6%56.5%60.3%
Bid-Ask Spread %38.0814.1880.2320.3738.05
Gamma HHI0.430.300.560.470.53
Net GEX770-3.1K2.7K1.1K2.7K
Net DEX266.8K72.3K977.3K221.2K92.6K
Net VEX-2.6K-3.2K-2.0K-2.4K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.500.000.00
Total Volume510815200
Total OI1,777.8641,5652,5331,5651,809

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$9.51$7.5066.0%18.9%40.1%46.9%66.0%-2.2%-6.9%1.1K221.2K-2.4K0.0020.37N/AN/A020918647
2009-03-03$9.46$10.0064.1%18.4%37.6%44.4%0.0%-3.1%-6.8%489247.9K-2.4K0.0020.35N/AN/A00918667
2009-03-04$9.75$10.0063.6%18.2%40.4%43.7%0.0%5.8%-6.1%345254.5K-2.2K0.0043.47N/AN/A065918667
2009-03-05$9.09$10.0051.8%14.9%45.4%28.1%0.0%-8.6%-7.1%-193297.6K-2.1K0.0056.18N/AN/A00918704
2009-03-06$9.13$10.0063.6%15.9%44.0%43.8%53.7%21.0%4.4%-150306.0K-2.1K0.0080.23N/AN/A200918704
2009-03-09$8.67$10.0069.7%20.0%44.2%51.9%0.0%12.9%-1.2%-355324.0K-2.0K0.0027.93N/AN/A440918704
2009-03-10$9.37$10.0066.6%16.2%55.7%47.8%56.5%22.4%4.9%-37299.4K-2.2K0.0039.28N/AN/A20952699
2009-03-11$9.58$10.0062.9%15.3%54.2%42.9%53.2%26.4%5.6%82260.5K-2.4K0.5021.94N/AN/A2010954699
2009-03-12$10.10$10.0050.8%14.6%58.4%26.6%0.0%24.2%7.5%10230.0K-2.6K0.0049.02N/AN/A110968699
2009-03-13$10.30$10.0056.0%16.0%58.9%33.6%56.0%32.1%3.6%828193.8K-2.7K0.0052.75N/AN/A150968699
2009-03-16$10.51$10.0059.3%17.0%59.5%38.0%26.5%26.7%1.9%1.6K132.7K-2.8K0.0015.70N/AN/A610978699
2009-03-17$10.62$10.0056.5%16.2%59.7%34.3%0.0%30.8%2.3%2.1K148.3K-2.8K0.0032.76N/AN/A001,039699
2009-03-18$10.54$10.0062.9%18.0%59.6%42.9%37.7%24.0%-3.9%1.6K151.1K-2.8K0.0048.90N/AN/A08151,039699
2009-03-19$10.69$12.5060.9%17.5%59.4%40.1%0.0%27.0%-3.1%-385944.0K-2.9K0.0072.47N/AN/A001,0391,494
2009-03-20$10.03$12.5058.9%16.9%61.0%37.4%58.9%12.0%-1.9%-3.1K977.3K-2.7K0.0014.18N/AN/A3501,0391,494
2009-03-23$11.03$10.0052.8%15.1%68.5%29.3%0.0%36.9%18.0%-156156.3K-2.8K0.0076.82N/AN/A301,051754
2009-03-24$10.52$10.0060.4%17.3%70.0%39.4%0.0%22.8%3.8%2.5K181.7K-3.0K0.0017.03N/AN/A001,054754
2009-03-25$11.01$10.0060.2%17.3%70.7%39.2%0.0%29.9%2.0%2.7K150.2K-3.0K0.0019.05N/AN/A001,054754
2009-03-26$11.57$10.0027.8%8.0%72.2%0.0%0.0%49.0%29.0%-688.0K-3.0K0.0039.21N/AN/A001,054754
2009-03-27$11.30$10.0042.9%12.3%72.0%19.3%0.0%8.2%0.3%2.7K72.3K-3.2K0.0029.41N/AN/A011,054754
2009-03-30$11.01$10.0060.3%17.3%72.0%41.8%0.0%2.1%5.5%2.6K141.0K-2.9K0.0022.56N/AN/A001,054755
2009-03-31$11.20$10.0054.1%15.5%71.9%33.8%0.0%26.6%20.8%2.7K92.6K-3.1K0.0038.05N/AN/A001,054755