BHE Options History — April 2009

In April 2009, BHE traded between $11.39 and $13.71. ATM implied volatility averaged 56.4%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 14.9% (HV 20d: 71.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.76.

Notable Days

  • 2009-04-03: Highest Volume — 668 contracts
  • 2009-04-02: Largest IV spike — 25.4% change
  • 2009-04-16: Highest IV Rank — 47.8%
  • 2009-04-16: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.48$11.39$13.71$11.39$12.13
Max Pain$12.26$10.00$12.50$10.00$12.50
ATM IV56.4%40.8%65.0%40.8%55.6%
Expected Move16.7%11.7%18.6%11.7%15.9%
HV 20d71.3%63.2%80.1%71.5%78.6%
HV 60d61.4%56.8%66.3%56.8%65.6%
IV Rank36.7%16.7%47.8%16.7%35.7%
IV Percentile55.1%21.0%74.2%21.0%52.4%
Term Structure-1.2%-10.2%30.8%30.8%-1.3%
VWIV56.7%44.3%74.9%51.2%55.4%
Skew 25d14.2%-6.7%36.7%36.7%4.9%
Skew 10d22.7%-4.2%45.1%45.1%8.4%
Call IV 25d50.1%29.4%59.5%29.4%48.0%
Put IV 25d64.4%44.1%72.8%66.1%52.9%
Bid-Ask Spread %43.8016.4670.5537.4551.97
Gamma HHI0.470.350.610.500.57
Net GEX3.9K9395.8K2.5K5.4K
Net DEX-132.8K-573.2K166.9K105.7K-11.3K
Net VEX-3.9K-4.6K-3.0K-3.0K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.0015.000.019.60
Total Volume97.286066813110
Total OI2,190.4761,8092,6481,8091,968

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$11.39$10.0040.8%11.7%71.5%16.7%0.0%36.7%30.8%2.5K105.7K-3.0K0.0137.45N/AN/A13011,054755
2009-04-02$12.28$10.0051.2%14.7%69.1%30.0%51.2%26.4%9.8%5.4K-172.6K-3.6K0.0016.46N/AN/A4001,184755
2009-04-03$12.37$12.5052.9%17.2%69.0%32.2%60.1%13.7%-6.8%5.8K-196.9K-3.6K1.1048.72N/AN/A3183501,194754
2009-04-06$12.33$12.5052.1%17.9%64.8%31.2%0.0%11.1%-9.9%3.7K-124.6K-4.6K0.8047.11N/AN/A25201,5011,104
2009-04-07$11.91$12.5052.9%17.7%63.3%32.2%74.9%8.0%-7.5%4.9K-51.7K-4.4K13.0046.78N/AN/A5651,5211,124
2009-04-08$12.17$12.5048.8%17.3%63.2%27.0%44.3%10.2%-5.6%4.2K-47.4K-4.5K0.0052.61N/AN/A10101,5241,124
2009-04-09$13.21$12.5061.1%17.5%66.5%42.7%0.0%11.3%-4.9%3.7K-450.2K-4.3K15.0035.07N/AN/A1151,4401,124
2009-04-13$12.78$12.5063.0%18.1%68.5%45.2%0.0%10.7%-7.3%2.6K-266.7K-4.4K0.0028.78N/AN/A0101,4401,134
2009-04-14$12.32$12.5061.4%17.6%70.4%43.1%0.0%15.3%-6.0%1.2K-48.3K-4.2K0.0034.05N/AN/A0101,4191,144
2009-04-15$12.68$12.5063.0%18.1%70.8%45.2%0.0%19.5%-8.7%939-181.2K-4.2K0.0034.85N/AN/A001,4191,144
2009-04-16$13.29$12.5065.0%18.6%71.7%47.8%0.0%13.3%-10.2%2.2K-413.5K-4.0K0.0040.86N/AN/A001,3131,096
2009-04-17$13.71$12.5062.0%17.8%72.1%43.9%56.0%8.7%-6.9%4.2K-573.2K-3.9K0.0832.45N/AN/A2421,3131,096
2009-04-20$12.79$12.5061.3%17.6%72.9%43.1%60.5%19.5%-0.1%4.4K-141.1K-3.9K0.3335.67N/AN/A6020946889
2009-04-21$13.45$12.5062.3%17.9%67.7%44.3%54.7%17.9%-2.6%4.4K-337.9K-4.0K0.0043.57N/AN/A300994909
2009-04-22$13.71$12.5052.8%15.1%64.2%32.0%0.0%17.9%8.2%4.6K-428.0K-3.9K0.0056.73N/AN/A901,004909
2009-04-23$12.07$12.5056.5%16.2%80.1%36.8%52.9%-6.7%3.1%4.0K55.6K-3.6K0.4070.55N/AN/A2081,007909
2009-04-24$11.85$12.5055.6%15.9%78.6%35.6%55.6%11.7%0.1%3.8K107.9K-3.6K0.0758.39N/AN/A3021,027917
2009-04-27$11.65$12.5057.8%16.6%78.4%38.5%57.8%11.5%-1.7%4.2K166.9K-3.4K1.0336.47N/AN/A3113201,054919
2009-04-28$11.73$12.5055.7%16.0%77.7%35.8%0.0%11.7%0.0%4.8K148.6K-3.4K9.6044.51N/AN/A10961,015889
2009-04-29$12.20$12.5052.8%15.1%78.7%32.0%0.0%25.4%2.7%5.2K71.1K-3.6K0.0066.71N/AN/A001,025943
2009-04-30$12.13$12.5055.6%15.9%78.6%35.7%55.4%4.9%-1.3%5.4K-11.3K-3.6K0.0051.97N/AN/A0101,025943