BHE Options History — May 2009

In May 2009, BHE traded between $11.08 and $12.40. ATM implied volatility averaged 50.4%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 12.5% (HV 20d: 62.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.78.

Notable Days

  • 2009-05-01: Highest Volume — 194 contracts
  • 2009-05-14: Largest IV drop — 24.7% change
  • 2009-05-13: Highest IV Rank — 48.2%
  • 2009-05-13: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.96$11.08$12.40$12.11$12.20
Max Pain$10.13$10.00$12.50$12.50$10.00
ATM IV50.4%45.5%65.3%47.4%45.5%
Expected Move14.7%13.0%17.8%13.6%13.1%
HV 20d62.8%45.1%75.0%73.8%46.7%
HV 60d66.0%65.1%67.6%65.6%66.1%
IV Rank29.0%22.7%48.2%25.1%22.7%
IV Percentile39.7%25.0%74.6%32.5%25.0%
Term Structure0.1%-5.4%5.9%5.9%2.2%
VWIV46.2%37.0%51.8%37.0%45.8%
Skew 25d11.8%-1.0%26.9%-1.0%1.0%
Skew 10d18.1%-1.0%32.7%-1.0%2.7%
Call IV 25d43.5%36.5%50.5%46.7%41.9%
Put IV 25d55.3%42.3%63.7%45.7%42.9%
Bid-Ask Spread %68.7324.3592.8624.3551.82
Gamma HHI0.510.320.670.610.54
Net GEX2.2K-2.5K8.7K5.3K-2.5K
Net DEX160.2K-8.0K498.9K110.1K96.3K
Net VEX-2.9K-3.5K-2.5K-3.5K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.780.0017.005.2617.00
Total Volume29.35019419410
Total OI1,780.251,3682,0851,9781,584

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$12.11$12.5047.4%13.6%73.8%25.1%0.0%-1.0%5.9%5.3K110.1K-3.5K5.2624.35N/AN/A311631,025953
2009-05-04$12.31$10.0053.3%15.2%74.0%32.7%0.0%13.9%-0.1%6.6K29.5K-3.4K0.0055.40N/AN/A0501,056950
2009-05-05$12.21$10.0054.8%15.2%74.1%34.6%0.0%10.6%-0.6%4.6K85.7K-3.5K0.0035.67N/AN/A1001,056990
2009-05-06$12.30$10.0046.2%15.7%73.0%23.6%0.0%26.9%-2.4%5.9K89.8K-3.4K0.0070.16N/AN/A1001,057990
2009-05-07$11.68$10.0046.4%15.3%75.0%23.9%0.0%22.4%-1.8%4.3K207.8K-3.2K0.0055.03N/AN/A001,067990
2009-05-08$11.95$10.0046.4%14.6%68.8%23.8%0.0%16.7%-0.2%4.3K195.9K-3.2K0.0030.93N/AN/A001,067990
2009-05-11$11.74$10.0047.6%15.2%68.2%25.4%37.0%12.0%-1.0%4.0K357.7K-2.9K0.0082.29N/AN/A101,067990
2009-05-12$11.63$10.0053.8%14.2%67.2%33.4%50.3%11.1%-0.1%3.0K396.3K-2.8K0.0080.69N/AN/A7101,068990
2009-05-13$11.08$10.0065.3%17.8%67.9%48.2%0.0%13.2%-5.4%-406498.9K-2.5K0.0079.60N/AN/A1201,093990
2009-05-14$11.90$10.0049.2%14.1%71.0%27.4%0.0%14.5%3.8%5.3K289.4K-2.8K0.0082.16N/AN/A001,095990
2009-05-15$12.15$10.0049.4%14.1%70.4%27.7%0.0%17.9%3.4%8.7K339.5K-2.8K0.0080.51N/AN/A001,095990
2009-05-18$12.40$10.0053.0%15.2%66.8%32.4%0.0%15.7%-0.1%5491.3K-2.7K0.0083.22N/AN/A00690678
2009-05-19$12.32$10.0053.6%15.4%63.9%33.1%0.0%4.3%-3.3%3947.2K-2.7K0.0092.86N/AN/A210690678
2009-05-20$12.18$10.0051.8%14.8%63.3%30.8%51.8%2.2%0.1%526-8.0K-2.7K17.0091.48N/AN/A117698678
2009-05-21$11.87$10.0047.7%13.7%45.1%25.6%0.0%11.0%1.4%-28770.3K-2.6K0.0083.97N/AN/A00699695
2009-05-22$11.53$10.0050.1%14.4%45.8%28.6%0.0%5.0%0.9%-639108.1K-2.5K0.0084.63N/AN/A00699695
2009-05-26$12.00$10.0049.5%14.2%47.7%27.8%0.0%13.1%-0.9%-21662.8K-2.5K0.0084.30N/AN/A0190699695
2009-05-27$11.81$10.0051.2%14.7%48.0%30.0%0.0%10.4%-2.3%-2.4K127.4K-2.9K0.0082.38N/AN/A00699885
2009-05-28$11.91$10.0045.5%13.0%45.9%22.7%0.0%15.7%2.2%-2.5K137.2K-2.8K0.0043.21N/AN/A00699885
2009-05-29$12.20$10.0045.5%13.1%46.7%22.7%45.8%1.0%2.2%-2.5K96.3K-2.8K0.0051.82N/AN/A010699885