BHE Options History — June 2009

In June 2009, BHE traded between $12.93 and $14.80. ATM implied volatility averaged 41.1%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 1.8% (HV 20d: 39.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2009-06-02: Highest Volume — 93 contracts
  • 2009-06-10: Largest IV spike — 38.7% change
  • 2009-06-02: Highest IV Rank — 28.2%
  • 2009-06-02: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.19$12.93$14.80$13.00$14.40
Max Pain$12.05$10.00$12.50$10.00$12.50
ATM IV41.1%25.0%49.8%46.6%40.3%
Expected Move12.5%11.1%14.3%13.4%11.6%
HV 20d39.3%23.0%53.4%51.8%24.3%
HV 60d59.4%53.0%65.4%65.3%53.2%
IV Rank19.2%0.0%28.2%24.2%19.0%
IV Percentile16.0%0.0%36.1%28.6%11.5%
Term Structure3.3%-4.5%22.1%2.0%3.8%
VWIV42.3%38.7%46.3%46.3%38.7%
Skew 25d5.5%-9.6%23.4%22.7%-3.8%
Skew 10d8.7%-14.4%44.2%44.2%-5.1%
Call IV 25d41.2%27.6%46.3%35.4%40.5%
Put IV 25d46.7%31.9%58.0%58.0%36.7%
Bid-Ask Spread %48.9815.9077.7354.6567.12
Gamma HHI0.390.290.550.410.42
Net GEX7.3K-1.2K14.7K-1.2K7.7K
Net DEX-336.2K-491.7K-50.4K-50.4K-269.0K
Net VEX-3.2K-3.4K-2.9K-3.0K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.0015.000.000.70
Total Volume21.9090933517
Total OI1,704.8641,5941,7831,5941,702

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$13.00$10.0046.6%13.4%51.8%24.2%46.3%22.7%2.0%-1.2K-50.4K-3.0K0.0054.65N/AN/A350699895
2009-06-02$12.93$10.0049.8%14.3%51.7%28.2%0.0%14.0%-1.1%36-72.8K-3.0K0.0051.53N/AN/A930733895
2009-06-03$13.35$10.0040.1%11.5%52.5%15.8%0.0%23.4%22.1%2.2K-183.4K-3.3K0.0034.95N/AN/A110809895
2009-06-04$13.77$10.0041.8%12.0%53.4%17.9%0.0%1.4%-4.5%3.4K-278.9K-3.4K0.0054.25N/AN/A500819895
2009-06-05$13.95$12.5032.6%12.5%48.9%6.1%0.0%5.2%1.5%4.2K-318.3K-3.4K0.0075.27N/AN/A020809895
2009-06-08$14.00$12.5029.9%12.5%48.7%2.6%0.0%8.6%2.6%4.4K-331.3K-3.3K0.0077.73N/AN/A480809903
2009-06-09$13.92$12.5025.0%12.9%48.0%0.0%0.0%4.2%1.6%6.6K-331.2K-3.3K0.0042.86N/AN/A100857903
2009-06-10$13.93$12.5034.6%12.3%47.6%12.0%0.0%8.4%4.7%6.4K-317.4K-3.2K0.0046.68N/AN/A00867903
2009-06-11$14.23$12.5043.5%12.5%42.6%23.0%0.0%7.0%3.6%8.6K-392.5K-3.3K0.0043.60N/AN/A100867903
2009-06-12$14.50$12.5045.5%13.0%36.7%25.4%0.0%7.1%1.3%10.0K-452.6K-3.3K0.0050.85N/AN/A010877903
2009-06-15$14.58$12.5046.2%13.2%36.5%26.2%0.0%7.0%1.9%10.8K-476.1K-3.3K0.0048.32N/AN/A30877903
2009-06-16$14.50$12.5046.3%13.3%36.6%26.4%0.0%7.0%0.4%11.7K-455.8K-3.3K0.0048.07N/AN/A00880903
2009-06-17$14.59$12.5044.1%12.6%36.2%23.7%44.1%6.1%3.7%13.2K-482.0K-3.2K0.0044.93N/AN/A130880903
2009-06-18$14.48$12.5043.1%12.4%35.9%22.5%0.0%8.4%3.6%11.7K-470.3K-3.1K1.0050.62N/AN/A1010871903
2009-06-19$14.67$12.5044.1%12.7%33.6%23.7%0.0%4.9%1.5%14.7K-491.7K-3.1K0.0054.45N/AN/A00871903
2009-06-22$14.26$12.5042.3%12.1%33.5%21.4%0.0%8.5%3.8%7.3K-313.4K-3.0K0.0049.59N/AN/A00742863
2009-06-23$14.35$12.5044.7%12.8%31.6%24.5%0.0%6.4%1.3%7.3K-320.4K-3.0K0.0050.15N/AN/A010742863
2009-06-24$14.52$12.5041.9%12.0%30.2%21.0%41.9%-7.3%8.7%7.9K-337.8K-3.0K0.0046.09N/AN/A300742873
2009-06-25$14.77$12.5040.0%11.5%30.3%18.6%40.0%-5.9%4.4%9.1K-381.3K-2.9K0.0015.90N/AN/A048742873
2009-06-26$14.80$12.5042.9%12.3%30.0%22.2%42.6%-9.6%1.0%7.3K-346.3K-3.0K15.0045.51N/AN/A230742913
2009-06-29$14.66$12.5038.7%11.1%23.0%17.0%38.7%-3.2%5.3%7.7K-324.0K-3.0K0.2924.50N/AN/A175742938
2009-06-30$14.40$12.5040.3%11.6%24.3%19.0%0.0%-3.8%3.8%7.7K-269.0K-3.0K0.7067.12N/AN/A107759943