BHE Options History — July 2009

In July 2009, BHE traded between $13.64 and $16.22. ATM implied volatility averaged 40.2%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 7.6% (HV 20d: 32.6%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.06.

Notable Days

  • 2009-07-29: Highest Volume — 382 contracts
  • 2009-07-13: Largest IV spike — 35.1% change
  • 2009-07-27: Highest IV Rank — 28.7%
  • 2009-07-08: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.83$13.64$16.22$14.75$15.80
Max Pain$16.14$12.50$20.00$12.50$15.00
ATM IV40.2%27.3%48.2%38.3%36.1%
Expected Move12.3%10.3%14.4%11.0%10.3%
HV 20d32.6%23.2%43.1%23.2%42.9%
HV 60d45.2%38.3%53.3%53.3%41.3%
IV Rank18.9%2.9%28.7%16.5%13.7%
IV Percentile13.7%0.4%34.1%7.1%4.4%
Term Structure0.8%-3.1%9.9%3.7%9.6%
VWIV39.1%20.3%44.5%38.2%20.3%
Skew 25d9.5%1.6%20.4%5.6%12.9%
Skew 10d13.2%0.6%30.0%10.4%16.1%
Call IV 25d36.5%21.4%42.6%41.9%25.6%
Put IV 25d46.0%38.6%52.8%47.5%38.6%
Bid-Ask Spread %61.5419.35101.0570.3473.74
Gamma HHI0.540.250.860.530.78
Net GEX10.5K-81041.8K9.1K8.5K
Net DEX-277.6K-619.2K-83.2K-358.9K-397.8K
Net VEX-2.8K-3.2K-2.4K-2.9K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.060.0020.000.675.26
Total Volume46.22703822820
Total OI1,647.6361,3382,0781,7191,522

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$14.75$12.5038.3%11.0%23.2%16.5%38.2%5.6%3.7%9.1K-358.9K-2.9K0.0070.34N/AN/A028769950
2009-07-02$14.33$12.5042.1%12.1%24.1%21.2%42.2%1.6%-3.1%6.9K-265.3K-2.9K0.6770.69N/AN/A2718769974
2009-07-06$14.18$20.0039.9%12.3%24.1%18.5%0.0%15.0%1.6%7.3K-191.5K-2.8K0.0047.38N/AN/A05796961
2009-07-07$13.86$20.0027.3%12.5%25.5%2.9%0.0%13.2%-1.3%3.0K-133.5K-2.6K1.5027.11N/AN/A1015796961
2009-07-08$13.64$20.0031.6%14.4%26.0%8.2%0.0%9.2%-2.1%-810-83.2K-2.5K0.0026.76N/AN/A20806961
2009-07-09$13.68$20.0034.1%14.3%26.0%11.3%0.0%9.4%-2.5%100-94.5K-2.5K0.0021.75N/AN/A10806961
2009-07-10$13.78$20.0032.2%12.5%24.9%8.9%0.0%13.5%-1.0%370-102.8K-2.5K0.0027.95N/AN/A011807961
2009-07-13$13.90$20.0043.5%12.7%24.0%22.9%44.5%7.5%-1.3%103-103.3K-2.4K0.0419.35N/AN/A27610807972
2009-07-14$14.02$15.0043.9%12.5%24.2%23.5%43.3%8.4%-1.0%13.2K-250.7K-2.9K0.0072.24N/AN/A0101,071982
2009-07-15$15.06$15.0042.5%10.7%35.5%21.7%37.2%4.1%6.4%31.3K-619.2K-3.1K2.3670.94N/AN/A11261,071992
2009-07-16$15.06$15.0043.9%12.6%35.5%23.4%43.9%6.5%-0.7%40.3K-603.2K-3.2K0.0074.00N/AN/A0151,0611,017
2009-07-17$14.76$15.0044.7%12.8%36.2%24.4%0.0%13.7%-2.3%41.8K-419.9K-3.0K0.0052.51N/AN/A1201,045972
2009-07-20$14.93$15.0041.4%11.9%36.1%20.3%41.4%12.4%2.0%7.2K-144.5K-2.9K20.0054.57N/AN/A120680671
2009-07-21$14.91$15.0041.7%11.9%34.5%20.7%0.0%14.6%0.4%7.6K-167.7K-2.8K0.0048.58N/AN/A00681657
2009-07-22$14.98$15.0040.9%11.7%34.4%19.7%0.0%15.2%1.0%7.8K-170.4K-2.8K0.0080.85N/AN/A00681657
2009-07-23$15.86$15.0042.2%12.1%39.5%21.3%37.2%4.2%1.6%9.3K-364.5K-2.7K3.7376.30N/AN/A1141681657
2009-07-24$15.68$15.0045.9%13.2%39.6%25.9%0.0%4.2%0.8%6.5K-298.6K-2.7K2.5081.42N/AN/A410690698
2009-07-27$15.74$15.0048.2%13.8%39.6%28.7%0.0%4.9%-3.0%6.4K-305.1K-2.7K0.0083.55N/AN/A00689708
2009-07-28$15.70$15.0045.3%13.0%39.4%25.2%42.7%2.2%-0.5%6.8K-298.4K-2.7K0.6280.81N/AN/A138689708
2009-07-29$15.36$15.0041.3%11.9%39.7%20.3%39.6%10.4%0.2%8.3K-273.0K-2.7K5.2691.95N/AN/A61321702712
2009-07-30$16.22$15.0037.5%10.7%43.1%15.5%20.3%20.4%9.9%9.8K-460.5K-2.8K0.00101.05N/AN/A030735762
2009-07-31$15.80$15.0036.1%10.3%42.9%13.7%0.0%12.9%9.6%8.5K-397.8K-2.9K0.0073.74N/AN/A020735787