BHE Options History — August 2009

In August 2009, BHE traded between $15.55 and $16.72. ATM implied volatility averaged 37.3%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 2.3% (HV 20d: 35.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.05.

Notable Days

  • 2009-08-05: Highest Volume — 30 contracts
  • 2009-08-27: Largest IV drop — 29.9% change
  • 2009-08-10: Highest IV Rank — 24.9%
  • 2009-08-05: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.12$15.55$16.72$15.82$16.40
Max Pain$12.98$12.50$15.00$15.00$12.50
ATM IV37.3%27.7%45.0%35.8%29.5%
Expected Move10.7%7.9%12.4%10.3%8.4%
HV 20d35.0%24.9%42.5%42.5%25.5%
HV 60d35.0%31.3%39.6%39.6%31.4%
IV Rank15.2%3.4%24.9%13.4%5.6%
IV Percentile9.5%0.8%25.8%4.4%1.6%
Term Structure2.8%-3.9%14.3%13.0%3.8%
VWIV32.5%29.7%37.8%30.0%37.8%
Skew 25d6.0%-0.7%22.3%22.3%6.5%
Skew 10d10.3%-1.9%31.2%29.2%9.6%
Call IV 25d33.9%23.5%40.3%26.2%32.3%
Put IV 25d39.9%34.9%48.4%48.4%38.8%
Bid-Ask Spread %67.4349.8384.5374.9865.97
Gamma HHI0.570.420.790.770.45
Net GEX8.8K1.8K19.3K10.6K2.0K
Net DEX-414.5K-699.4K-224.3K-342.1K-230.2K
Net VEX-2.5K-2.8K-2.2K-2.7K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.500.000.00
Total Volume5.66703000
Total OI1,438.6671,1821,5701,5111,185

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$15.82$15.0035.8%10.3%42.5%13.4%0.0%22.3%13.0%10.6K-342.1K-2.7K0.0074.98N/AN/A00735776
2009-08-04$16.02$15.0034.9%10.0%41.2%12.3%30.0%15.3%8.2%10.6K-418.9K-2.7K0.0053.48N/AN/A80735776
2009-08-05$15.86$15.0043.3%12.4%40.8%22.7%29.7%16.8%-2.6%9.7K-385.1K-2.8K0.5051.37N/AN/A2010740776
2009-08-06$15.95$15.0032.9%9.4%40.8%9.8%0.0%9.1%9.2%16.1K-447.0K-2.7K0.0053.23N/AN/A00760770
2009-08-07$16.20$12.5035.6%11.8%40.9%13.2%0.0%5.9%0.2%8.7K-511.2K-2.7K0.0075.83N/AN/A30760770
2009-08-10$15.96$12.5045.0%11.6%41.7%24.9%0.0%-0.6%1.0%11.6K-444.5K-2.7K0.0078.34N/AN/A110760770
2009-08-11$16.07$12.5038.3%12.1%41.7%16.5%0.0%5.2%-1.7%16.2K-498.1K-2.6K0.0063.99N/AN/A00769770
2009-08-12$15.92$12.5043.5%11.6%34.2%23.0%0.0%1.3%0.8%12.9K-465.4K-2.6K0.0066.24N/AN/A00769770
2009-08-13$16.15$12.5033.7%9.7%34.5%10.9%0.0%3.7%14.3%8.1K-545.3K-2.4K0.0068.48N/AN/A100769770
2009-08-14$15.85$12.5042.3%12.1%34.3%21.5%0.0%3.0%-3.7%14.2K-502.7K-2.5K0.0081.75N/AN/A100779770
2009-08-17$15.55$12.5040.9%11.7%35.1%19.7%0.0%-0.7%1.0%19.3K-377.1K-2.6K0.0080.01N/AN/A200789770
2009-08-18$15.75$12.5040.9%11.7%35.3%19.7%0.0%2.5%1.7%12.1K-518.1K-2.5K0.0080.61N/AN/A20800770
2009-08-19$15.76$12.5041.0%11.7%35.3%19.8%0.0%4.0%0.5%11.2K-521.9K-2.4K0.0084.53N/AN/A00799770
2009-08-20$15.94$12.5040.6%11.6%29.1%19.3%0.0%3.6%1.2%8.1K-568.3K-2.3K0.0078.72N/AN/A30799756
2009-08-21$16.64$12.5035.0%10.0%32.4%12.4%0.0%6.7%2.4%2.0K-699.4K-2.3K0.0049.83N/AN/A010802756
2009-08-24$16.46$12.5034.7%10.0%32.8%12.1%37.8%8.7%4.0%1.8K-239.8K-2.3K0.0053.51N/AN/A110519663
2009-08-25$16.72$12.5033.4%9.6%33.1%10.4%0.0%4.1%3.9%2.3K-274.2K-2.3K0.0083.05N/AN/A00522663
2009-08-26$16.41$12.5039.5%11.3%32.8%18.1%0.0%-0.4%-3.9%2.0K-235.9K-2.3K0.0054.60N/AN/A00522663
2009-08-27$16.43$12.5027.7%7.9%26.6%3.4%0.0%4.9%4.4%2.0K-224.3K-2.2K0.0061.65N/AN/A00522663
2009-08-28$16.61$12.5034.3%9.8%24.9%11.6%0.0%3.9%2.2%2.2K-254.6K-2.2K0.0055.94N/AN/A01522663
2009-08-31$16.40$12.5029.5%8.4%25.5%5.6%0.0%6.5%3.8%2.0K-230.2K-2.2K0.0065.97N/AN/A00522663