BHE Options History — September 2009

In September 2009, BHE traded between $16.01 and $18.15. ATM implied volatility averaged 36.7%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 8.1% (HV 20d: 28.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2009-09-28: Highest Volume — 68 contracts
  • 2009-09-10: Largest IV spike — 35.7% change
  • 2009-09-01: Highest IV Rank — 20.5%
  • 2009-09-08: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.29$16.01$18.15$16.01$18.00
Max Pain$12.62$12.50$15.00$12.50$15.00
ATM IV36.7%26.7%41.5%41.5%38.0%
Expected Move10.9%8.8%12.7%11.9%10.9%
HV 20d28.5%24.6%31.5%26.7%24.6%
HV 60d32.7%31.6%33.5%31.9%31.6%
IV Rank14.5%2.1%20.5%20.5%16.1%
IV Percentile10.8%0.4%21.0%15.9%13.1%
Term Structure3.6%-2.8%19.9%-0.4%3.2%
VWIV35.7%28.4%39.2%36.1%38.0%
Skew 25d11.3%3.5%17.5%3.5%12.4%
Skew 10d19.2%5.2%50.1%5.3%17.5%
Call IV 25d29.2%20.5%37.0%37.0%25.9%
Put IV 25d40.5%34.1%45.6%40.5%38.3%
Bid-Ask Spread %55.9514.3087.3738.8964.45
Gamma HHI0.420.360.470.430.38
Net GEX2.0K-1.9K4.6K1.6K4.3K
Net DEX-340.2K-472.2K-187.1K-187.1K-430.0K
Net VEX-2.2K-2.5K-1.9K-2.1K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.008.000.000.00
Total Volume21.19068210
Total OI1,300.4761,1851,4411,1851,426

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$16.01$12.5041.5%11.9%26.7%20.5%36.1%3.5%-0.4%1.6K-187.1K-2.1K0.0038.89N/AN/A20522663
2009-09-02$16.05$12.5040.0%11.5%26.4%18.6%0.0%15.2%4.0%1.8K-188.4K-2.1K0.0024.72N/AN/A00524663
2009-09-03$16.25$12.5030.8%8.8%26.7%7.3%0.0%17.5%19.9%2.2K-206.1K-2.1K0.0032.50N/AN/A014524663
2009-09-04$16.50$12.5026.7%10.3%26.7%2.1%0.0%10.5%3.0%2.5K-243.0K-2.1K0.0038.91N/AN/A00524663
2009-09-08$16.22$12.5031.4%12.7%26.9%8.0%0.0%5.6%-2.8%2.1K-211.7K-2.0K0.0054.08N/AN/A00524663
2009-09-09$16.89$12.5027.8%10.0%30.3%3.4%0.0%14.4%6.0%3.2K-290.3K-1.9K0.0057.01N/AN/A029524663
2009-09-10$17.36$12.5037.7%10.8%31.2%15.7%0.0%5.6%3.2%3.0K-345.1K-2.0K2.7359.46N/AN/A1130524692
2009-09-11$17.21$12.5038.8%11.1%31.3%17.1%0.0%13.0%1.1%-538-309.2K-2.1K0.3267.11N/AN/A289535722
2009-09-14$16.86$12.5036.9%10.6%31.5%14.8%0.0%11.7%4.0%35-264.2K-2.1K0.0065.24N/AN/A040553731
2009-09-15$16.98$12.5037.4%10.7%30.4%15.4%28.4%9.8%3.5%1.1K-275.1K-2.2K8.0066.83N/AN/A216553741
2009-09-16$17.30$12.5036.9%10.6%30.7%14.7%36.9%14.1%4.5%-726-330.3K-2.2K3.4066.13N/AN/A1551555757
2009-09-17$17.67$12.5036.3%10.4%31.2%14.0%36.3%13.9%3.4%-1.9K-384.0K-2.3K0.0367.51N/AN/A301567808
2009-09-18$18.03$12.5037.9%10.9%31.5%16.0%35.1%11.1%2.3%1.3K-472.2K-2.4K1.4365.12N/AN/A710597808
2009-09-21$18.05$12.5039.7%11.4%28.4%18.2%0.0%9.4%0.4%2.9K-435.9K-2.4K0.0051.40N/AN/A10579778
2009-09-22$18.15$12.5038.6%11.1%27.8%17.0%0.0%10.7%2.5%2.9K-452.7K-2.4K0.0087.37N/AN/A00580778
2009-09-23$17.88$12.5037.4%10.7%28.4%15.3%0.0%11.7%3.7%3.0K-423.1K-2.4K0.0053.62N/AN/A00580778
2009-09-24$17.88$12.5038.0%10.9%27.2%16.1%0.0%8.4%3.6%3.4K-402.4K-2.4K0.0053.51N/AN/A20580778
2009-09-25$17.85$12.5038.3%11.0%27.3%16.6%0.0%11.1%3.3%3.2K-411.1K-2.4K0.0068.45N/AN/A029582778
2009-09-28$18.06$12.5041.0%11.7%27.3%19.8%0.0%15.0%3.7%2.2K-420.3K-2.4K0.0078.39N/AN/A680582807
2009-09-29$17.97$12.5039.2%11.2%26.8%17.7%39.2%12.6%2.7%4.6K-460.7K-2.5K0.0014.30N/AN/A040634807
2009-09-30$18.00$15.0038.0%10.9%24.6%16.1%38.0%12.4%3.2%4.3K-430.0K-2.4K0.0064.45N/AN/A100619807