BHE Options History — October 2009

In October 2009, BHE traded between $16.80 and $18.73. ATM implied volatility averaged 40.6%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 12.4% (HV 20d: 28.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2009-10-09: Highest Volume — 116 contracts
  • 2009-10-22: Largest IV drop — 14.3% change
  • 2009-10-21: Highest IV Rank — 29.0%
  • 2009-10-21: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.86$16.80$18.73$17.64$16.80
Max Pain$17.27$15.00$17.50$15.00$17.50
ATM IV40.6%35.7%46.0%38.0%42.3%
Expected Move12.1%10.9%13.2%10.9%12.1%
HV 20d28.2%21.4%41.2%26.3%41.2%
HV 60d30.0%27.4%32.3%31.7%32.1%
IV Rank20.9%13.3%29.0%16.1%23.8%
IV Percentile23.7%9.1%40.1%13.1%31.7%
Term Structure-0.7%-5.0%4.4%4.3%-5.0%
VWIV41.9%40.9%43.8%43.8%40.9%
Skew 25d3.3%-9.0%15.1%8.6%-9.0%
Skew 10d8.1%-6.6%24.1%12.0%-2.4%
Call IV 25d37.0%28.3%41.5%28.3%38.4%
Put IV 25d40.3%29.4%47.6%36.8%29.4%
Bid-Ask Spread %50.1614.8181.0321.0968.06
Gamma HHI0.340.290.400.400.30
Net GEX6.4K3.1K10.7K4.9K3.1K
Net DEX-385.8K-706.5K-104.5K-395.4K-104.5K
Net VEX-2.2K-2.7K-2.0K-2.5K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.003.000.000.00
Total Volume21.90901169014
Total OI1,215.1368791,4961,436981

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$17.64$15.0038.0%10.9%26.3%16.1%0.0%8.6%4.3%4.9K-395.4K-2.5K0.0021.09N/AN/A900629807
2009-10-02$17.28$15.0038.7%11.1%27.6%17.0%0.0%4.3%4.2%6.7K-364.9K-2.7K0.0069.44N/AN/A40689807
2009-10-05$17.55$17.5040.0%12.5%27.6%18.6%0.0%3.5%-4.0%7.0K-381.0K-2.5K0.0032.73N/AN/A10685807
2009-10-06$17.76$17.5043.2%12.0%26.7%22.6%0.0%5.4%-1.2%7.0K-435.4K-2.5K0.0026.66N/AN/A200686807
2009-10-07$17.62$17.5038.6%12.3%23.4%16.8%0.0%7.7%-1.9%7.3K-412.7K-2.5K0.0024.95N/AN/A00680807
2009-10-08$17.73$17.5038.2%12.2%21.4%16.4%0.0%6.6%-2.2%7.6K-456.2K-2.5K0.0026.99N/AN/A80680807
2009-10-09$18.37$17.5035.7%11.9%24.3%13.3%0.0%5.0%-1.3%9.8K-573.4K-2.4K0.0029.92N/AN/A0116688807
2009-10-12$18.50$17.5038.7%12.1%22.7%18.7%0.0%7.8%-2.2%8.4K-634.8K-2.2K0.0062.06N/AN/A110688717
2009-10-13$18.17$17.5035.8%12.2%24.0%14.8%0.0%6.5%-1.4%10.7K-584.2K-2.1K0.0054.56N/AN/A200695717
2009-10-14$18.73$17.5038.3%12.3%25.3%18.4%0.0%4.8%-2.4%7.1K-706.5K-2.2K0.0056.14N/AN/A00715717
2009-10-15$18.50$17.5043.3%12.4%25.1%25.2%0.0%1.8%-2.6%7.4K-679.2K-2.2K0.0057.60N/AN/A010715717
2009-10-16$18.17$17.5043.8%12.5%25.1%25.9%43.8%7.3%-2.1%10.5K-620.5K-2.2K0.0014.81N/AN/A230713717
2009-10-19$18.30$17.5042.0%12.1%25.3%23.5%0.0%-2.3%0.1%5.6K-297.4K-2.1K0.0073.18N/AN/A00508371
2009-10-20$18.15$17.5041.0%11.8%25.4%22.1%0.0%-2.9%1.2%5.5K-280.7K-2.1K0.0076.62N/AN/A010508371
2009-10-21$17.67$17.5046.0%13.2%26.6%29.0%0.0%-4.7%-2.3%4.7K-238.6K-2.0K0.0064.42N/AN/A100508381
2009-10-22$18.12$17.5039.5%11.3%28.1%19.9%0.0%4.8%4.4%4.7K-250.3K-2.0K3.0034.12N/AN/A1030498381
2009-10-23$17.54$17.5042.9%12.3%30.5%24.7%0.0%-4.1%0.3%3.9K-201.1K-2.1K0.0052.63N/AN/A00508411
2009-10-26$17.45$17.5040.9%11.7%30.2%21.9%40.9%15.1%3.3%4.0K-188.3K-2.0K0.6581.03N/AN/A2013508411
2009-10-27$18.22$17.5040.6%11.7%34.1%21.6%40.9%4.4%-0.9%5.3K-280.3K-2.0K0.0080.13N/AN/A420518424
2009-10-28$17.22$17.5045.3%13.0%39.6%28.0%0.0%1.1%-3.2%4.8K-200.5K-2.2K0.0050.53N/AN/A100554424
2009-10-29$17.47$17.5040.7%11.7%39.5%21.6%0.0%1.1%-0.3%4.9K-202.4K-2.1K0.0045.87N/AN/A020547424
2009-10-30$16.80$17.5042.3%12.1%41.2%23.8%0.0%-9.0%-5.0%3.1K-104.5K-2.1K0.0068.06N/AN/A014547434