BHE Options History — November 2009

In November 2009, BHE traded between $16.70 and $19.40. ATM implied volatility averaged 40.4%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 4.6% (HV 20d: 45.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.06.

Notable Days

2009-11-23: Highest Volume — 75 contracts
2009-11-03: Largest IV spike — 23.1% change
2009-11-03: Highest IV Rank — 30.6%
2009-11-03: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.15	$16.70	$19.40	$16.70	$18.03
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	40.4%	34.1%	47.2%	38.4%	43.8%
Expected Move	11.5%	9.8%	13.5%	11.0%	12.6%
HV 20d	45.0%	40.6%	48.5%	40.8%	40.6%
HV 60d	34.7%	32.0%	36.6%	32.0%	36.6%
IV Rank	21.7%	13.9%	30.6%	18.4%	28.5%
IV Percentile	25.6%	6.7%	47.6%	17.1%	44.0%
Term Structure	-1.4%	-8.8%	6.9%	2.4%	-5.0%
VWIV	41.8%	41.8%	41.8%	41.8%	41.8%
Skew 25d	5.9%	-7.5%	10.0%	8.3%	10.0%
Skew 10d	9.8%	-3.0%	21.4%	11.6%	8.8%
Call IV 25d	36.0%	31.5%	41.7%	37.4%	32.9%
Put IV 25d	41.9%	34.2%	48.3%	45.7%	42.9%
Bid-Ask Spread %	64.47	26.60	125.00	53.96	101.99
Gamma HHI	0.32	0.30	0.37	0.31	0.32
Net GEX	5.4K	2.2K	8.6K	2.2K	4.8K
Net DEX	-313.0K	-479.5K	-71.6K	-71.6K	-260.9K
Net VEX	-1.9K	-2.1K	-1.5K	-2.0K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.00	0.30	0.00	0.00
Total Volume	11	0	75	10	0
Total OI	997.1	959	1,050	978	964

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2009-11-02	$16.70	$17.50	38.4%	11.0%	40.8%	18.4%	0.0%	8.3%	2.4%	2.2K	-71.6K	-2.0K	0.00	53.96	N/A	N/A	10	0	547	431
2009-11-03	$17.04	$17.50	47.2%	13.5%	41.2%	30.6%	0.0%	9.2%	-8.8%	3.3K	-127.5K	-2.1K	0.00	41.09	N/A	N/A	0	0	554	431
2009-11-04	$16.79	$17.50	37.4%	10.7%	41.5%	17.1%	0.0%	-7.5%	-1.4%	2.7K	-97.7K	-2.0K	0.00	125.00	N/A	N/A	0	26	554	431
2009-11-05	$17.61	$17.50	45.1%	12.9%	45.1%	27.7%	0.0%	4.9%	-4.6%	4.4K	-211.3K	-2.1K	0.00	28.78	N/A	N/A	0	0	554	431
2009-11-06	$17.53	$17.50	42.1%	11.8%	43.0%	23.6%	0.0%	6.4%	-2.5%	4.5K	-211.1K	-2.1K	0.00	29.62	N/A	N/A	0	0	554	431
2009-11-09	$18.44	$17.50	40.8%	11.7%	46.9%	21.8%	0.0%	8.2%	-1.9%	7.0K	-363.1K	-1.9K	0.00	65.15	N/A	N/A	0	0	554	431
2009-11-10	$17.86	$17.50	47.1%	11.9%	47.8%	30.5%	0.0%	4.8%	-1.9%	5.7K	-282.8K	-1.9K	0.00	70.76	N/A	N/A	0	20	554	431
2009-11-11	$17.85	$17.50	43.2%	12.0%	46.4%	25.1%	0.0%	4.1%	-3.7%	3.8K	-255.7K	-2.0K	0.00	68.47	N/A	N/A	0	0	554	451
2009-11-12	$17.76	$17.50	41.5%	11.9%	46.3%	22.7%	0.0%	5.8%	-1.3%	3.7K	-254.0K	-1.9K	0.00	71.83	N/A	N/A	0	32	554	451
2009-11-13	$18.00	$17.50	39.4%	11.3%	46.2%	19.9%	0.0%	4.8%	2.2%	3.4K	-265.5K	-2.0K	0.00	70.04	N/A	N/A	10	0	554	473
2009-11-16	$18.77	$17.50	36.6%	10.5%	48.5%	16.0%	41.8%	6.0%	-0.9%	6.0K	-427.3K	-1.9K	0.30	73.42	N/A	N/A	10	3	560	473
2009-11-17	$18.92	$17.50	36.1%	10.4%	48.4%	15.3%	0.0%	7.6%	-0.1%	6.4K	-454.6K	-1.8K	0.00	76.66	N/A	N/A	0	14	560	476
2009-11-18	$18.75	$17.50	40.6%	11.7%	47.4%	21.6%	0.0%	7.3%	-2.7%	6.1K	-435.2K	-1.8K	0.00	71.97	N/A	N/A	20	0	560	473
2009-11-19	$18.32	$17.50	40.9%	11.7%	47.6%	21.9%	0.0%	1.6%	-2.4%	5.8K	-385.8K	-1.8K	0.00	75.53	N/A	N/A	0	0	577	473
2009-11-20	$18.61	$17.50	40.2%	11.5%	46.2%	20.9%	0.0%	4.3%	-0.1%	6.4K	-442.1K	-1.8K	0.00	74.09	N/A	N/A	0	0	577	473
2009-11-23	$19.32	$17.50	37.4%	10.7%	47.6%	18.9%	0.0%	9.3%	-2.4%	8.0K	-463.4K	-1.6K	0.00	26.60	N/A	N/A	75	0	525	434
2009-11-24	$19.40	$17.50	36.6%	10.5%	45.4%	17.6%	0.0%	7.6%	-0.9%	8.6K	-479.5K	-1.6K	0.00	32.05	N/A	N/A	0	0	530	434
2009-11-25	$18.94	$17.50	34.1%	9.8%	41.1%	13.9%	0.0%	7.1%	1.3%	7.8K	-415.2K	-1.6K	0.00	28.68	N/A	N/A	0	0	530	434
2009-11-27	$18.38	$17.50	39.3%	11.3%	42.7%	21.7%	0.0%	8.6%	6.9%	6.8K	-355.1K	-1.6K	0.00	103.70	N/A	N/A	0	0	530	434
2009-11-30	$18.03	$17.50	43.8%	12.6%	40.6%	28.5%	0.0%	10.0%	-5.0%	4.8K	-260.9K	-1.5K	0.00	101.99	N/A	N/A	0	0	530	434