BHE Options History — December 2009

In December 2009, BHE traded between $18.43 and $19.53. ATM implied volatility averaged 34.2%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.1% (HV 20d: 33.2%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2009-12-16: Highest Volume — 370 contracts
  • 2009-12-04: Largest IV spike — 35.2% change
  • 2009-12-16: Highest IV Rank — 24.3%
  • 2009-12-16: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.99$18.43$19.53$18.43$18.91
Max Pain$15.57$15.00$20.00$17.50$15.00
ATM IV34.2%28.2%38.2%34.1%33.5%
Expected Move9.8%8.1%10.9%9.8%9.6%
HV 20d33.2%25.7%41.3%41.0%25.7%
HV 60d36.3%35.3%36.8%36.7%36.5%
IV Rank16.2%4.9%24.3%13.9%15.7%
IV Percentile10.5%2.4%21.8%6.3%8.7%
Term Structure3.3%-0.5%8.7%8.7%4.2%
VWIV29.8%19.9%34.1%19.9%33.7%
Skew 25d3.8%-11.4%16.3%16.3%-11.4%
Skew 10d7.1%-5.4%29.6%29.6%-4.3%
Call IV 25d32.4%25.2%37.1%25.2%33.8%
Put IV 25d36.2%22.4%41.5%41.5%22.4%
Bid-Ask Spread %45.2812.7496.8996.8912.74
Gamma HHI0.500.340.720.340.65
Net GEX11.2K6.5K14.5K6.5K11.8K
Net DEX-438.7K-539.1K-335.2K-335.2K-401.3K
Net VEX-2.4K-3.6K-1.3K-1.5K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.002.500.000.00
Total Volume31.90903702031
Total OI1,221.3189641,5319641,488

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$18.43$17.5034.1%9.8%41.0%13.9%19.9%16.3%8.7%6.5K-335.2K-1.5K0.0096.89N/AN/A020530434
2009-12-02$18.90$20.0036.1%10.4%41.3%16.9%0.0%3.9%-0.5%7.2K-388.8K-1.5K0.0083.96N/AN/A00530448
2009-12-03$18.88$20.0028.2%8.1%40.7%4.9%34.1%2.7%1.3%7.4K-394.0K-1.5K0.0040.44N/AN/A260530448
2009-12-04$19.33$15.0038.1%10.4%38.2%19.9%0.0%4.1%2.5%10.8K-488.2K-1.4K0.0033.02N/AN/A200556448
2009-12-07$19.32$15.0037.3%10.5%38.1%19.9%0.0%2.6%2.6%12.0K-510.2K-1.4K0.0072.89N/AN/A00575448
2009-12-08$19.14$15.0030.6%10.2%34.3%9.1%0.0%8.8%3.3%11.5K-477.2K-1.4K0.0088.93N/AN/A30575448
2009-12-09$19.11$15.0037.6%10.4%31.9%20.4%0.0%1.8%2.5%11.8K-474.3K-1.4K0.0073.92N/AN/A00578448
2009-12-10$18.78$15.0034.7%9.9%32.8%17.8%0.0%4.5%4.5%10.8K-413.5K-1.3K0.0088.06N/AN/A016578448
2009-12-11$18.88$15.0033.9%9.7%32.6%16.3%0.0%7.4%4.8%11.1K-421.4K-1.4K1.3388.44N/AN/A3040578464
2009-12-14$19.53$15.0034.8%10.0%34.3%18.1%0.0%9.0%4.2%13.6K-539.1K-1.7K0.0091.58N/AN/A00608504
2009-12-15$18.81$15.0028.5%8.2%34.3%6.4%0.0%6.1%4.3%11.7K-422.0K-1.6K0.0017.82N/AN/A00608504
2009-12-16$18.72$15.0038.2%10.9%34.2%24.3%0.0%4.0%1.6%10.7K-389.9K-1.7K1.1115.97N/AN/A175195608504
2009-12-17$18.48$15.0037.8%10.8%34.3%23.6%0.0%3.0%1.4%10.5K-361.1K-3.4K0.0015.27N/AN/A077783671
2009-12-18$18.69$15.0037.8%10.8%33.5%23.6%0.0%3.3%3.4%9.0K-354.9K-3.6K0.0017.83N/AN/A00783748
2009-12-21$18.97$15.0035.4%10.2%33.4%19.2%0.0%2.3%4.0%11.5K-437.4K-3.6K0.0045.61N/AN/A00735688
2009-12-22$19.02$15.0032.0%9.2%30.6%12.9%0.0%3.9%3.5%12.1K-447.4K-3.6K0.0017.20N/AN/A00734688
2009-12-23$19.13$15.0033.1%9.5%30.6%15.0%0.0%3.9%2.7%12.2K-473.7K-3.6K0.0018.79N/AN/A10734688
2009-12-24$19.19$15.0032.2%9.2%29.4%13.3%0.0%4.6%3.5%13.2K-482.0K-3.5K0.0021.22N/AN/A00735688
2009-12-28$19.20$15.0031.2%8.9%27.0%11.5%31.4%6.7%5.6%14.5K-477.8K-3.4K0.0017.26N/AN/A40735688
2009-12-29$19.02$15.0034.3%9.8%26.2%17.1%0.0%3.3%2.4%12.9K-458.4K-3.4K2.5023.10N/AN/A1025736688
2009-12-30$19.34$15.0033.8%9.7%25.8%16.2%0.0%-6.1%1.8%13.3K-503.3K-3.5K0.0015.10N/AN/A029746713
2009-12-31$18.91$15.0033.5%9.6%25.7%15.7%33.7%-11.4%4.2%11.8K-401.3K-3.6K0.0012.74N/AN/A310746742