BHE Options History — January 2010

In January 2010, BHE traded between $18.22 and $20.18. ATM implied volatility averaged 34.2%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 8.6% (HV 20d: 25.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.33.

Notable Days

2010-01-12: Highest Volume — 153 contracts
2010-01-14: Largest IV spike — 44.4% change
2010-01-28: Highest IV Rank — 41.1%
2010-01-28: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.35	$18.22	$20.18	$19.54	$18.22
Max Pain	$19.08	$17.50	$20.00	$20.00	$20.00
ATM IV	34.2%	21.8%	41.5%	37.2%	40.5%
Expected Move	10.6%	8.6%	11.9%	10.9%	11.6%
HV 20d	25.6%	19.5%	29.4%	28.2%	29.4%
HV 60d	35.1%	31.9%	37.1%	37.0%	32.6%
IV Rank	21.3%	0.0%	41.1%	22.4%	39.0%
IV Percentile	19.1%	0.0%	50.0%	19.8%	42.5%
Term Structure	-0.6%	-4.2%	1.3%	0.2%	-1.3%
VWIV	38.6%	36.2%	41.8%	40.3%	41.8%
Skew 25d	4.3%	0.6%	8.9%	3.3%	0.6%
Skew 10d	3.7%	-6.0%	14.1%	-2.9%	-0.1%
Call IV 25d	35.6%	29.6%	40.8%	36.7%	39.3%
Put IV 25d	39.8%	37.3%	43.0%	40.0%	39.9%
Bid-Ask Spread %	59.23	23.66	81.07	27.43	78.51
Gamma HHI	0.53	0.42	0.69	0.64	0.45
Net GEX	17.1K	6.9K	44.6K	14.3K	6.9K
Net DEX	-449.1K	-798.1K	21.4K	-531.7K	21.4K
Net VEX	-5.2K	-6.0K	-3.5K	-3.5K	-5.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.00	1.83	0.25	0.05
Total Volume	45.526	0	153	50	15
Total OI	1,596.316	1,302	2,079	1,497	1,455

Daily Data (19 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
2010-01-04	$19.54	$20.00	37.2%	10.9%	28.2%	22.4%	40.3%	3.3%	0.2%	14.3K	-531.7K	-3.5K	0.25	27.43	N/A	N/A	40	10	755	742
2010-01-05	$19.30	$17.50	27.2%	10.3%	27.4%	4.1%	0.0%	2.8%	0.6%	14.8K	-496.4K	-3.6K	0.00	32.13	N/A	N/A	92	0	794	752
2010-01-06	$19.46	$17.50	34.7%	10.6%	27.6%	17.9%	37.3%	3.3%	-0.8%	17.0K	-630.9K	-4.2K	0.00	23.66	N/A	N/A	98	0	886	752
2010-01-07	$19.37	$17.50	33.1%	10.6%	27.4%	15.0%	0.0%	2.2%	0.3%	20.7K	-696.0K	-4.6K	0.00	27.51	N/A	N/A	0	0	984	752
2010-01-08	$19.51	$17.50	29.7%	10.4%	27.5%	8.7%	0.0%	4.1%	0.3%	22.1K	-744.4K	-4.5K	0.00	48.06	N/A	N/A	0	0	984	752
2010-01-11	$19.45	$17.50	32.7%	10.4%	26.7%	14.2%	0.0%	4.0%	0.9%	22.1K	-720.5K	-4.4K	0.00	34.07	N/A	N/A	95	0	984	752
2010-01-12	$19.45	$17.50	21.8%	10.8%	26.6%	0.0%	0.0%	4.0%	-0.8%	24.4K	-746.6K	-4.6K	1.83	36.15	N/A	N/A	54	99	1,052	752
2010-01-13	$19.72	$17.50	24.9%	10.4%	24.3%	5.2%	36.6%	3.9%	-0.7%	35.0K	-798.1K	-5.5K	0.00	68.96	N/A	N/A	0	45	1,105	851
2010-01-14	$19.72	$20.00	35.9%	10.3%	19.7%	24.4%	0.0%	4.8%	-0.2%	37.8K	-739.6K	-5.6K	0.60	66.52	N/A	N/A	63	38	1,105	896
2010-01-15	$19.77	$20.00	36.6%	10.5%	19.5%	25.7%	0.0%	5.1%	-1.4%	44.6K	-736.5K	-6.0K	0.00	70.50	N/A	N/A	0	0	1,145	934
2010-01-19	$20.18	$20.00	36.2%	10.4%	19.5%	25.0%	36.2%	5.9%	-0.8%	7.1K	-401.5K	-5.9K	0.50	66.18	N/A	N/A	40	20	693	609
2010-01-20	$19.42	$20.00	34.5%	9.9%	24.5%	22.0%	0.0%	7.7%	0.7%	7.7K	-240.9K	-6.0K	0.25	80.43	N/A	N/A	65	16	733	628
2010-01-21	$19.28	$20.00	34.1%	9.8%	24.2%	21.4%	0.0%	8.9%	1.3%	8.3K	-236.2K	-6.0K	0.00	76.19	N/A	N/A	0	1	754	644
2010-01-22	$18.86	$20.00	29.9%	8.6%	25.5%	14.0%	0.0%	5.8%	0.2%	6.9K	-135.6K	-5.9K	0.00	76.97	N/A	N/A	0	0	754	644
2010-01-25	$19.20	$20.00	41.1%	11.8%	26.3%	33.5%	0.0%	5.9%	-3.0%	7.5K	-182.2K	-5.9K	0.00	76.17	N/A	N/A	23	0	754	644
2010-01-26	$19.12	$20.00	40.0%	11.5%	26.3%	38.0%	0.0%	4.6%	-2.9%	8.9K	-180.1K	-5.9K	0.00	76.33	N/A	N/A	0	0	777	644
2010-01-27	$19.32	$20.00	38.0%	10.9%	26.6%	33.8%	39.6%	1.9%	0.6%	9.5K	-232.3K	-5.9K	0.20	81.07	N/A	N/A	25	5	777	644
2010-01-28	$18.77	$20.00	41.5%	11.9%	28.4%	41.1%	41.8%	2.2%	-4.2%	8.8K	-105.3K	-5.8K	0.05	78.45	N/A	N/A	20	1	802	645
2010-01-29	$18.22	$20.00	40.5%	11.6%	29.4%	39.0%	0.0%	0.6%	-1.3%	6.9K	21.4K	-5.6K	0.00	78.51	N/A	N/A	0	15	809	646