BHE Options History — February 2010 In February 2010, BHE traded between $18.05 and $20.41. ATM implied volatility averaged 34.9%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 2.4% (HV 20d: 32.4%). 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 10 of 19 days. Put/call ratio averaged 4.50.
Notable Days 2010-02-03 : Highest Volume — 418 contracts2010-02-08 : Largest IV spike — 23.1% change2010-02-02 : Highest IV Rank — 47.5%2010-02-02 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $19.33 $18.05 $20.41 $18.65 $19.80 Max Pain $17.89 $17.50 $20.00 $20.00 $17.50 ATM IV 34.9% 29.9% 44.6% 44.6% 29.9% Expected Move 10.3% 8.6% 12.8% 12.8% 8.6% HV 20d 32.4% 26.9% 36.0% 29.8% 31.4% HV 60d 30.5% 28.4% 32.6% 32.6% 28.4% IV Rank 27.2% 16.8% 47.5% 47.5% 16.8% IV Percentile 20.3% 5.6% 62.3% 61.9% 5.6% Term Structure -0.0% -3.3% 3.8% -1.7% 2.2% VWIV 37.9% 32.9% 42.9% 42.9% 32.9% Skew 25d 4.1% -4.9% 12.7% 6.4% -0.2% Skew 10d 8.5% -9.0% 20.9% 17.7% 0.3% Call IV 25d 32.7% 25.4% 40.5% 39.8% 26.2% Put IV 25d 36.7% 26.0% 46.2% 46.2% 26.0% Bid-Ask Spread % 49.97 22.84 87.97 25.71 22.84 Gamma HHI 0.57 0.45 0.72 0.45 0.60 Net GEX 28.6K 7.7K 44.9K 7.7K 23.6K Net DEX -599.7K -1.3M -37.5K -37.5K -565.8K Net VEX -5.8K -6.5K -5.5K -5.7K -6.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.50 0.00 48.00 0.00 0.00 Total Volume 69.474 0 418 0 28 Total OI 1,745.842 1,470 1,922 1,470 1,778
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 2010-02-01 $18.65 $20.00 44.6% 12.8% 29.8% 47.5% 0.0% 6.4% -1.7% 7.7K -37.5K -5.7K 0.00 25.71 N/A N/A 0 0 809 661 2010-02-02 $18.74 $20.00 44.6% 12.8% 27.2% 47.5% 0.0% 3.3% -1.9% 8.4K -78.0K -5.7K 0.00 36.98 N/A N/A 0 0 809 661 2010-02-03 $18.76 $20.00 37.6% 10.8% 26.9% 32.9% 42.9% 6.1% 0.7% 8.6K -68.9K -5.7K 0.00 33.06 N/A N/A 418 0 809 661 2010-02-04 $18.05 $17.50 37.8% 10.8% 29.7% 33.3% 37.7% 9.3% -0.9% 33.4K -336.9K -5.8K 0.26 55.74 N/A N/A 42 11 1,207 661 2010-02-05 $18.60 $17.50 32.6% 11.9% 32.0% 22.6% 42.4% 10.0% -2.1% 33.9K -554.0K -6.2K 0.00 36.65 N/A N/A 62 0 1,249 661 2010-02-08 $18.25 $17.50 40.2% 11.3% 32.4% 38.3% 0.0% 3.9% -1.1% 37.2K -440.2K -5.9K 0.00 32.53 N/A N/A 0 0 1,261 661 2010-02-09 $18.60 $17.50 33.9% 11.6% 33.3% 25.3% 0.0% 7.4% -3.3% 40.6K -580.3K -5.9K 0.00 57.67 N/A N/A 283 0 1,261 661 2010-02-10 $18.43 $17.50 32.1% 11.4% 33.4% 21.4% 0.0% -0.4% -3.0% 33.7K -353.5K -5.6K 0.00 67.61 N/A N/A 0 0 1,158 661 2010-02-11 $18.98 $17.50 30.9% 8.8% 34.9% 18.8% 0.0% 6.9% 1.9% 32.2K -543.7K -5.8K 0.00 74.89 N/A N/A 0 0 1,158 661 2010-02-12 $19.35 $17.50 34.2% 9.8% 35.7% 25.8% 0.0% 9.4% 0.8% 28.0K -700.0K -5.8K 0.00 78.09 N/A N/A 0 0 1,158 661 2010-02-16 $19.59 $17.50 36.1% 10.3% 36.0% 29.7% 0.0% 12.7% -0.4% 34.2K -815.6K -5.7K 0.10 45.00 N/A N/A 10 1 1,158 661 2010-02-17 $19.87 $17.50 33.8% 9.7% 35.5% 25.0% 33.8% 2.5% 1.4% 44.7K -952.8K -5.7K 0.00 37.21 N/A N/A 27 0 1,168 661 2010-02-18 $20.41 $17.50 34.9% 10.0% 33.9% 27.2% 0.0% 5.3% -1.8% 39.9K -1.3M -5.7K 0.00 48.71 N/A N/A 119 0 1,193 661 2010-02-19 $20.36 $17.50 32.9% 9.4% 33.7% 23.1% 32.9% -4.9% 1.4% 44.9K -1.3M -5.5K 0.00 35.32 N/A N/A 66 0 1,176 661 2010-02-22 $20.41 $17.50 31.7% 9.1% 32.4% 20.6% 0.0% -1.8% 3.8% 24.5K -796.8K -5.5K 48.00 87.97 N/A N/A 1 48 919 624 2010-02-23 $20.10 $17.50 32.2% 9.2% 32.7% 21.5% 0.0% 2.2% 0.7% 23.0K -645.0K -5.7K 0.00 46.61 N/A N/A 0 98 920 672 2010-02-24 $20.28 $17.50 31.7% 9.1% 32.7% 20.6% 0.0% -4.1% 0.9% 20.9K -669.2K -5.9K 0.00 60.25 N/A N/A 86 0 920 752 2010-02-25 $20.11 $17.50 31.0% 8.9% 32.8% 19.2% 0.0% 3.2% 1.8% 23.7K -690.6K -6.4K 5.67 66.61 N/A N/A 3 17 1,006 752 2010-02-26 $19.80 $17.50 29.9% 8.6% 31.4% 16.8% 0.0% -0.2% 2.2% 23.6K -565.8K -6.5K 0.00 22.84 N/A N/A 28 0 1,009 769
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