BHE Options History — March 2010

In March 2010, BHE traded between $20.22 and $21.98. ATM implied volatility averaged 27.6%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.6% (HV 20d: 25.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.66.

Notable Days

  • 2010-03-30: Highest Volume — 457 contracts
  • 2010-03-11: Largest IV spike — 45.3% change
  • 2010-03-15: Highest IV Rank — 23.1%
  • 2010-03-08: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.04$20.22$21.98$20.47$20.74
Max Pain$19.57$17.50$20.00$17.50$20.00
ATM IV27.6%21.0%31.3%31.0%23.4%
Expected Move8.2%6.7%9.2%8.9%6.7%
HV 20d25.0%20.6%30.8%30.8%23.7%
HV 60d27.8%26.5%28.9%28.8%27.1%
IV Rank14.0%0.0%23.1%19.0%5.3%
IV Percentile4.9%0.0%11.9%7.5%0.8%
Term Structure4.6%0.3%13.1%2.3%11.4%
VWIV28.8%22.9%35.4%35.4%22.9%
Skew 25d4.4%-11.2%12.0%7.0%9.3%
Skew 10d9.2%-2.5%45.6%9.1%12.7%
Call IV 25d25.2%16.1%30.0%23.4%16.7%
Put IV 25d29.7%16.4%36.5%30.4%26.1%
Bid-Ask Spread %27.0815.2447.6034.9925.01
Gamma HHI0.460.330.580.580.33
Net GEX23.0K17.2K29.5K25.6K26.7K
Net DEX-993.0K-1.4M-715.9K-831.5K-739.4K
Net VEX-7.4K-10.4K-6.3K-6.5K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.003.131.190.21
Total Volume73.13045746103
Total OI2,055.1741,7992,6281,7992,628

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$20.47$17.5031.0%8.9%30.8%19.0%0.0%7.0%2.3%25.6K-831.5K-6.5K1.1934.99N/AN/A21251,030769
2010-03-02$20.35$17.5031.3%9.0%30.3%19.8%0.0%11.4%0.5%25.7K-800.1K-6.6K0.0024.44N/AN/A3301,051794
2010-03-03$20.26$17.5030.3%8.7%30.5%17.6%0.0%6.4%0.3%27.3K-774.4K-6.6K0.0026.03N/AN/A1901,051794
2010-03-04$20.22$17.5030.0%8.6%30.5%17.0%0.0%4.1%1.6%28.5K-773.8K-6.6K0.5021.27N/AN/A1261,070794
2010-03-05$20.89$20.0024.1%8.3%27.8%4.6%0.0%2.1%4.6%27.8K-1.1M-6.3K2.0327.88N/AN/A30611,070794
2010-03-08$20.73$20.0030.9%9.2%26.9%19.0%0.0%-0.3%2.1%27.7K-997.6K-6.8K0.0015.24N/AN/A001,100855
2010-03-09$21.00$20.0027.2%8.6%25.4%11.2%0.0%-0.6%4.2%29.5K-1.1M-6.7K0.0020.57N/AN/A0241,100855
2010-03-10$21.16$20.0021.0%8.8%25.0%0.0%0.0%1.7%3.4%20.4K-1.2M-6.7K0.0018.35N/AN/A3501,100879
2010-03-11$21.23$20.0030.6%8.8%24.4%21.5%0.0%1.4%3.2%20.2K-1.2M-6.6K0.0020.67N/AN/A0321,119879
2010-03-12$21.29$20.0029.2%8.4%22.9%18.5%35.4%3.9%2.6%21.5K-1.2M-6.5K0.0021.47N/AN/A101,119847
2010-03-15$21.17$20.0031.3%9.0%22.7%23.1%31.2%2.8%3.3%21.3K-1.2M-6.5K0.2717.80N/AN/A125341,119847
2010-03-16$21.26$20.0030.0%8.6%22.5%20.3%0.0%2.5%3.1%17.9K-1.2M-7.2K0.0047.60N/AN/A6501,194881
2010-03-17$21.51$20.0027.5%7.9%22.3%14.6%31.4%6.2%4.5%17.2K-1.2M-7.0K0.0046.96N/AN/A10701,139881
2010-03-18$21.57$20.0028.2%8.1%20.6%16.1%33.0%5.9%4.2%21.6K-1.4M-7.4K0.0219.41N/AN/A5011,234881
2010-03-19$21.22$20.0030.0%8.6%21.7%20.2%0.0%3.4%3.4%25.0K-1.2M-7.5K3.1326.05N/AN/A8251,234880
2010-03-22$21.66$20.0025.7%7.4%22.6%10.6%23.8%6.9%5.1%20.8K-1.1M-7.3K2.4242.83N/AN/A451091,084887
2010-03-23$21.98$20.0025.4%7.3%21.9%9.9%25.4%7.3%3.9%18.5K-1.1M-7.9K1.8925.86N/AN/A36681,119976
2010-03-24$21.20$20.0023.5%6.7%26.1%5.6%27.4%-11.2%2.0%18.5K-807.9K-8.6K0.0036.95N/AN/A101,1441,041
2010-03-25$20.96$20.0025.9%7.4%26.3%11.1%0.0%6.0%11.8%18.6K-724.8K-8.5K0.0232.28N/AN/A4511,1451,041
2010-03-26$20.97$20.0027.5%7.9%25.5%14.7%0.0%1.9%7.3%21.8K-727.2K-8.6K0.9725.77N/AN/A35341,1831,042
2010-03-29$20.92$20.0024.8%7.1%22.9%8.5%0.0%11.6%13.1%22.0K-715.9K-8.9K0.0024.01N/AN/A3401,2181,076
2010-03-30$21.10$20.0026.8%7.7%22.8%13.1%0.0%12.0%7.7%24.9K-793.4K-9.0K0.5521.38N/AN/A2951621,2491,076
2010-03-31$20.74$20.0023.4%6.7%23.7%5.3%22.9%9.3%11.4%26.7K-739.4K-10.4K0.2125.01N/AN/A85181,4231,205