BHE Options History — April 2010

In April 2010, BHE traded between $20.76 and $22.45. ATM implied volatility averaged 28.0%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.0% (HV 20d: 23.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2010-04-28: Highest Volume — 220 contracts
  • 2010-04-13: Largest IV spike — 39.8% change
  • 2010-04-23: Highest IV Rank — 24.4%
  • 2010-04-13: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.74$20.76$22.45$20.76$21.64
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV28.0%22.8%31.9%26.3%27.9%
Expected Move8.5%7.5%9.4%7.5%8.0%
HV 20d23.0%21.3%25.3%23.7%25.3%
HV 60d26.8%25.5%28.0%27.0%26.3%
IV Rank15.7%3.9%24.4%11.8%15.5%
IV Percentile11.5%0.8%24.6%4.4%11.1%
Term Structure0.3%-1.7%6.6%6.6%0.3%
VWIV29.9%28.2%30.9%30.4%28.2%
Skew 25d4.1%-0.8%8.5%7.7%6.3%
Skew 10d4.3%-6.5%14.1%11.5%10.4%
Call IV 25d27.9%19.3%32.8%19.3%26.2%
Put IV 25d32.0%25.7%34.3%27.0%32.6%
Bid-Ask Spread %41.3715.4175.3526.8139.97
Gamma HHI0.310.290.360.330.33
Net GEX23.4K19.6K27.4K27.4K24.2K
Net DEX-1.1M-1.3M-706.1K-706.1K-924.0K
Net VEX-10.4K-10.8K-9.9K-10.5K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.080.000.00
Total Volume44.66702200171
Total OI2,637.6672,4122,8922,6832,649

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$20.76$20.0026.3%7.5%23.7%11.8%0.0%7.7%6.6%27.4K-706.1K-10.5K0.0026.81N/AN/A001,4631,220
2010-04-05$21.27$20.0024.7%8.8%22.4%8.2%0.0%2.8%0.5%26.4K-975.5K-10.3K0.0034.62N/AN/A601,4631,220
2010-04-06$21.35$20.0023.6%8.6%22.2%5.8%0.0%1.7%-0.4%24.3K-1.1M-10.2K0.7127.15N/AN/A14101,4631,220
2010-04-07$21.40$20.0024.2%8.5%21.8%7.1%0.0%2.0%-0.3%23.2K-1.1M-10.2K1.0828.32N/AN/A51551,4771,230
2010-04-08$21.41$20.0024.6%8.4%21.6%8.0%0.0%2.4%-0.4%23.8K-1.1M-10.2K0.0026.92N/AN/A001,4771,230
2010-04-09$21.38$20.0025.8%8.5%21.6%10.7%0.0%5.7%0.4%23.4K-1.1M-10.7K1.0017.00N/AN/A20201,5281,285
2010-04-12$21.43$20.0022.8%8.5%21.6%3.9%0.0%6.2%0.2%21.0K-1.2M-10.7K0.0015.41N/AN/A031,5481,305
2010-04-13$21.21$20.0031.8%9.4%21.9%24.4%0.0%2.9%-0.2%21.5K-1.0M-10.8K0.0061.36N/AN/A6001,5481,305
2010-04-14$21.90$20.0026.8%8.3%24.6%13.0%30.4%1.4%0.1%24.1K-1.3M-10.6K0.0051.55N/AN/A6001,5271,305
2010-04-15$21.70$20.0029.0%8.3%24.6%17.9%0.0%7.2%0.5%25.9K-1.3M-10.7K0.0042.89N/AN/A4001,5871,305
2010-04-16$21.65$20.0029.7%8.5%24.6%19.5%29.7%6.5%-0.0%24.5K-1.3M-10.6K0.0646.86N/AN/A5231,5651,305
2010-04-19$21.68$20.0030.3%8.7%23.8%20.9%0.0%3.9%-0.1%21.3K-850.1K-10.7K0.0049.67N/AN/A021,3591,053
2010-04-20$22.35$20.0030.4%8.7%25.1%21.2%30.4%2.5%0.1%22.6K-1.2M-10.3K0.0041.20N/AN/A1301,3591,055
2010-04-21$22.25$20.0029.9%8.6%24.7%20.1%0.0%2.2%0.2%24.0K-1.2M-10.4K0.0040.83N/AN/A001,3721,055
2010-04-22$21.95$20.0030.2%8.7%21.3%20.7%0.0%6.3%-0.5%23.5K-1.0M-10.5K0.0048.42N/AN/A1001,3721,055
2010-04-23$22.32$20.0031.9%9.1%21.3%24.4%0.0%-0.8%-1.6%23.1K-1.2M-10.3K0.0048.64N/AN/A001,3621,055
2010-04-26$22.45$20.0031.3%9.0%21.3%23.2%0.0%1.8%-1.7%23.8K-1.3M-9.9K0.0044.09N/AN/A0951,3621,055
2010-04-27$21.95$20.0028.1%8.1%23.2%16.0%0.0%8.3%1.6%19.6K-1.1M-10.3K0.0075.35N/AN/A0101,3621,148
2010-04-28$22.40$20.0030.9%8.9%23.9%22.4%30.9%0.8%-0.6%19.7K-1.2M-10.0K0.6767.60N/AN/A132881,3621,143
2010-04-29$22.19$20.0028.0%8.0%23.2%15.8%0.0%8.5%1.1%25.1K-1.2M-10.6K0.9234.14N/AN/A12111,4751,162
2010-04-30$21.64$20.0027.9%8.0%25.3%15.5%28.2%6.3%0.3%24.2K-924.0K-10.6K0.0039.97N/AN/A17101,4871,162