BHE Options History — May 2010

In May 2010, BHE traded between $18.11 and $22.00. ATM implied volatility averaged 40.7%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 0.7% (HV 20d: 41.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.95.

Notable Days

  • 2010-05-18: Highest Volume — 250 contracts
  • 2010-05-07: Largest IV spike — 35.6% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-24: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.87$18.11$22.00$22.00$18.48
Max Pain$22.00$20.00$22.50$20.00$22.50
ATM IV40.7%29.1%52.7%30.1%43.4%
Expected Move11.5%8.3%15.1%8.6%12.5%
HV 20d41.4%24.6%50.7%24.6%50.7%
HV 60d31.0%24.2%35.6%25.0%35.6%
IV Rank55.8%18.1%100.0%20.4%70.7%
IV Percentile65.7%13.9%100.0%18.3%86.1%
Term Structure-0.8%-8.6%5.0%-1.1%0.4%
VWIV39.5%37.6%41.9%41.9%39.7%
Skew 25d6.0%-2.8%14.4%-2.8%5.3%
Skew 10d11.5%-6.3%23.8%-1.5%-6.3%
Call IV 25d36.3%27.1%45.6%27.1%39.1%
Put IV 25d42.3%24.3%52.6%24.3%44.4%
Bid-Ask Spread %56.7235.8482.0644.6140.44
Gamma HHI0.310.250.450.450.29
Net GEX20.7K3.1K37.6K37.1K4.2K
Net DEX-39.4K-1.2M761.1K-1.2M645.9K
Net VEX-9.3K-11.4K-6.9K-10.8K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.0019.000.000.33
Total Volume77.6025010
Total OI2,921.852,7403,1852,7852,754

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$22.00$20.0030.1%8.6%24.6%20.4%0.0%-2.8%-1.1%37.1K-1.2M-10.8K0.0044.61N/AN/A101,6231,162
2010-05-04$21.76$20.0029.1%8.3%24.9%18.1%0.0%7.2%0.4%35.9K-1.1M-10.8K0.0035.84N/AN/A12201,6241,162
2010-05-05$21.59$20.0030.9%8.8%25.1%22.2%0.0%4.8%-0.9%37.6K-1.1M-11.3K19.0050.83N/AN/A1191,7171,162
2010-05-06$20.99$20.0029.9%8.6%27.1%19.9%0.0%-0.1%5.0%31.9K-677.9K-11.0K11.9071.83N/AN/A101191,7171,181
2010-05-07$19.51$22.5040.5%11.8%37.3%43.9%41.9%7.1%-0.0%16.0K157.1K-10.2K0.3340.90N/AN/A115381,7271,218
2010-05-10$20.60$22.5044.1%10.6%42.7%52.1%0.0%5.3%0.1%27.0K-386.6K-11.4K0.0053.12N/AN/A001,8371,243
2010-05-11$20.58$22.5045.4%11.1%42.6%55.0%38.6%7.3%0.3%27.3K-424.6K-11.4K1.6158.72N/AN/A41661,8371,243
2010-05-12$21.20$22.5035.3%10.6%42.4%32.3%37.6%7.8%0.3%34.5K-748.1K-10.9K0.3857.12N/AN/A73281,8031,200
2010-05-13$21.18$22.5038.1%10.9%42.3%38.6%0.0%7.5%-3.4%32.7K-720.5K-10.6K0.0052.34N/AN/A0341,7531,208
2010-05-14$20.20$22.5040.0%11.5%45.4%58.2%0.0%8.9%-1.4%23.0K-127.2K-9.8K0.0063.85N/AN/A051,7341,196
2010-05-17$20.08$22.5039.5%11.3%45.3%56.6%0.0%5.8%-0.7%21.2K13.8K-9.5K0.0059.69N/AN/A0111,7341,201
2010-05-18$19.41$22.5039.7%11.4%44.6%57.4%0.0%8.5%0.0%16.4K329.6K-8.9K0.0041.07N/AN/A25001,7341,211
2010-05-19$19.08$22.5041.0%11.8%44.8%61.4%0.0%14.4%-0.5%31.6K487.4K-8.6K0.0065.58N/AN/A061,9741,211
2010-05-20$18.11$22.5052.1%14.9%47.5%100.0%0.0%7.0%-2.7%10.7K761.1K-7.5K0.0062.00N/AN/A25001,9741,211
2010-05-21$18.52$22.5051.5%14.8%47.9%97.9%0.0%8.0%-1.9%8.9K716.0K-7.7K0.0066.04N/AN/A16501,8401,211
2010-05-24$18.55$22.5052.7%15.1%47.8%100.0%0.0%9.9%-8.6%6.1K581.8K-7.8K0.5482.06N/AN/A35191,6271,152
2010-05-25$18.29$22.5048.2%13.8%47.6%85.9%0.0%4.3%-1.4%3.3K728.7K-7.2K5.0880.78N/AN/A12611,6121,148
2010-05-26$18.17$22.5043.5%12.5%46.3%70.9%0.0%3.1%0.8%3.1K722.4K-6.9K2.1066.43N/AN/A10211,6231,117
2010-05-27$19.03$22.5038.4%11.0%50.5%55.0%39.7%0.4%-1.6%6.2K489.0K-7.5K0.3341.17N/AN/A30101,6331,123
2010-05-28$18.48$22.5043.4%12.5%50.7%70.7%0.0%5.3%0.4%4.2K645.9K-7.0K0.0040.44N/AN/A001,6411,113