BHE Options History — June 2010

In June 2010, BHE traded between $15.85 and $18.57. ATM implied volatility averaged 41.1%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 7.7% (HV 20d: 48.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2010-06-08: Highest Volume — 379 contracts
  • 2010-06-30: Largest IV spike — 31.3% change
  • 2010-06-07: Highest IV Rank — 90.1%
  • 2010-06-30: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.47$15.85$18.57$17.80$15.85
Max Pain$20.34$20.00$22.50$22.50$20.00
ATM IV41.1%36.5%49.5%46.7%48.0%
Expected Move11.8%10.5%13.8%13.4%13.8%
HV 20d48.8%42.2%58.2%50.9%44.9%
HV 60d39.9%35.6%42.2%35.6%42.2%
IV Rank63.3%49.0%90.1%81.2%85.1%
IV Percentile70.6%46.0%98.8%96.8%97.6%
Term Structure-1.3%-22.0%10.8%-0.2%-22.0%
VWIV44.6%37.5%55.9%39.0%45.1%
Skew 25d5.3%-17.6%19.2%15.1%-17.6%
Skew 10d6.2%-14.1%23.5%17.3%-1.7%
Call IV 25d35.3%23.8%47.2%31.5%47.2%
Put IV 25d40.6%29.0%54.2%46.6%29.6%
Bid-Ask Spread %70.9440.5792.6950.4863.48
Gamma HHI0.270.200.350.310.24
Net GEX3.3K-6.1K12.9K1.4K-3.6K
Net DEX985.2K732.4K1.4M890.0K1.2M
Net VEX-5.1K-6.7K-3.2K-6.1K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.0014.4314.430.00
Total Volume40.636037910813
Total OI2,966.2732,7543,2172,7542,894

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$17.80$22.5046.7%13.4%50.9%81.2%39.0%15.1%-0.2%1.4K890.0K-6.1K14.4350.48N/AN/A71011,6411,113
2010-06-02$18.26$22.5046.2%13.2%52.5%79.5%0.0%18.6%-3.2%95895.3K-6.4K2.1049.40N/AN/A10211,6341,207
2010-06-03$18.57$22.5037.6%10.8%53.2%52.3%0.0%17.9%10.8%1.1K807.0K-6.7K0.4067.42N/AN/A2081,6441,228
2010-06-04$17.21$20.0041.8%13.2%58.2%65.6%0.0%14.2%-3.6%-1.1K1.1M-5.5K0.0068.69N/AN/A0531,6441,223
2010-06-07$16.93$20.0049.5%13.0%53.3%90.1%55.9%10.7%-3.4%-4.6K1.2M-5.2K0.0081.92N/AN/A0211,6441,276
2010-06-08$16.59$20.0046.7%12.7%48.2%81.0%43.5%16.9%-2.9%-6.1K1.4M-4.2K0.0375.15N/AN/A367121,6441,297
2010-06-09$16.45$20.0041.3%12.5%48.1%64.1%50.6%14.4%-2.0%2.4K1.3M-4.5K0.0070.48N/AN/A0331,8291,278
2010-06-10$17.20$20.0040.5%11.6%50.0%61.3%40.6%19.2%-0.3%3.9K1.2M-5.2K0.0072.61N/AN/A101,8291,311
2010-06-11$17.49$20.0041.1%11.8%50.9%63.3%0.0%9.3%-1.3%5.8K1.1M-5.4K1.0074.73N/AN/A10101,8301,311
2010-06-14$17.50$20.0041.1%11.8%48.9%63.4%0.0%7.6%-1.2%7.6K1.1M-5.3K0.0079.46N/AN/A001,8401,321
2010-06-15$18.18$20.0039.6%11.4%51.5%58.6%0.0%8.5%-0.3%11.4K836.5K-5.7K0.0079.40N/AN/A6001,8401,321
2010-06-16$18.17$20.0039.9%11.4%50.4%59.6%0.0%5.0%-0.9%12.9K797.3K-5.8K0.0079.96N/AN/A001,8861,321
2010-06-17$18.12$20.0038.1%10.9%50.1%53.9%0.0%1.7%0.2%10.5K895.0K-5.3K0.0079.55N/AN/A1001,8861,321
2010-06-18$17.98$20.0037.5%10.7%46.7%52.0%37.5%9.8%0.5%11.0K896.7K-5.3K1.4379.94N/AN/A7101,8961,321
2010-06-21$17.85$20.0039.1%11.2%45.9%57.2%0.0%8.0%-0.6%6.5K759.2K-5.1K0.0080.42N/AN/A001,6561,145
2010-06-22$17.68$20.0037.2%10.7%46.0%51.2%0.0%-5.0%0.6%4.3K822.8K-5.0K0.0069.71N/AN/A501,6561,145
2010-06-23$17.88$20.0039.6%11.4%46.0%58.7%0.0%-0.6%-1.3%7.2K732.4K-5.1K1.0066.50N/AN/A10101,6611,145
2010-06-24$17.42$20.0038.5%11.0%46.8%55.3%0.0%-8.7%-0.1%3.1K845.2K-5.1K0.9167.58N/AN/A11101,6711,155
2010-06-25$17.46$20.0037.9%10.9%43.3%53.3%0.0%-8.8%2.0%2.0K892.9K-4.9K0.0070.59N/AN/A2001,6811,165
2010-06-28$17.37$20.0039.2%11.2%42.2%57.3%45.1%-7.2%1.8%76969.8K-4.5K0.0092.69N/AN/A4301,7001,165
2010-06-29$16.36$20.0036.5%10.5%45.3%49.0%0.0%-13.0%-0.2%-2.4K1.2M-3.8K0.0040.57N/AN/A1101,7181,165
2010-06-30$15.85$20.0048.0%13.8%44.9%85.1%0.0%-17.6%-22.0%-3.6K1.2M-3.2K0.0063.48N/AN/A0131,7291,165