BHE Options History — July 2010

In July 2010, BHE traded between $14.97 and $17.66. ATM implied volatility averaged 38.9%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 2.4% (HV 20d: 41.3%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2010-07-09: Highest Volume — 187 contracts
  • 2010-07-13: Largest IV spike — 47.4% change
  • 2010-07-13: Highest IV Rank — 98.3%
  • 2010-07-07: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.40$14.97$17.66$15.20$16.70
Max Pain$15.71$15.00$20.00$20.00$17.50
ATM IV38.9%29.1%52.2%45.6%34.8%
Expected Move11.3%9.4%13.2%13.1%10.0%
HV 20d41.3%35.6%45.6%45.6%35.6%
HV 60d44.7%42.8%46.0%42.8%45.8%
IV Rank56.4%25.6%98.3%77.7%43.4%
IV Percentile59.1%13.5%99.6%94.4%39.7%
Term Structure-0.2%-2.9%2.3%1.2%-0.0%
VWIV39.5%32.8%45.5%45.5%32.8%
Skew 25d5.7%-7.5%11.2%8.6%-0.6%
Skew 10d10.8%-2.6%27.0%11.6%7.4%
Call IV 25d34.6%27.7%43.5%35.4%35.5%
Put IV 25d40.3%24.1%53.3%44.0%35.0%
Bid-Ask Spread %60.3315.37106.0515.37102.99
Gamma HHI0.320.210.460.230.30
Net GEX3.3K-7.7K15.6K-4.3K2.6K
Net DEX857.7K237.1K1.4M1.3M544.5K
Net VEX-3.3K-4.0K-2.4K-2.6K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.006.671.330.00
Total Volume54.571018741167
Total OI2,663.7142,0643,4552,9072,064

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$15.20$20.0045.6%13.1%45.6%77.7%45.5%8.6%1.2%-4.3K1.3M-2.6K0.0015.37N/AN/A0411,7291,178
2010-07-02$15.28$20.0045.0%12.9%38.5%75.7%45.0%4.3%2.0%-5.5K1.3M-2.7K1.3337.60N/AN/A21281,7291,197
2010-07-06$14.97$15.0048.1%13.0%38.7%85.4%0.0%9.7%0.0%-5.7K1.4M-2.4K2.9228.49N/AN/A12351,7401,213
2010-07-07$15.62$15.0036.4%13.2%41.9%48.5%45.4%11.2%-2.5%-7.7K1.4M-2.5K1.0629.11N/AN/A63671,7301,238
2010-07-08$15.97$15.0038.3%12.7%42.8%54.5%0.0%10.2%-2.6%-6.7K1.3M-2.7K0.1126.14N/AN/A91101,7921,253
2010-07-09$16.08$15.0029.1%12.7%39.4%25.6%39.9%10.8%-2.9%-3.9K1.3M-2.7K0.7828.41N/AN/A105821,8371,261
2010-07-12$15.87$15.0035.4%12.4%38.8%45.3%38.3%7.0%-1.9%-2.3K1.3M-3.0K0.0227.47N/AN/A14731,9251,323
2010-07-13$16.59$15.0052.2%10.3%42.5%98.3%0.0%8.6%0.2%-1581.1M-3.7K0.5548.72N/AN/A20112,0721,326
2010-07-14$16.73$15.0047.2%10.2%40.0%82.6%42.4%-7.5%0.9%-3021.0M-3.8K0.5069.63N/AN/A20102,0921,337
2010-07-15$16.59$15.0035.0%10.0%40.0%44.1%0.0%10.1%1.2%-91.1M-3.8K1.2542.40N/AN/A16202,0821,337
2010-07-16$16.15$15.0042.0%12.1%40.8%66.4%0.0%4.9%-0.6%4.7K1.2M-3.5K0.0052.66N/AN/A002,0981,357
2010-07-19$16.41$15.0036.5%10.5%41.5%48.9%34.8%6.0%0.2%6.3K536.6K-3.4K0.0055.49N/AN/A101,271828
2010-07-20$16.34$15.0041.1%11.8%41.5%63.3%43.6%7.0%-0.2%5.6K542.1K-3.4K0.0063.67N/AN/A1401,271828
2010-07-21$16.18$15.0041.7%11.9%41.5%65.2%0.0%5.2%2.3%6.2K542.1K-3.3K0.0078.52N/AN/A301,285828
2010-07-22$16.92$15.0034.7%9.9%44.7%43.2%0.0%9.1%0.1%10.5K442.0K-3.5K0.0092.23N/AN/A001,288828
2010-07-23$17.32$15.0034.2%9.8%44.7%41.7%0.0%10.7%0.3%13.4K335.1K-3.8K0.0091.39N/AN/A2001,288828
2010-07-26$17.66$15.0034.6%9.9%45.3%42.7%34.6%3.0%-1.3%15.5K259.7K-3.8K0.0088.15N/AN/A801,288828
2010-07-27$17.53$15.0035.5%10.2%45.3%45.7%34.5%1.7%0.1%15.6K237.1K-4.0K0.0083.00N/AN/A701,292828
2010-07-28$17.30$15.0036.8%10.6%39.8%49.9%36.8%-2.3%-2.0%12.9K362.6K-3.6K6.6799.50N/AN/A3201,285828
2010-07-29$16.91$17.5032.8%9.4%38.9%37.1%32.8%1.3%0.4%12.4K398.6K-3.7K0.01106.05N/AN/A10011,288848
2010-07-30$16.70$17.5034.8%10.0%35.6%43.4%0.0%-0.6%-0.0%2.6K544.5K-3.2K0.00102.99N/AN/A16701,215849