BHE Options History — August 2010

In August 2010, BHE traded between $14.03 and $17.22. ATM implied volatility averaged 38.0%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 0.7% (HV 20d: 37.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 6.90.

Notable Days

  • 2010-08-26: Highest Volume — 260 contracts
  • 2010-08-11: Largest IV spike — 141.0% change
  • 2010-08-11: Highest IV Rank — 100.0%
  • 2010-08-24: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.55$14.03$17.22$17.16$14.03
Max Pain$15.57$15.00$17.50$17.50$15.00
ATM IV38.0%22.4%54.1%30.3%39.4%
Expected Move10.9%8.7%12.2%8.7%11.3%
HV 20d37.3%32.4%41.5%36.5%37.2%
HV 60d42.0%38.2%45.9%45.9%38.2%
IV Rank51.9%4.5%100.0%29.3%55.5%
IV Percentile60.9%0.8%100.0%19.8%67.5%
Term Structure1.1%-1.5%4.6%4.6%1.7%
VWIV37.8%34.7%40.3%36.4%40.3%
Skew 25d8.0%-3.1%19.1%1.8%14.1%
Skew 10d15.4%-1.6%27.7%3.5%23.9%
Call IV 25d33.9%25.2%42.0%28.6%35.9%
Put IV 25d41.9%30.5%50.2%30.5%50.0%
Bid-Ask Spread %69.0621.7893.9990.8383.34
Gamma HHI0.450.300.690.550.54
Net GEX1.5K-27.5K22.1K18.0K-10.9K
Net DEX635.2K333.3K862.2K344.4K862.2K
Net VEX-2.5K-3.6K-1.7K-3.6K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.900.0045.670.000.00
Total Volume28.0910260010
Total OI2,230.0452,0452,3242,2312,324

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$17.16$17.5030.3%8.7%36.5%29.3%0.0%1.8%4.6%18.0K344.4K-3.6K0.0090.83N/AN/A001,382849
2010-08-03$16.82$17.5036.4%10.4%36.4%48.5%36.4%-3.1%-0.9%13.9K402.3K-3.5K0.0093.99N/AN/A501,382849
2010-08-04$17.03$17.5032.5%9.3%33.9%36.1%0.0%0.1%1.7%17.1K361.8K-3.4K0.0086.72N/AN/A1001,383849
2010-08-05$16.94$17.5032.1%9.2%33.4%34.9%0.0%0.2%1.8%17.9K375.8K-3.4K0.0085.09N/AN/A001,393849
2010-08-06$16.82$17.5031.7%9.5%33.5%33.8%39.9%-0.9%1.1%16.1K439.8K-3.2K0.0021.78N/AN/A0231,393849
2010-08-09$17.22$15.0032.3%9.6%33.8%35.7%0.0%4.0%0.7%22.1K333.3K-3.3K0.0064.07N/AN/A001,393852
2010-08-10$16.70$15.0022.4%10.0%32.4%4.5%34.7%6.7%0.4%17.5K477.5K-3.0K3.3362.90N/AN/A3101,393852
2010-08-11$15.60$15.0054.1%12.0%40.3%100.0%0.0%6.2%0.2%2.2K678.0K-2.6K0.0064.92N/AN/A001,396861
2010-08-12$15.43$15.0041.1%11.8%40.4%60.8%0.0%5.6%-0.1%-4.1K723.5K-2.4K0.0078.72N/AN/A2201,396861
2010-08-13$15.07$15.0041.1%11.8%40.1%60.6%0.0%4.1%1.0%-4.5K738.6K-2.3K0.0087.05N/AN/A081,418861
2010-08-16$15.41$15.0040.9%11.7%40.6%60.3%0.0%8.3%0.8%-4.0K714.8K-2.3K0.0084.59N/AN/A1901,418861
2010-08-17$15.73$15.0039.3%11.3%41.5%55.4%0.0%9.2%1.1%-21622.2K-2.4K0.0074.60N/AN/A001,425850
2010-08-18$15.58$15.0039.9%11.4%41.4%57.1%0.0%8.8%0.8%-2.0K651.4K-2.1K0.0072.56N/AN/A201,425850
2010-08-19$15.07$15.0039.8%11.4%39.0%56.8%0.0%9.5%1.5%-6.9K734.5K-2.1K45.6779.44N/AN/A31371,425850
2010-08-20$15.01$15.0040.0%11.5%37.5%57.4%0.0%9.8%1.5%-27.5K778.1K-2.1K0.0071.46N/AN/A001,424880
2010-08-23$14.64$15.0038.7%11.1%36.6%53.6%0.0%6.3%2.6%-2.4K764.9K-1.9K0.0058.55N/AN/A0301,260806
2010-08-24$14.42$15.0042.4%12.2%36.6%64.8%0.0%17.5%-1.5%-2.7K777.0K-1.8K0.0063.88N/AN/A0241,260806
2010-08-25$14.50$15.0040.9%11.7%37.0%60.2%0.0%19.1%2.4%-2.7K752.6K-1.8K20.0037.12N/AN/A2401,260785
2010-08-26$14.19$15.0042.2%12.1%36.9%63.9%0.0%18.2%0.4%-3.6K762.5K-1.7K0.0053.95N/AN/A02601,260796
2010-08-27$14.54$15.0040.2%11.5%38.7%57.9%0.0%16.3%0.5%-9.4K830.7K-2.1K0.0048.70N/AN/A401,2601,056
2010-08-30$14.11$15.0039.3%11.3%37.3%55.3%40.3%15.1%1.6%-10.3K847.8K-2.0K0.0055.15N/AN/A601,2631,056
2010-08-31$14.03$15.0039.4%11.3%37.2%55.5%0.0%14.1%1.7%-10.9K862.2K-2.0K0.0083.34N/AN/A0101,2681,056