BHE Options History — September 2010

In September 2010, BHE traded between $14.59 and $16.65. ATM implied volatility averaged 35.8%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 1.0% (HV 20d: 34.9%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.29.

Notable Days

  • 2010-09-29: Highest Volume — 139 contracts
  • 2010-09-29: Largest IV drop — 49.7% change
  • 2010-09-28: Highest IV Rank — 71.8%
  • 2010-09-28: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.52$14.59$16.65$14.59$16.40
Max Pain$19.52$15.00$20.00$15.00$20.00
ATM IV35.8%19.8%44.8%39.1%19.8%
Expected Move10.4%5.7%12.8%11.2%5.7%
HV 20d34.9%29.7%42.5%40.3%32.5%
HV 60d38.0%36.4%39.1%39.0%36.4%
IV Rank45.0%0.0%71.8%54.8%0.0%
IV Percentile48.1%0.0%91.7%65.1%0.0%
Term Structure5.9%-9.4%17.7%1.4%16.9%
VWIV33.4%18.7%44.4%36.4%23.7%
Skew 25d10.4%-1.5%22.9%14.9%-1.5%
Skew 10d10.2%-2.1%28.7%24.2%-0.2%
Call IV 25d26.1%17.9%37.5%30.4%24.3%
Put IV 25d36.5%22.8%45.9%45.4%22.8%
Bid-Ask Spread %65.0219.89100.3849.2386.96
Gamma HHI0.390.300.470.460.34
Net GEX-8.5K-11.4K-410-10.0K-410
Net DEX730.3K596.3K826.2K826.2K596.3K
Net VEX-1.9K-2.2K-1.7K-1.9K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.007.006.800.00
Total Volume25.7620139010
Total OI2,299.2382,1672,3982,3342,398

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$14.59$15.0039.1%11.2%40.3%54.8%0.0%14.9%1.4%-10.0K826.2K-1.9K0.0049.23N/AN/A001,2681,066
2010-09-02$14.78$15.0036.4%10.4%41.0%46.6%36.4%-0.7%4.0%-9.1K808.5K-2.0K0.0040.38N/AN/A0481,2681,066
2010-09-03$15.15$20.0034.5%11.1%42.5%40.9%0.0%18.2%2.6%-8.1K777.4K-1.9K0.0060.79N/AN/A0351,2681,059
2010-09-07$14.97$20.0039.7%11.6%41.1%56.5%0.0%18.4%1.5%-9.6K794.1K-1.9K0.0052.20N/AN/A001,2681,080
2010-09-08$15.02$20.0037.8%11.5%40.3%50.6%44.4%15.3%2.7%-10.1K802.6K-1.8K0.0066.22N/AN/A021,2681,080
2010-09-09$14.84$20.0038.7%11.1%32.9%53.6%0.0%1.2%2.9%-11.3K815.0K-1.7K6.8085.42N/AN/A5341,2681,080
2010-09-10$14.83$20.0039.4%11.3%32.8%55.4%0.0%15.5%2.2%-11.4K759.6K-1.8K0.2074.45N/AN/A1021,2731,058
2010-09-13$15.28$20.0039.3%11.3%33.6%55.4%0.0%7.8%2.7%-10.0K721.9K-1.8K0.0075.37N/AN/A001,2731,060
2010-09-14$15.26$20.0037.9%10.9%32.6%51.2%0.0%6.7%4.4%-10.2K722.5K-1.7K0.0081.95N/AN/A301,2731,060
2010-09-15$15.27$20.0037.7%10.8%31.7%50.5%37.7%6.9%3.8%-10.7K722.8K-1.7K0.0065.41N/AN/A021,2711,060
2010-09-16$15.25$20.0037.1%10.6%31.5%48.6%0.0%5.8%3.9%-11.1K730.2K-1.7K0.3168.72N/AN/A68211,2711,060
2010-09-17$15.51$20.0037.5%10.8%29.7%49.9%0.0%9.6%3.9%-8.6K677.8K-1.8K0.0081.71N/AN/A0291,3051,060
2010-09-20$16.18$20.0036.0%10.3%32.9%45.3%0.0%9.1%-9.4%-5.3K628.9K-1.8K0.0069.40N/AN/A0801,1201,047
2010-09-21$15.96$20.0035.9%10.3%31.9%44.9%18.7%14.7%6.6%-7.9K710.5K-2.0K0.0042.61N/AN/A101,1201,107
2010-09-22$15.61$20.0036.7%10.5%32.5%47.4%0.0%13.2%7.1%-8.7K742.2K-1.9K0.0034.43N/AN/A001,1211,107
2010-09-23$15.38$20.0036.2%10.4%33.2%46.0%36.2%5.3%4.0%-9.5K750.9K-1.9K0.0019.89N/AN/A031,1211,107
2010-09-24$16.22$20.0032.3%9.3%36.3%34.2%0.0%22.9%16.3%-7.1K696.4K-2.0K0.0060.74N/AN/A001,1211,110
2010-09-27$16.16$20.0033.2%9.5%35.9%36.7%36.6%14.1%11.5%-7.5K709.7K-1.9K4.0063.82N/AN/A5201,1211,110
2010-09-28$16.56$20.0044.8%12.8%33.9%71.8%23.7%16.6%17.7%-6.3K671.7K-1.9K7.00100.38N/AN/A3211,1261,124
2010-09-29$16.65$20.0022.5%6.4%33.5%4.4%0.0%4.3%17.4%-5.4K670.4K-1.9K0.0085.41N/AN/A13901,1261,135
2010-09-30$16.40$20.0019.8%5.7%32.5%0.0%0.0%-1.5%16.9%-410596.3K-2.2K0.0086.96N/AN/A0101,2631,135