BHE Options History — October 2010

In October 2010, BHE traded between $16.01 and $17.37. ATM implied volatility averaged 44.2%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 8.9% (HV 20d: 35.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.03.

Notable Days

  • 2010-10-04: Highest Volume — 37 contracts
  • 2010-10-12: Largest IV spike — 96.7% change
  • 2010-10-13: Highest IV Rank — 100.0%
  • 2010-10-15: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.72$16.01$17.37$16.54$16.43
Max Pain$17.62$17.50$20.00$20.00$17.50
ATM IV44.2%21.3%76.4%24.0%28.4%
Expected Move13.5%6.9%21.9%6.9%8.2%
HV 20d35.3%31.3%37.9%32.4%31.3%
HV 60d36.4%35.5%38.0%36.2%35.5%
IV Rank50.2%4.3%100.0%12.1%15.2%
IV Percentile56.4%0.8%100.0%3.6%13.9%
Term Structure1.6%-3.6%16.9%16.9%-1.3%
VWIV37.8%32.9%39.6%39.3%32.9%
Skew 25d6.0%-38.3%25.7%6.3%6.7%
Skew 10d10.0%-1.3%30.0%2.4%7.5%
Call IV 25d32.3%17.0%80.5%20.5%31.0%
Put IV 25d38.3%23.2%49.1%26.8%37.7%
Bid-Ask Spread %108.0334.97183.3379.1295.93
Gamma HHI0.360.280.420.340.40
Net GEX1.3K-2.8K4.1K3772.4K
Net DEX313.9K-72.8K647.4K600.0K66.2K
Net VEX-2.0K-2.2K-1.7K-2.1K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.190.000.00
Total Volume4.8103700
Total OI1,671.2388142,4472,408834

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$16.54$20.0024.0%6.9%32.4%12.1%0.0%6.3%16.9%377600.0K-2.1K0.0079.12N/AN/A001,2631,145
2010-10-04$16.01$17.5028.9%13.1%34.3%26.5%0.0%-2.7%-1.0%-2.8K647.4K-2.0K0.0060.34N/AN/A0371,2631,145
2010-10-05$16.79$17.5037.5%9.4%37.3%51.4%0.0%22.0%4.5%805591.1K-2.2K0.0053.23N/AN/A0101,2631,174
2010-10-06$16.58$17.5022.0%11.3%37.8%6.3%0.0%3.8%-0.9%154607.2K-2.2K0.0034.97N/AN/A001,2631,184
2010-10-07$16.48$17.5021.3%10.9%37.5%4.3%0.0%-1.0%3.1%-127599.1K-2.2K0.0044.61N/AN/A001,2631,184
2010-10-08$16.80$17.5038.5%11.7%37.8%54.5%0.0%24.7%-0.8%-187593.7K-2.2K0.0077.39N/AN/A001,2631,184
2010-10-11$16.66$17.5024.4%10.3%37.0%13.3%0.0%7.4%0.0%1.2K615.1K-2.1K0.00103.30N/AN/A001,2631,184
2010-10-12$16.48$17.5047.9%17.7%37.4%82.0%0.0%17.2%3.6%-151629.7K-2.0K0.00131.86N/AN/A101,2631,184
2010-10-13$16.85$17.5060.4%13.0%37.9%100.0%0.0%25.7%1.4%2.1K573.6K-2.1K0.00112.39N/AN/A001,2631,184
2010-10-14$16.85$17.5052.6%15.1%37.9%81.0%0.0%17.6%4.1%1.9K574.8K-2.1K0.00161.95N/AN/A001,2631,184
2010-10-15$17.03$17.5076.4%21.9%37.7%100.0%0.0%1.7%1.5%-1.3K587.2K-1.8K0.00169.22N/AN/A001,2631,184
2010-10-18$17.37$17.5074.6%21.4%35.5%96.7%0.0%8.5%0.1%-522-72.8K-2.1K0.00183.33N/AN/A00347467
2010-10-19$16.73$17.5073.8%21.2%37.9%95.3%39.3%-38.3%-0.8%1.4K-2.1K-1.9K0.00152.82N/AN/A10347467
2010-10-20$16.96$17.5039.6%11.3%37.0%34.8%39.6%3.8%-1.4%2.2K-27.9K-1.9K0.0097.67N/AN/A150348467
2010-10-21$16.88$17.5068.1%19.5%36.5%85.4%0.0%7.7%0.4%3.7K-22.2K-2.0K0.00157.50N/AN/A00363467
2010-10-22$17.01$17.5071.4%20.5%31.7%91.1%0.0%8.8%5.9%4.1K-32.9K-1.8K0.00163.37N/AN/A00363467
2010-10-25$16.97$17.5039.2%11.2%31.7%34.3%39.3%-1.7%-3.6%3.9K-46.2K-1.8K0.1995.66N/AN/A163363467
2010-10-26$16.64$17.5037.6%10.8%31.5%31.5%37.8%8.6%-2.4%2.9K15.5K-1.8K0.00102.36N/AN/A10363470
2010-10-27$16.63$17.5032.6%9.4%31.4%22.6%32.9%0.3%0.9%3.5K28.0K-1.7K0.0095.56N/AN/A170363470
2010-10-28$16.38$17.5028.6%8.2%31.4%15.6%0.0%0.1%4.6%2.3K67.1K-1.8K0.0096.12N/AN/A00364470
2010-10-29$16.43$17.5028.4%8.2%31.3%15.2%0.0%6.7%-1.3%2.4K66.2K-1.7K0.0095.93N/AN/A00364470