BHE Options History — November 2010

In November 2010, BHE traded between $16.07 and $17.75. ATM implied volatility averaged 33.0%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 5.4% (HV 20d: 27.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2010-11-01: Highest Volume — 32 contracts
  • 2010-11-26: Largest IV drop — 35.9% change
  • 2010-11-16: Highest IV Rank — 30.7%
  • 2010-11-16: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.77$16.07$17.75$16.32$16.07
Max Pain$17.14$15.00$17.50$17.50$17.50
ATM IV33.0%23.2%37.2%31.8%32.6%
Expected Move9.4%6.7%10.7%9.1%9.3%
HV 20d27.6%25.8%29.6%29.0%26.7%
HV 60d32.4%29.7%36.2%35.5%29.7%
IV Rank23.2%6.0%30.7%21.2%22.6%
IV Percentile36.3%3.2%58.3%29.0%36.1%
Term Structure5.2%-1.0%15.8%-0.1%8.8%
VWIV36.1%34.3%37.2%36.7%37.2%
Skew 25d5.8%-6.9%14.7%7.3%5.2%
Skew 10d6.5%-6.5%19.2%5.8%6.1%
Call IV 25d32.1%24.9%36.5%29.2%35.6%
Put IV 25d37.9%28.6%42.6%36.5%40.8%
Bid-Ask Spread %102.8883.04118.88102.29118.72
Gamma HHI0.450.350.600.390.38
Net GEX1.8K-9.0K12.0K1.9K-8.5K
Net DEX-1.9K-219.3K155.4K76.0K155.4K
Net VEX-1.4K-1.7K-1.1K-1.7K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.002.000.000.00
Total Volume2.524032320
Total OI817.667687877834688

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$16.32$17.5031.8%9.1%29.0%21.2%36.7%7.3%-0.1%1.9K76.0K-1.7K0.00102.29N/AN/A320364470
2010-11-02$17.02$15.0032.9%9.4%27.9%23.0%0.0%14.7%4.9%6.9K-73.1K-1.6K0.0098.59N/AN/A00396470
2010-11-03$17.40$15.0036.0%10.3%28.4%28.5%0.0%-6.9%0.3%7.9K-143.9K-1.6K0.0094.41N/AN/A03396470
2010-11-04$17.75$15.0034.9%10.0%28.9%26.7%0.0%-2.9%-1.0%9.7K-219.3K-1.6K0.0093.98N/AN/A00396470
2010-11-05$17.68$17.5032.1%10.3%28.4%21.6%0.0%0.3%2.8%11.8K-212.6K-1.6K2.0088.28N/AN/A48396470
2010-11-08$17.61$17.5036.1%10.2%28.2%28.8%0.0%-2.5%2.7%11.2K-192.8K-1.6K0.0097.04N/AN/A00399475
2010-11-09$17.29$17.5035.7%9.9%28.8%28.0%0.0%-5.7%4.4%11.8K-150.6K-1.6K0.0099.30N/AN/A00399475
2010-11-10$17.38$17.5036.0%9.5%27.9%28.6%0.0%6.5%3.7%11.8K-141.1K-1.5K0.0096.92N/AN/A00399475
2010-11-11$17.04$17.5034.9%10.0%28.9%26.6%0.0%13.4%1.7%12.0K-70.3K-1.5K0.0098.66N/AN/A00399475
2010-11-12$16.69$17.5034.4%9.9%29.6%25.8%34.3%10.2%3.9%6.3K9.6K-1.5K0.00102.97N/AN/A01399475
2010-11-15$16.62$17.5035.7%10.2%28.5%28.0%0.0%8.8%1.9%3.5K27.1K-1.4K0.00108.19N/AN/A01399475
2010-11-16$16.26$17.5037.2%10.7%26.4%30.7%0.0%8.1%-0.0%-29467.6K-1.4K0.00103.29N/AN/A20399475
2010-11-17$16.27$17.5031.2%8.9%25.8%20.1%0.0%9.3%7.7%-30569.3K-1.4K0.00114.79N/AN/A00401475
2010-11-18$16.59$17.5033.8%9.7%26.9%24.6%0.0%11.4%3.3%2.5K38.1K-1.3K0.00103.48N/AN/A01401475
2010-11-19$16.60$17.5031.9%9.2%26.7%21.4%0.0%5.8%9.1%-8.2K57.4K-1.2K0.00113.75N/AN/A00401476
2010-11-22$16.45$17.5029.0%8.3%26.9%16.3%0.0%10.3%12.6%-8.1K121.2K-1.2K0.00112.28N/AN/A00211476
2010-11-23$16.21$17.5029.9%8.6%26.5%17.9%37.2%8.9%13.3%-8.0K142.3K-1.3K0.0098.82N/AN/A10211476
2010-11-24$16.39$17.5036.2%10.4%26.8%28.9%0.0%8.8%0.6%-8.0K127.5K-1.2K0.0083.04N/AN/A00212476
2010-11-26$16.29$17.5023.2%6.7%26.4%6.0%0.0%5.5%13.9%-8.1K134.2K-1.2K0.00118.88N/AN/A00212476
2010-11-29$16.30$17.5026.9%7.7%26.4%12.5%0.0%5.7%15.8%-9.0K137.8K-1.1K0.00112.91N/AN/A00212476
2010-11-30$16.07$17.5032.6%9.3%26.7%22.6%0.0%5.2%8.8%-8.5K155.4K-1.1K0.00118.72N/AN/A00212476