BHE Options History — December 2010

In December 2010, BHE traded between $16.40 and $18.33. ATM implied volatility averaged 35.0%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 14.2% (HV 20d: 20.8%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2010-12-08: Highest Volume — 121 contracts
  • 2010-12-14: Largest IV spike — 20.7% change
  • 2010-12-14: Highest IV Rank — 45.0%
  • 2010-12-06: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.58$16.40$18.33$16.40$18.16
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV35.0%26.4%45.3%26.4%35.2%
Expected Move9.9%7.6%10.7%7.6%10.1%
HV 20d20.8%17.1%24.2%23.0%17.2%
HV 60d27.9%23.0%30.3%29.9%23.0%
IV Rank26.8%11.7%45.0%11.7%27.1%
IV Percentile48.2%9.9%90.9%9.9%48.8%
Term Structure4.7%0.0%15.8%15.2%6.0%
VWIV37.7%34.9%55.4%39.5%35.3%
Skew 25d11.0%5.0%16.5%7.6%9.5%
Skew 10d13.2%2.9%29.0%11.2%7.1%
Call IV 25d26.7%20.4%35.4%33.8%24.7%
Put IV 25d37.7%30.9%43.0%41.4%34.2%
Bid-Ask Spread %63.0731.26116.90116.8046.44
Gamma HHI0.450.380.580.390.53
Net GEX237-8.8K5.6K-8.8K5.6K
Net DEX-116.9K-274.0K126.9K126.9K-259.7K
Net VEX-987-1.2K-789-1.1K-808
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.002.500.361.43
Total Volume13.5012115
Total OI811.409688880688880

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$16.40$17.5026.4%7.6%23.0%11.7%0.0%7.6%15.2%-8.8K126.9K-1.1K0.00116.80N/AN/A01212476
2010-12-02$16.47$17.5028.8%8.3%21.3%15.9%0.0%5.7%15.8%-8.7K120.1K-1.1K0.00116.90N/AN/A00212477
2010-12-03$16.97$17.5033.0%9.5%23.0%23.3%0.0%8.6%2.7%-8.0K71.0K-9550.00103.14N/AN/A00212477
2010-12-06$16.98$17.5036.3%10.7%23.0%29.2%39.5%12.7%0.0%-7.9K66.7K-9690.0065.18N/AN/A020212477
2010-12-07$17.31$17.5039.1%10.7%24.2%34.0%37.2%13.9%1.0%-7.7K34.6K-9740.3673.47N/AN/A114212482
2010-12-08$17.15$17.5032.0%10.0%23.5%21.4%35.2%12.6%2.8%-7.0K34.5K-9480.0070.80N/AN/A1210222483
2010-12-09$17.10$17.5034.3%10.5%23.4%25.5%37.0%13.5%1.3%-545-45.3K-1.2K0.0067.35N/AN/A20343483
2010-12-10$17.42$17.5037.0%10.4%23.3%30.3%35.3%5.7%2.2%-13-86.9K-1.1K0.0068.04N/AN/A120345483
2010-12-13$17.25$17.5037.5%10.4%22.2%31.3%36.2%14.8%1.1%970-82.6K-1.2K0.8332.15N/AN/A1210356483
2010-12-14$17.48$17.5045.3%10.3%22.4%45.0%36.1%15.7%1.3%2.2K-122.3K-1.2K0.0069.03N/AN/A010368493
2010-12-15$17.42$17.5037.1%10.7%20.7%30.6%37.2%15.9%1.9%2.8K-124.5K-1.2K1.6063.89N/AN/A1016368483
2010-12-16$17.70$17.5035.6%10.2%21.1%27.8%0.0%16.5%3.6%4.3K-163.8K-1.1K0.0031.26N/AN/A010368498
2010-12-17$17.84$17.5034.9%10.0%20.4%26.6%34.9%6.2%12.9%2.3K-193.7K-1.1K0.0050.54N/AN/A04368508
2010-12-20$17.86$17.5035.8%10.3%20.4%28.1%35.8%10.6%7.9%2.8K-183.7K-1.0K0.0051.15N/AN/A03357501
2010-12-21$18.11$17.5035.6%10.2%20.1%27.8%35.6%12.9%3.4%3.5K-234.1K-9280.0036.30N/AN/A014357502
2010-12-22$18.15$17.5033.4%9.6%18.8%23.9%0.0%9.3%4.1%4.2K-244.1K-8450.0036.67N/AN/A00357493
2010-12-23$18.23$17.5034.0%9.8%18.7%25.1%0.0%13.1%2.4%4.7K-258.2K-8422.5049.96N/AN/A410357493
2010-12-27$18.33$17.5034.3%9.8%18.2%25.6%55.4%16.1%4.8%4.9K-274.0K-7890.0046.46N/AN/A01361503
2010-12-28$18.21$17.5034.3%9.8%18.6%25.6%0.0%9.0%5.9%5.3K-258.2K-7930.0075.47N/AN/A00361502
2010-12-29$18.10$17.5035.7%10.2%17.7%28.0%0.0%5.0%4.5%4.9K-254.2K-8350.0044.24N/AN/A00361502
2010-12-30$18.03$17.5033.9%9.7%17.1%24.9%0.0%7.0%3.5%5.4K-239.8K-7891.4372.27N/AN/A710361502
2010-12-31$18.16$17.5035.2%10.1%17.2%27.1%35.3%9.5%6.0%5.6K-259.7K-8080.0046.44N/AN/A05368512