BHE Options History — January 2011

In January 2011, BHE traded between $18.04 and $19.87. ATM implied volatility averaged 32.9%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.2% (HV 20d: 25.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.39.

Notable Days

2011-01-31: Highest Volume — 320 contracts
2011-01-21: Largest IV spike — 36.1% change
2011-01-31: Highest IV Rank — 36.4%
2011-01-31: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.92	$18.04	$19.87	$18.68	$18.99
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	32.9%	23.7%	40.4%	31.0%	40.4%
Expected Move	9.8%	8.1%	11.6%	8.9%	11.6%
HV 20d	25.7%	16.8%	36.3%	16.8%	36.3%
HV 60d	24.7%	23.5%	26.7%	23.5%	26.3%
IV Rank	23.0%	6.8%	36.4%	19.7%	36.4%
IV Percentile	38.7%	4.8%	81.3%	27.0%	81.3%
Term Structure	4.4%	-6.0%	28.6%	11.9%	-6.0%
VWIV	35.9%	20.4%	41.9%	20.4%	41.9%
Skew 25d	9.4%	-4.1%	92.0%	9.9%	9.4%
Skew 10d	19.3%	-10.4%	126.3%	6.6%	10.9%
Call IV 25d	31.3%	24.2%	37.0%	24.2%	27.8%
Put IV 25d	40.7%	22.5%	124.4%	34.1%	37.3%
Bid-Ask Spread %	71.61	42.14	82.16	42.14	72.95
Gamma HHI	0.73	0.42	0.95	0.53	0.81
Net GEX	16.9K	6.0K	28.7K	6.0K	24.5K
Net DEX	-499.0K	-761.8K	-340.3K	-347.0K	-356.3K
Net VEX	-1.5K	-2.0K	-615	-615	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.00	2.63	0.01	0.07
Total Volume	53.65	0	320	146	320
Total OI	1,008.45	687	1,420	880	737

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-01-03	$18.68	$17.50	31.0%	8.9%	16.8%	19.7%	20.4%	9.9%	11.9%	6.0K	-347.0K	-615	0.01	42.14	N/A	N/A	145	1	368	512
2011-01-04	$18.05	$17.50	35.4%	10.2%	21.8%	27.5%	0.0%	0.1%	2.5%	10.6K	-342.6K	-1.3K	0.00	53.35	N/A	N/A	0	0	513	513
2011-01-05	$18.22	$17.50	28.2%	8.1%	21.1%	14.8%	0.0%	8.9%	10.3%	11.8K	-376.4K	-1.2K	0.00	57.01	N/A	N/A	0	0	513	513
2011-01-06	$18.07	$17.50	34.0%	9.7%	21.1%	25.0%	0.0%	1.2%	1.5%	10.9K	-340.3K	-1.2K	0.00	54.39	N/A	N/A	0	1	513	513
2011-01-07	$18.04	$17.50	27.8%	10.7%	21.0%	14.1%	0.0%	23.3%	28.6%	12.6K	-364.0K	-1.2K	0.00	78.49	N/A	N/A	0	30	513	514
2011-01-10	$18.17	$17.50	33.3%	9.8%	20.2%	23.8%	0.0%	1.8%	3.0%	11.9K	-358.6K	-1.1K	0.00	82.03	N/A	N/A	100	0	513	544
2011-01-11	$18.69	$17.50	23.7%	10.1%	21.7%	6.8%	35.1%	-4.1%	23.6%	12.7K	-575.6K	-1.4K	0.00	73.24	N/A	N/A	1	0	609	544
2011-01-12	$19.10	$17.50	26.4%	8.1%	22.4%	11.6%	0.0%	-2.6%	3.0%	12.5K	-615.0K	-1.3K	0.00	63.91	N/A	N/A	0	0	610	544
2011-01-13	$19.58	$17.50	33.3%	9.5%	23.3%	23.7%	0.0%	-1.4%	1.6%	12.4K	-714.7K	-1.3K	0.50	73.66	N/A	N/A	10	5	610	544
2011-01-14	$19.69	$17.50	33.7%	9.7%	23.0%	24.5%	0.0%	92.0%	0.9%	13.0K	-714.0K	-1.2K	1.00	79.89	N/A	N/A	10	10	610	549
2011-01-18	$19.87	$17.50	35.3%	10.1%	23.0%	27.3%	0.0%	3.3%	2.3%	12.9K	-719.9K	-1.2K	0.00	78.22	N/A	N/A	21	0	610	559
2011-01-19	$19.44	$17.50	33.1%	9.5%	25.0%	23.4%	34.0%	4.5%	-0.6%	13.8K	-705.2K	-1.4K	0.05	77.19	N/A	N/A	210	10	631	559
2011-01-20	$18.97	$17.50	29.4%	8.4%	26.6%	16.8%	0.0%	9.5%	8.9%	23.5K	-761.8K	-1.9K	0.00	76.91	N/A	N/A	0	20	841	569
2011-01-21	$18.53	$17.50	40.0%	11.5%	28.2%	35.6%	41.9%	14.4%	5.3%	21.2K	-691.0K	-1.9K	0.05	71.07	N/A	N/A	121	6	841	579
2011-01-24	$19.09	$17.50	33.9%	9.7%	30.0%	24.9%	40.1%	4.6%	-3.1%	26.3K	-346.9K	-1.7K	0.00	81.85	N/A	N/A	0	22	532	155
2011-01-25	$19.07	$17.50	36.1%	10.3%	30.0%	28.7%	0.0%	3.3%	-3.8%	22.1K	-361.2K	-1.9K	0.00	77.26	N/A	N/A	0	0	532	177
2011-01-26	$19.86	$17.50	37.3%	10.7%	32.7%	30.8%	0.0%	-2.0%	-2.4%	28.7K	-502.3K	-1.8K	2.63	81.04	N/A	N/A	8	21	532	177
2011-01-27	$19.52	$17.50	34.2%	9.8%	33.4%	25.3%	0.0%	3.8%	0.9%	28.7K	-445.9K	-1.9K	0.00	82.16	N/A	N/A	0	0	540	198
2011-01-28	$18.82	$17.50	31.3%	9.0%	36.3%	20.2%	37.7%	7.6%	-1.3%	22.8K	-342.0K	-2.0K	0.00	75.44	N/A	N/A	1	0	540	198
2011-01-31	$18.99	$17.50	40.4%	11.6%	36.3%	36.4%	41.9%	9.4%	-6.0%	24.5K	-356.3K	-1.9K	0.07	72.95	N/A	N/A	300	20	539	198