BHE Options History — February 2011

In February 2011, BHE traded between $18.11 and $19.93. ATM implied volatility averaged 34.9%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.4% (HV 20d: 33.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.00.

Notable Days

2011-02-02: Highest Volume — 362 contracts
2011-02-28: Largest IV drop — 21.1% change
2011-02-02: Highest IV Rank — 48.4%
2011-02-02: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.37	$18.11	$19.93	$19.65	$18.86
Max Pain	$19.61	$17.50	$20.00	$17.50	$20.00
ATM IV	34.9%	27.7%	47.2%	40.8%	27.7%
Expected Move	10.0%	7.9%	13.5%	11.7%	7.9%
HV 20d	33.5%	30.0%	37.0%	37.0%	31.6%
HV 60d	27.0%	25.9%	29.2%	26.9%	29.2%
IV Rank	26.6%	13.8%	48.4%	37.0%	13.8%
IV Percentile	47.8%	12.7%	93.3%	82.5%	12.7%
Term Structure	1.5%	-9.7%	14.3%	-4.2%	14.3%
VWIV	37.8%	31.9%	47.5%	47.5%	38.3%
Skew 25d	6.8%	0.1%	27.1%	24.9%	4.6%
Skew 10d	6.3%	-0.4%	40.9%	14.2%	-0.4%
Call IV 25d	31.3%	24.1%	34.4%	24.1%	31.9%
Put IV 25d	38.1%	33.1%	51.7%	49.0%	36.5%
Bid-Ask Spread %	81.06	62.52	101.42	84.25	97.31
Gamma HHI	0.85	0.59	0.97	0.89	0.63
Net GEX	115.8K	14.2K	363.3K	53.9K	19.7K
Net DEX	-714.3K	-1.2M	-105.7K	-685.1K	-215.3K
Net VEX	-2.8K	-3.4K	-2.2K	-2.4K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.08	2.71	0.16	1.60
Total Volume	47.895	0	362	72	0
Total OI	1,418.684	889	1,748	1,057	996

Daily Data (19 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
2011-02-01	$19.65	$17.50	40.8%	11.7%	37.0%	37.0%	0.0%	24.9%	-4.2%	53.9K	-685.1K	-2.4K	0.16	84.25	N/A	N/A	62	10	839	218
2011-02-02	$19.84	$17.50	47.2%	13.5%	34.4%	48.4%	47.5%	27.1%	-9.7%	51.1K	-850.3K	-2.7K	0.08	82.97	N/A	N/A	335	27	901	228
2011-02-03	$19.55	$17.50	38.1%	10.9%	35.0%	32.3%	37.2%	13.4%	-5.9%	94.0K	-1.1M	-3.3K	0.54	83.48	N/A	N/A	118	64	1,236	254
2011-02-04	$19.82	$20.00	33.5%	9.8%	34.9%	24.1%	0.0%	0.5%	-1.8%	111.7K	-1.1M	-3.4K	1.00	74.67	N/A	N/A	4	4	1,308	311
2011-02-07	$19.93	$20.00	32.8%	9.6%	34.8%	22.9%	33.9%	3.5%	1.4%	124.6K	-1.2M	-3.4K	0.31	77.79	N/A	N/A	36	11	1,304	315
2011-02-08	$19.86	$20.00	33.8%	10.0%	34.9%	24.6%	0.0%	2.9%	-0.2%	128.1K	-1.1M	-3.4K	0.00	73.71	N/A	N/A	0	0	1,328	325
2011-02-09	$19.71	$20.00	34.2%	9.6%	34.0%	25.3%	0.0%	3.2%	1.1%	127.7K	-1.1M	-3.3K	2.00	73.49	N/A	N/A	5	10	1,328	325
2011-02-10	$19.31	$20.00	33.2%	9.5%	34.1%	23.6%	0.0%	1.3%	-0.1%	113.4K	-745.8K	-3.1K	0.00	80.85	N/A	N/A	0	0	1,333	335
2011-02-11	$19.50	$20.00	32.6%	9.4%	33.1%	22.6%	0.0%	2.7%	1.7%	132.6K	-797.2K	-3.1K	0.00	62.52	N/A	N/A	0	10	1,333	335
2011-02-14	$19.61	$20.00	33.4%	9.6%	33.1%	24.0%	0.0%	2.8%	-0.5%	157.9K	-875.7K	-2.9K	0.60	74.60	N/A	N/A	50	30	1,333	345
2011-02-15	$19.35	$20.00	33.2%	9.5%	33.2%	23.7%	0.0%	2.9%	0.9%	126.7K	-517.3K	-2.8K	0.00	65.37	N/A	N/A	0	0	1,383	365
2011-02-16	$19.53	$20.00	32.5%	9.3%	32.5%	22.5%	0.0%	3.7%	2.0%	180.3K	-599.8K	-2.8K	0.00	74.02	N/A	N/A	0	0	1,383	365
2011-02-17	$19.82	$20.00	32.8%	9.4%	31.5%	22.9%	0.0%	3.4%	3.7%	345.3K	-916.6K	-2.9K	0.00	74.05	N/A	N/A	0	0	1,383	365
2011-02-18	$19.86	$20.00	35.0%	10.0%	30.0%	26.7%	0.0%	6.5%	-0.0%	363.3K	-1.0M	-2.8K	0.00	88.48	N/A	N/A	0	0	1,383	365
2011-02-22	$19.10	$20.00	31.5%	9.0%	31.9%	20.6%	31.9%	12.8%	4.0%	23.9K	-349.0K	-2.3K	2.71	87.97	N/A	N/A	7	19	581	308
2011-02-23	$18.23	$20.00	37.1%	10.6%	36.0%	30.5%	0.0%	4.0%	10.1%	16.3K	-190.7K	-2.2K	1.60	90.16	N/A	N/A	20	32	581	327
2011-02-24	$18.11	$20.00	38.2%	11.0%	32.2%	32.5%	38.3%	9.7%	8.3%	14.2K	-137.9K	-2.2K	0.00	101.42	N/A	N/A	0	56	581	359
2011-02-25	$18.35	$20.00	35.1%	10.1%	32.4%	26.9%	0.0%	0.1%	3.2%	14.9K	-105.7K	-2.4K	0.00	93.05	N/A	N/A	0	0	581	415
2011-02-28	$18.86	$20.00	27.7%	7.9%	31.6%	13.8%	0.0%	4.6%	14.3%	19.7K	-215.3K	-2.3K	0.00	97.31	N/A	N/A	0	0	581	415