BHE Options History — March 2011

In March 2011, BHE traded between $17.18 and $18.97. ATM implied volatility averaged 33.7%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 2.7% (HV 20d: 31.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.40.

Notable Days

  • 2011-03-31: Highest Volume — 36 contracts
  • 2011-03-07: Largest IV spike — 51.7% change
  • 2011-03-17: Highest IV Rank — 63.6%
  • 2011-03-17: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.11$17.18$18.97$18.52$18.97
Max Pain$17.83$17.50$20.00$20.00$17.50
ATM IV33.7%21.4%55.9%30.9%21.7%
Expected Move10.0%6.1%16.0%8.8%6.2%
HV 20d31.0%27.4%33.8%32.1%28.1%
HV 60d30.5%28.9%31.7%29.5%30.8%
IV Rank24.5%2.8%63.6%19.5%3.2%
IV Percentile40.9%1.2%97.6%25.0%1.2%
Term Structure3.8%-14.7%17.1%13.7%16.1%
VWIV33.6%26.9%43.5%43.5%30.5%
Skew 25d14.6%-3.7%60.1%4.2%17.8%
Skew 10d30.2%-11.9%111.4%7.4%11.6%
Call IV 25d30.4%17.9%44.1%32.7%17.9%
Put IV 25d45.0%32.4%85.5%36.9%35.7%
Bid-Ask Spread %104.8582.80120.8882.80120.88
Gamma HHI0.490.350.670.620.61
Net GEX8.9K19522.6K17.7K17.6K
Net DEX-56.6K-234.0K71.2K-180.5K-191.8K
Net VEX-1.8K-2.4K-1.5K-2.3K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.003.000.000.00
Total Volume4.565036036
Total OI949.4358471,016996875

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$18.52$20.0030.9%8.8%32.1%19.5%0.0%4.2%13.7%17.7K-180.5K-2.3K0.0082.80N/AN/A00581415
2011-03-02$18.57$20.0034.6%9.9%29.3%26.1%0.0%3.3%6.8%18.0K-154.4K-2.3K0.0094.12N/AN/A00581415
2011-03-03$18.92$20.0021.4%6.1%30.0%2.8%0.0%10.6%13.4%22.6K-234.0K-2.4K0.0097.62N/AN/A30581415
2011-03-04$18.54$17.5025.2%11.3%30.3%9.6%0.0%2.9%-4.2%16.0K-129.5K-2.2K0.00101.51N/AN/A30584415
2011-03-07$18.08$17.5038.3%11.2%30.7%32.6%0.0%-1.0%-2.6%12.2K-63.5K-2.1K0.0096.48N/AN/A00587415
2011-03-08$18.58$17.5033.9%10.6%32.6%24.9%0.0%3.6%1.0%16.9K-115.3K-2.0K0.0093.30N/AN/A00587415
2011-03-09$18.39$17.5027.5%11.4%32.7%13.6%0.0%2.9%-0.7%12.3K-83.9K-2.0K0.0095.91N/AN/A00587415
2011-03-10$17.97$17.5038.4%11.0%33.3%32.8%0.0%0.4%1.4%9.9K-28.3K-1.9K0.00102.94N/AN/A20587415
2011-03-11$18.06$17.5040.0%11.5%33.0%35.7%0.0%10.6%-0.5%7.5K-16.4K-1.9K0.00107.09N/AN/A02589415
2011-03-14$17.97$17.5039.2%11.2%32.6%34.2%0.0%-2.7%-0.8%5.9K2.3K-1.8K0.00102.74N/AN/A00589417
2011-03-15$17.69$17.5049.8%14.3%32.6%52.9%0.0%8.1%-11.2%5.2K-3.3K-1.9K0.00114.26N/AN/A00589417
2011-03-16$17.23$17.5043.6%12.5%33.4%41.9%43.5%3.1%-4.1%3.5K47.2K-1.7K0.00103.96N/AN/A011589417
2011-03-17$17.18$17.5055.9%16.0%32.9%63.6%0.0%-1.4%-14.7%2.8K46.5K-1.9K0.00107.62N/AN/A00589427
2011-03-18$17.43$17.5041.6%11.9%32.9%38.5%0.0%-3.7%-2.6%1.8K71.2K-1.7K0.00104.72N/AN/A110589427
2011-03-21$17.72$17.5027.4%7.9%33.8%13.4%0.0%58.8%4.3%19520.0K-1.5K0.25116.46N/AN/A41447400
2011-03-22$17.47$17.5034.1%9.8%31.6%25.2%0.0%3.3%4.7%2.4K14.3K-1.6K0.00110.81N/AN/A00451401
2011-03-23$17.89$17.5030.0%8.6%28.9%17.9%26.9%56.5%10.1%1.6K643-1.5K0.71105.10N/AN/A1410451401
2011-03-24$17.82$17.5027.8%8.0%28.9%14.2%30.5%60.1%12.1%8086.4K-1.5K3.00105.17N/AN/A13458411
2011-03-25$18.18$17.5029.3%8.4%29.4%16.7%0.0%33.5%10.3%5.2K-44.8K-1.6K0.00108.14N/AN/A10457414
2011-03-28$18.11$17.5030.7%8.8%27.5%19.2%0.0%40.7%9.6%4.5K-39.8K-1.6K0.00107.92N/AN/A30458414
2011-03-29$18.37$17.5031.1%8.9%27.4%20.0%0.0%6.9%8.3%5.3K-57.9K-1.6K0.00116.60N/AN/A00461414
2011-03-30$18.83$17.5022.6%6.5%28.8%4.9%0.0%17.6%17.1%15.6K-166.4K-1.7K0.00115.38N/AN/A00461414
2011-03-31$18.97$17.5021.7%6.2%28.1%3.2%0.0%17.8%16.1%17.6K-191.8K-1.7K0.00120.88N/AN/A360461414