BHE Options History — April 2011

In April 2011, BHE traded between $16.55 and $19.02. ATM implied volatility averaged 32.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 0.6% (HV 20d: 32.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.00.

Notable Days

  • 2011-04-12: Highest Volume — 335 contracts
  • 2011-04-11: Largest IV spike — 63.4% change
  • 2011-04-27: Highest IV Rank — 37.9%
  • 2011-04-27: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.53$16.55$19.02$18.69$16.90
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV32.9%19.6%41.2%30.2%33.2%
Expected Move10.3%8.7%11.8%8.7%9.5%
HV 20d32.3%23.2%36.5%27.7%36.5%
HV 60d31.9%30.4%33.7%30.9%31.4%
IV Rank23.3%0.0%37.9%18.3%24.0%
IV Percentile39.8%0.0%84.1%19.0%29.4%
Term Structure-1.1%-7.3%1.9%-7.3%0.3%
VWIV37.1%21.9%45.4%40.1%21.9%
Skew 25d1.4%-11.2%9.4%-11.2%-4.0%
Skew 10d8.7%-10.3%48.1%-3.0%-5.1%
Call IV 25d31.1%26.6%38.7%32.6%32.0%
Put IV 25d32.5%21.4%40.5%21.4%28.0%
Bid-Ask Spread %94.3080.20117.13117.1395.08
Gamma HHI0.560.350.660.580.41
Net GEX-14.0K-33.1K19.2K14.7K-12.7K
Net DEX252.6K-156.7K573.7K-156.7K273.1K
Net VEX-1.9K-2.4K-1.3K-1.6K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.0011.411.280.00
Total Volume48.8033502
Total OI1,004.78811,3178811,244

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$18.69$17.5030.2%8.7%27.7%18.3%0.0%-11.2%-7.3%14.7K-156.7K-1.6K0.00117.13N/AN/A00467414
2011-04-04$18.65$0.0023.3%10.6%26.0%6.2%0.0%3.4%0.7%8.2K-78.4K-1.4K0.0093.24N/AN/A00467414
2011-04-05$18.80$0.0024.5%10.1%24.3%8.2%0.0%8.0%-2.4%13.2K-103.4K-1.4K0.0094.65N/AN/A00467414
2011-04-06$19.02$0.0019.6%10.4%24.3%0.0%0.0%7.1%-2.2%19.2K-122.7K-1.4K0.0091.82N/AN/A00467414
2011-04-07$18.76$0.0023.6%10.0%23.2%7.1%0.0%4.8%-2.3%11.1K-98.4K-1.4K0.0093.63N/AN/A00467414
2011-04-08$18.41$0.0025.0%10.8%24.4%9.5%40.1%3.0%1.1%63-60.1K-1.3K0.0095.04N/AN/A01467414
2011-04-11$17.21$17.5040.9%10.7%34.4%37.4%37.4%-7.5%-1.1%-6.5K73.2K-1.3K1.2896.08N/AN/A100128467415
2011-04-12$16.55$17.5034.0%11.1%36.5%25.3%38.4%-4.3%-0.9%-10.9K239.0K-1.5K11.4195.80N/AN/A27308432542
2011-04-13$16.60$17.5040.6%10.7%35.6%36.9%0.0%4.8%-2.6%-27.4K571.0K-2.1K0.0089.13N/AN/A030446839
2011-04-14$16.85$17.5037.1%10.6%36.1%30.7%36.8%-0.3%-0.6%-29.9K557.4K-2.2K0.6289.34N/AN/A138446866
2011-04-15$16.89$17.5036.6%10.5%35.6%29.8%36.2%8.3%-2.0%-30.5K544.7K-2.2K0.0092.23N/AN/A09451866
2011-04-18$16.61$17.5036.4%10.4%35.3%29.5%34.7%-7.5%0.1%-27.2K573.7K-2.1K3.0088.65N/AN/A412161748
2011-04-19$16.73$17.5036.8%10.5%35.3%30.2%41.7%9.4%0.7%-27.9K554.8K-2.1K1.6780.20N/AN/A610163760
2011-04-20$17.02$17.5034.7%9.9%34.7%26.5%34.7%-2.0%1.4%-31.1K499.1K-2.1K0.00112.67N/AN/A90168770
2011-04-21$17.32$17.5035.5%10.2%35.4%27.9%45.4%2.3%0.4%-32.0K444.9K-2.2K0.0087.69N/AN/A40172770
2011-04-25$17.07$17.5036.3%10.4%34.8%29.4%0.0%-0.1%-0.1%-32.3K465.8K-2.1K0.0088.65N/AN/A00176770
2011-04-26$17.45$17.5036.9%10.6%35.9%30.4%0.0%6.1%-1.3%-33.1K394.1K-2.0K0.0092.76N/AN/A00176770
2011-04-27$17.51$17.5041.2%11.8%35.4%37.9%41.1%5.7%-5.1%-30.6K385.1K-2.0K0.00104.07N/AN/A3050176770
2011-04-28$17.62$17.5031.9%9.1%34.2%21.5%0.0%1.5%1.9%-14.0K95.1K-2.4K0.0088.24N/AN/A00474770
2011-04-29$16.90$17.5033.2%9.5%36.5%24.0%21.9%-4.0%0.3%-12.7K273.1K-2.4K0.0095.08N/AN/A20474770