BHE Options History — May 2011

In May 2011, BHE traded between $16.26 and $17.52. ATM implied volatility averaged 30.9%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.7% (HV 20d: 28.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-05-23: Highest Volume — 3 contracts
  • 2011-05-23: Largest IV drop — 26.1% change
  • 2011-05-31: Highest IV Rank — 25.3%
  • 2011-05-31: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.89$16.26$17.52$17.00$17.28
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV30.9%24.5%34.0%31.9%34.0%
Expected Move8.9%7.0%9.7%9.1%9.7%
HV 20d28.2%22.1%36.5%36.5%23.1%
HV 60d30.6%28.7%31.7%31.4%29.4%
IV Rank19.8%8.6%25.3%21.5%25.3%
IV Percentile20.9%6.3%40.9%21.0%40.9%
Term Structure3.0%-0.8%15.2%2.5%0.4%
VWIV30.1%30.1%30.1%30.1%30.1%
Skew 25d2.7%-4.9%13.7%-3.7%0.4%
Skew 10d7.0%-7.3%61.1%-5.5%0.3%
Call IV 25d29.5%24.8%34.7%32.2%34.1%
Put IV 25d32.2%26.2%39.0%28.5%34.5%
Bid-Ask Spread %101.0092.11108.5092.11102.44
Gamma HHI0.430.350.530.430.35
Net GEX-13.6K-21.3K-6.6K-15.1K-6.6K
Net DEX360.8K96.3K726.3K344.8K96.3K
Net VEX-1.5K-2.2K-866-2.2K-866
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.2860300
Total OI1,030.2864991,2431,242499

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$17.00$17.5031.9%9.1%36.5%21.5%0.0%-3.7%2.5%-15.1K344.8K-2.2K0.0092.11N/AN/A00472770
2011-05-03$16.88$17.5031.9%9.2%36.5%21.6%0.0%-4.6%0.4%-14.3K392.6K-2.1K0.0094.52N/AN/A00472770
2011-05-04$16.82$17.5030.3%8.7%36.2%18.7%30.1%-3.5%1.5%-14.7K431.6K-2.1K0.0092.89N/AN/A01472770
2011-05-05$16.86$17.5034.0%9.7%35.8%25.3%0.0%-0.9%-0.8%-14.5K393.5K-2.1K0.0099.06N/AN/A00472771
2011-05-06$16.93$0.0032.3%9.4%35.8%22.3%0.0%1.0%1.0%-15.0K352.2K-2.0K0.00100.91N/AN/A00472771
2011-05-09$17.12$0.0031.2%9.0%35.9%20.4%0.0%-0.9%2.6%-17.6K357.1K-1.9K0.00101.42N/AN/A00472771
2011-05-10$17.52$0.0032.9%9.4%28.1%23.4%0.0%13.7%3.8%-18.1K135.5K-1.9K0.0097.14N/AN/A00472771
2011-05-11$17.27$0.0029.5%9.4%24.6%17.3%0.0%2.1%1.4%-19.0K251.7K-1.9K0.0099.97N/AN/A00472771
2011-05-12$17.44$0.0032.6%9.3%24.7%22.8%0.0%11.9%1.6%-21.3K187.3K-1.9K0.0098.85N/AN/A00472771
2011-05-13$17.03$0.0032.0%9.2%25.9%21.8%0.0%-0.5%1.4%-18.1K333.4K-1.7K0.00101.79N/AN/A00472771
2011-05-16$16.71$0.0031.8%9.1%26.8%21.4%0.0%6.6%1.4%-12.9K708.0K-1.2K0.0098.98N/AN/A00472771
2011-05-17$16.74$0.0032.0%9.2%26.1%21.8%0.0%6.0%2.2%-14.1K718.2K-1.2K0.0099.78N/AN/A00472771
2011-05-18$16.83$0.0033.2%9.5%26.1%23.8%0.0%6.0%1.7%-15.3K712.3K-1.2K0.0098.19N/AN/A00472771
2011-05-19$16.84$0.0031.6%9.1%25.3%21.1%0.0%-4.9%2.7%-14.5K726.3K-1.1K0.00103.58N/AN/A00472771
2011-05-20$16.70$0.0033.2%9.5%24.5%23.8%0.0%-4.3%-0.2%-14.1K698.4K-1.1K0.00106.80N/AN/A01472771
2011-05-23$16.35$0.0024.5%7.0%25.1%8.6%0.0%2.5%7.6%-8.5K156.2K-9340.00108.50N/AN/A30147352
2011-05-24$16.26$0.0024.5%7.0%23.4%8.6%0.0%11.5%7.6%-7.9K159.1K-9580.00105.70N/AN/A00147352
2011-05-25$16.27$0.0024.9%7.1%23.3%9.3%0.0%9.8%7.3%-8.5K170.3K-9280.00104.76N/AN/A00147352
2011-05-26$16.80$0.0029.3%8.4%26.4%17.0%0.0%10.0%15.2%-8.7K137.5K-8790.00108.11N/AN/A10147352
2011-05-27$16.94$0.0030.5%8.7%22.1%19.2%0.0%-2.1%1.4%-7.3K114.0K-9050.00105.43N/AN/A00147352
2011-05-31$17.28$0.0034.0%9.7%23.1%25.3%0.0%0.4%0.4%-6.6K96.3K-8660.00102.44N/AN/A00147352