BHE Options History — June 2011 In June 2011, BHE traded between $15.38 and $16.59. ATM implied volatility averaged 34.7%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 8.9% (HV 20d: 25.8%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days.
Notable Days 2011-06-30 : Highest Volume — 22 contracts2011-06-03 : Largest IV spike — 24.7% change2011-06-20 : Highest IV Rank — 35.0%2011-06-20 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $15.89 $15.38 $16.59 $16.59 $16.50 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 34.7% 25.4% 39.5% 27.7% 26.1% Expected Move 10.2% 7.3% 11.3% 7.9% 7.5% HV 20d 25.8% 21.7% 27.9% 27.4% 21.7% HV 60d 29.0% 28.0% 30.1% 30.1% 28.8% IV Rank 26.5% 10.1% 35.0% 14.2% 11.4% IV Percentile 50.4% 8.3% 82.1% 10.7% 8.7% Term Structure 3.1% -2.9% 12.6% 5.5% 12.6% VWIV 38.9% 38.9% 38.9% 38.9% 38.9% Skew 25d 9.9% 2.0% 34.6% 3.6% 7.3% Skew 10d 13.6% -5.8% 93.3% -1.0% -2.2% Call IV 25d 28.4% 22.4% 34.5% 30.3% 22.5% Put IV 25d 38.4% 25.6% 63.0% 33.8% 29.8% Bid-Ask Spread % 99.12 91.25 109.14 105.18 109.14 Gamma HHI 0.52 0.37 0.71 0.37 0.47 Net GEX -10.3K -13.3K -7.5K -7.5K -10.4K Net DEX 196.8K 125.2K 231.8K 125.2K 158.8K Net VEX -681 -860 -466 -851 -466 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 1.045 0 22 0 22 Total OI 499.5 499 500 499 500
Daily Data (22 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 2011-06-01 $16.59 $0.00 27.7% 7.9% 27.4% 14.2% 0.0% 3.6% 5.5% -7.5K 125.2K -851 0.00 105.18 N/A N/A 0 0 147 352 2011-06-02 $16.52 $0.00 25.4% 7.3% 27.4% 10.1% 0.0% 2.0% 8.4% -8.3K 146.7K -853 0.00 106.85 N/A N/A 0 0 147 352 2011-06-03 $16.25 $17.50 31.6% 10.8% 27.9% 21.1% 0.0% 8.5% 1.1% -8.6K 165.8K -860 0.00 93.36 N/A N/A 0 0 147 352 2011-06-06 $16.25 $17.50 32.6% 10.6% 27.8% 22.9% 0.0% 5.8% 4.3% -9.5K 174.3K -798 0.00 93.78 N/A N/A 0 0 147 352 2011-06-07 $16.06 $17.50 32.6% 10.6% 27.5% 22.7% 0.0% 5.8% -0.0% -9.2K 171.0K -784 0.00 94.24 N/A N/A 0 0 147 352 2011-06-08 $15.82 $17.50 31.6% 11.2% 26.0% 21.0% 0.0% 5.7% -1.4% -9.3K 195.3K -778 0.00 91.25 N/A N/A 0 0 147 352 2011-06-09 $15.88 $17.50 38.0% 10.9% 25.9% 32.4% 0.0% 5.4% -0.4% -9.7K 198.6K -768 0.00 92.32 N/A N/A 0 0 147 352 2011-06-10 $15.50 $17.50 38.3% 11.0% 26.3% 32.9% 0.0% 14.7% -2.9% -9.9K 215.0K -739 0.00 100.45 N/A N/A 0 0 147 352 2011-06-13 $15.41 $17.50 39.1% 11.2% 25.4% 34.3% 0.0% 10.4% -1.6% -10.1K 228.1K -696 0.00 98.44 N/A N/A 0 0 147 352 2011-06-14 $15.64 $17.50 37.5% 10.8% 25.8% 31.5% 0.0% 13.9% 0.2% -10.2K 210.1K -704 0.00 99.93 N/A N/A 0 0 147 352 2011-06-15 $15.50 $17.50 38.8% 11.1% 25.8% 33.8% 38.9% 10.0% -2.0% -10.5K 231.8K -678 0.00 97.38 N/A N/A 0 1 147 352 2011-06-16 $15.52 $17.50 38.9% 11.1% 25.7% 33.9% 0.0% 12.4% 1.6% -10.5K 228.0K -683 0.00 99.97 N/A N/A 0 0 147 353 2011-06-17 $15.38 $17.50 38.1% 10.9% 25.7% 32.6% 0.0% 7.3% -0.6% -10.6K 224.4K -655 0.00 98.58 N/A N/A 0 0 147 353 2011-06-20 $15.60 $17.50 39.5% 11.3% 26.4% 35.0% 0.0% 9.9% 0.3% -10.9K 225.3K -647 0.00 96.70 N/A N/A 0 0 147 353 2011-06-21 $15.76 $17.50 39.4% 11.3% 26.0% 34.8% 0.0% 12.0% 1.0% -10.8K 206.4K -635 0.00 98.95 N/A N/A 0 0 147 353 2011-06-22 $15.50 $17.50 39.5% 11.3% 26.5% 35.0% 0.0% 9.4% -0.2% -11.0K 221.6K -614 0.00 97.77 N/A N/A 0 0 147 353 2011-06-23 $15.66 $17.50 32.1% 9.2% 26.9% 21.9% 0.0% 34.6% 11.8% -13.3K 231.0K -558 0.00 100.69 N/A N/A 0 0 147 353 2011-06-24 $15.55 $17.50 38.9% 11.1% 23.7% 33.9% 0.0% 9.6% 0.2% -11.4K 227.1K -589 0.00 98.50 N/A N/A 0 0 147 353 2011-06-27 $15.92 $17.50 34.4% 9.9% 25.3% 26.0% 0.0% 9.8% 7.6% -13.1K 207.9K -542 0.00 100.67 N/A N/A 0 0 147 353 2011-06-28 $16.29 $17.50 34.1% 9.8% 25.7% 25.4% 0.0% 17.9% 11.7% -10.9K 174.4K -573 0.00 104.47 N/A N/A 0 0 147 353 2011-06-29 $16.43 $17.50 29.2% 8.4% 21.7% 16.9% 0.0% 3.1% 11.3% -10.9K 162.9K -519 0.00 102.06 N/A N/A 0 0 147 353 2011-06-30 $16.50 $17.50 26.1% 7.5% 21.7% 11.4% 0.0% 7.3% 12.6% -10.4K 158.8K -466 0.00 109.14 N/A N/A 0 22 147 353
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