BHE Options History — July 2011 In July 2011, BHE traded between $14.65 and $16.98. ATM implied volatility averaged 33.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 7.8% (HV 20d: 25.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-07-06 : Highest Volume — 25 contracts2011-07-25 : Largest IV spike — 37.6% change2011-07-13 : Highest IV Rank — 47.8%2011-07-18 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $16.24 $14.65 $16.98 $16.98 $14.65 Max Pain $15.13 $15.00 $17.50 $17.50 $15.00 ATM IV 33.1% 24.3% 46.8% 24.4% 39.1% Expected Move 9.7% 7.0% 11.3% 7.0% 11.2% HV 20d 25.3% 21.5% 34.2% 23.1% 34.2% HV 60d 26.0% 24.1% 29.4% 29.4% 28.0% IV Rank 23.7% 8.2% 47.8% 8.4% 34.2% IV Percentile 44.0% 5.6% 94.8% 6.0% 80.2% Term Structure 2.6% -4.3% 24.6% 14.0% -0.4% VWIV 38.7% 36.6% 40.8% 40.8% 36.6% Skew 25d 6.9% 0.8% 14.5% 10.2% 6.8% Skew 10d 11.7% 1.2% 66.7% 1.2% 11.4% Call IV 25d 31.4% 21.5% 38.0% 23.5% 32.0% Put IV 25d 38.4% 33.7% 41.7% 33.7% 38.8% Bid-Ask Spread % 96.93 93.10 110.15 110.15 100.11 Gamma HHI 0.59 0.45 0.81 0.46 0.81 Net GEX -7.7K -12.0K -4.6K -10.9K -4.6K Net DEX 132.9K 70.5K 236.4K 126.2K 105.2K Net VEX -451 -533 -398 -503 -465 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 3.3 0 25 0 0 Total OI 363.2 175 567 522 196
Daily Data (20 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 2011-07-01 $16.98 $17.50 24.4% 7.0% 23.1% 8.4% 0.0% 10.2% 14.0% -10.9K 126.2K -503 0.00 110.15 N/A N/A 0 0 147 375 2011-07-05 $16.77 $15.00 27.2% 10.1% 23.7% 13.3% 0.0% 10.5% 0.4% -11.3K 126.9K -443 0.00 93.38 N/A N/A 0 0 147 375 2011-07-06 $16.55 $15.00 25.7% 10.2% 23.8% 10.6% 0.0% 6.2% -0.4% -9.2K 167.8K -413 0.00 93.10 N/A N/A 0 25 147 375 2011-07-07 $16.79 $15.00 24.3% 9.7% 23.3% 8.2% 0.0% 9.3% 0.3% -10.6K 176.2K -485 0.00 94.38 N/A N/A 0 4 147 400 2011-07-08 $16.85 $15.00 32.1% 9.9% 23.3% 22.0% 0.0% 7.6% 24.6% -12.0K 156.9K -533 0.00 96.25 N/A N/A 0 0 147 404 2011-07-11 $16.71 $15.00 27.5% 9.6% 21.5% 13.8% 0.0% 8.0% -1.8% -9.3K 191.2K -445 0.00 94.01 N/A N/A 0 10 147 404 2011-07-12 $16.30 $15.00 36.6% 8.6% 23.6% 30.0% 0.0% 5.0% -4.3% -10.5K 208.2K -474 0.00 94.57 N/A N/A 0 0 147 414 2011-07-13 $16.36 $15.00 46.8% 8.6% 23.2% 47.8% 40.8% 4.5% -2.9% -10.2K 209.8K -472 0.00 96.03 N/A N/A 0 6 147 414 2011-07-14 $15.94 $15.00 38.0% 10.9% 25.0% 32.4% 0.0% 0.8% -0.5% -11.4K 232.4K -474 0.00 96.52 N/A N/A 0 0 147 420 2011-07-15 $15.97 $15.00 38.2% 11.0% 25.0% 32.7% 0.0% 6.4% -3.8% -10.0K 236.4K -453 0.00 97.73 N/A N/A 0 0 147 420 2011-07-18 $15.67 $15.00 39.5% 11.3% 25.8% 35.0% 0.0% 12.7% -2.3% -5.0K 95.4K -442 0.00 99.14 N/A N/A 0 0 19 156 2011-07-19 $16.01 $15.00 31.9% 9.2% 26.4% 21.7% 0.0% 5.0% 11.2% -5.1K 87.1K -434 0.00 97.24 N/A N/A 0 0 19 156 2011-07-20 $16.19 $15.00 37.2% 10.7% 26.4% 30.9% 0.0% 5.5% 0.3% -5.0K 81.2K -427 0.00 96.53 N/A N/A 0 0 19 156 2011-07-21 $16.28 $15.00 26.9% 7.7% 25.6% 12.8% 0.0% 4.4% 1.1% -5.1K 79.0K -420 0.00 96.37 N/A N/A 0 0 19 156 2011-07-22 $16.43 $15.00 27.1% 7.8% 25.5% 13.2% 0.0% 4.0% 1.5% -4.7K 73.7K -415 0.00 95.16 N/A N/A 0 0 19 156 2011-07-25 $16.22 $15.00 37.3% 10.7% 25.9% 31.2% 0.0% 7.3% 3.5% -4.7K 73.8K -406 0.00 97.24 N/A N/A 0 0 19 156 2011-07-26 $16.52 $15.00 35.0% 10.0% 25.4% 27.0% 36.6% 5.4% -3.1% -4.7K 70.5K -398 0.00 94.51 N/A N/A 1 0 19 156 2011-07-27 $16.10 $15.00 35.4% 10.1% 25.9% 27.8% 0.0% 4.7% 6.4% -4.7K 80.7K -420 0.00 96.32 N/A N/A 20 0 20 156 2011-07-28 $15.45 $15.00 31.7% 9.1% 29.4% 21.3% 0.0% 14.5% 8.5% -4.6K 78.4K -491 0.00 99.89 N/A N/A 0 0 40 156 2011-07-29 $14.65 $15.00 39.1% 11.2% 34.2% 34.2% 0.0% 6.8% -0.4% -4.6K 105.2K -465 0.00 100.11 N/A N/A 0 0 40 156
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