BHE Options History — August 2011

In August 2011, BHE traded between $12.43 and $14.48. ATM implied volatility averaged 40.1%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 17.0% (HV 20d: 57.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.11.

Notable Days

  • 2011-08-24: Highest Volume — 1,471 contracts
  • 2011-08-11: Largest IV drop — 33.1% change
  • 2011-08-24: Highest IV Rank — 52.8%
  • 2011-08-24: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.43$12.43$14.48$14.35$13.55
Max Pain$14.88$12.50$15.00$15.00$15.00
ATM IV40.1%30.8%49.6%39.0%37.6%
Expected Move11.6%8.8%14.2%11.2%10.8%
HV 20d57.1%31.9%75.3%31.9%74.8%
HV 60d39.6%28.3%48.8%28.3%48.7%
IV Rank36.1%19.6%52.8%34.2%31.7%
IV Percentile72.0%22.2%96.4%79.8%73.0%
Term Structure1.4%-11.5%22.1%-1.1%5.8%
VWIV39.6%25.3%48.4%38.0%48.4%
Skew 25d5.1%-15.2%18.7%1.6%-15.2%
Skew 10d5.1%-4.6%15.6%5.5%-4.6%
Call IV 25d37.6%24.3%44.3%36.6%44.2%
Put IV 25d42.8%29.0%54.1%38.3%29.0%
Bid-Ask Spread %105.1794.10138.3898.32109.44
Gamma HHI0.590.380.840.820.41
Net GEX-1.7K-11.4K14.1K-4.6K12.8K
Net DEX48.5K-475.7K213.9K117.2K-475.7K
Net VEX-1.2K-4.5K-253-430-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.400.000.00
Total Volume83.30401,47120
Total OI488.2171961,4281961,408

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$14.35$15.0039.0%11.2%31.9%34.2%38.0%1.6%-1.1%-4.6K117.2K-4300.0098.32N/AN/A0240156
2011-08-02$14.18$15.0031.6%9.1%31.9%21.2%0.0%-2.0%2.0%-4.6K126.4K-4190.00100.27N/AN/A0040158
2011-08-03$14.48$15.0030.8%8.8%33.5%19.6%0.0%15.2%15.1%-4.9K129.1K-4160.00101.38N/AN/A0040158
2011-08-04$14.00$15.0033.1%9.5%33.8%23.8%30.8%-2.9%4.8%-4.3K131.0K-4010.00103.39N/AN/A0440158
2011-08-05$13.86$0.0036.7%12.1%33.5%30.0%0.0%8.1%-2.1%-3.9K135.1K-3860.0094.10N/AN/A0340158
2011-08-08$12.70$0.0042.0%13.2%43.4%39.5%45.4%8.3%-4.9%-2.5K154.2K-2650.0099.22N/AN/A04940158
2011-08-09$13.36$12.5036.9%11.9%48.7%30.5%25.3%5.2%-11.5%-4.2K196.8K-2530.00105.65N/AN/A04840190
2011-08-10$12.76$15.0048.9%13.1%50.1%51.6%45.7%9.1%-9.3%-5.9K202.9K-3570.00101.74N/AN/A02440238
2011-08-11$13.88$15.0032.8%9.4%60.3%23.1%0.0%18.7%-3.1%-7.0K181.6K-4320.00111.17N/AN/A0040258
2011-08-12$13.88$15.0033.6%9.6%60.3%24.6%0.0%7.8%-3.8%-6.8K168.1K-4380.00104.78N/AN/A02240258
2011-08-15$14.14$15.0032.2%9.2%60.8%22.1%0.0%3.9%-2.1%-7.0K153.0K-3800.00138.38N/AN/A01040243
2011-08-16$13.72$15.0040.0%11.5%60.5%35.8%0.0%10.0%1.7%-6.2K167.0K-4040.00104.75N/AN/A5040253
2011-08-17$13.61$15.0037.9%10.9%60.1%32.2%0.0%8.7%6.0%-6.1K160.3K-4310.00103.94N/AN/A0045253
2011-08-18$12.52$15.0045.4%13.0%65.4%45.4%43.4%3.5%1.6%-8.5K213.9K-3310.40103.85N/AN/A5245253
2011-08-19$12.52$15.0047.0%13.5%65.1%48.2%0.0%6.4%-3.4%-11.4K208.1K-3460.00104.67N/AN/A5050253
2011-08-22$12.43$15.0047.0%13.5%65.1%48.2%0.0%5.4%-8.3%-3.0K157.5K-3300.00105.45N/AN/A0054181
2011-08-23$13.34$15.0041.5%11.9%70.9%38.5%0.0%5.2%-0.2%-4.4K146.3K-3880.00104.72N/AN/A0054181
2011-08-24$12.89$15.0049.6%14.2%71.2%52.8%0.0%11.2%1.7%-3.2K147.2K-3870.01104.74N/AN/A1,4521954181
2011-08-25$12.50$15.0049.2%14.1%70.7%52.0%48.4%8.0%6.4%9.4K-204.7K-3.3K0.36101.49N/AN/A104371,006181
2011-08-26$12.91$15.0048.8%14.0%70.4%51.4%0.0%8.6%7.7%9.5K-225.6K-3.6K0.0099.95N/AN/A10001,110218
2011-08-29$13.84$15.0044.2%12.7%75.1%43.2%0.0%3.2%22.1%14.1K-429.6K-4.4K0.00108.88N/AN/A2501,210218
2011-08-30$13.56$15.0036.6%10.5%75.3%29.8%0.0%-9.8%8.1%13.1K-445.1K-4.4K0.00108.74N/AN/A001,190218
2011-08-31$13.55$15.0037.6%10.8%74.8%31.7%0.0%-15.2%5.8%12.8K-475.7K-4.5K0.00109.44N/AN/A001,190218