BHE Options History — September 2011

In September 2011, BHE traded between $12.32 and $13.76. ATM implied volatility averaged 51.5%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 13.5% (HV 20d: 65.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2011-09-22: Highest Volume — 204 contracts
  • 2011-09-14: Largest IV spike — 52.8% change
  • 2011-09-14: Highest IV Rank — 88.3%
  • 2011-09-26: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.06$12.32$13.76$13.13$13.01
Max Pain$16.67$15.00$17.50$15.00$15.00
ATM IV51.5%34.9%69.8%40.6%55.1%
Expected Move15.4%11.6%16.8%11.6%15.8%
HV 20d65.0%54.2%76.1%74.7%57.1%
HV 60d54.2%49.0%57.0%49.0%57.0%
IV Rank56.1%27.0%88.3%36.9%62.5%
IV Percentile90.9%54.0%98.4%88.5%94.0%
Term Structure-0.4%-5.3%6.4%3.9%-3.2%
VWIV39.2%20.6%57.3%26.1%38.0%
Skew 25d8.0%-7.3%25.7%-7.3%14.8%
Skew 10d11.3%-2.2%37.9%8.6%10.3%
Call IV 25d45.5%35.3%53.6%41.5%37.6%
Put IV 25d53.5%34.1%69.0%34.1%52.3%
Bid-Ask Spread %79.6731.18108.74108.7431.18
Gamma HHI0.490.380.590.410.53
Net GEX17.8K4026.4K12.5K26.4K
Net DEX-527.5K-752.5K-220.6K-407.7K-673.5K
Net VEX-4.9K-5.9K-3.7K-4.2K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.0012.000.004.00
Total Volume41.7140204170
Total OI1,774.3331,4082,0571,4082,057

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$13.13$15.0040.6%11.6%74.7%36.9%26.1%-7.3%3.9%12.5K-407.7K-4.2K0.00108.74N/AN/A0171,190218
2011-09-02$12.55$15.0046.6%13.4%76.1%47.4%0.0%4.9%5.2%9.3K-259.5K-3.8K0.00104.70N/AN/A10001,190235
2011-09-06$12.43$17.5055.4%15.9%69.7%62.9%20.6%5.9%-5.3%10.9K-220.6K-3.7K0.04101.39N/AN/A10041,290235
2011-09-07$13.57$17.5035.2%15.0%74.4%27.4%0.0%6.9%-0.5%16.4K-547.2K-4.9K0.0054.54N/AN/A001,390235
2011-09-08$13.17$17.5034.9%14.8%73.3%27.0%0.0%-1.1%-0.3%13.8K-470.2K-4.6K0.0055.64N/AN/A001,390235
2011-09-09$12.58$17.5044.2%15.2%68.2%43.2%0.0%-4.3%-0.2%10.6K-366.3K-4.4K0.0055.15N/AN/A6201,390235
2011-09-12$12.77$17.5042.9%15.6%68.6%40.9%21.7%11.7%-0.0%40-353.6K-4.2K0.0455.05N/AN/A10041,430235
2011-09-13$13.23$17.5045.7%15.0%69.6%45.9%0.0%-2.1%3.7%15.3K-552.9K-5.1K0.0048.65N/AN/A001,530235
2011-09-14$13.65$17.5069.8%16.6%69.8%88.3%49.9%11.5%-5.2%19.2K-652.2K-5.3K0.0063.41N/AN/A041,530235
2011-09-15$13.76$17.5052.8%15.1%69.8%58.4%0.0%8.8%0.5%18.7K-713.9K-5.5K0.0099.25N/AN/A7301,530235
2011-09-16$13.70$17.5056.3%16.1%62.5%64.6%46.0%10.7%-2.0%20.5K-719.3K-5.5K0.0094.10N/AN/A011,549235
2011-09-19$13.42$17.5055.8%16.0%63.1%63.7%0.0%8.3%-0.7%20.5K-615.5K-5.1K0.0092.89N/AN/A2001,549160
2011-09-20$13.02$17.5052.5%15.1%64.1%57.9%53.7%-0.8%0.8%20.3K-543.4K-4.8K12.0053.75N/AN/A5601,568160
2011-09-21$12.57$17.5053.5%15.3%60.0%59.7%0.0%16.5%-2.4%18.9K-435.1K-4.8K0.0069.56N/AN/A3801,573220
2011-09-22$12.32$17.5056.9%16.3%59.3%65.6%28.9%12.4%-2.4%18.0K-333.6K-4.4K0.0295.27N/AN/A20041,573220
2011-09-23$12.66$17.5057.4%16.4%59.1%66.4%57.3%15.6%-3.1%22.0K-498.2K-5.3K0.0094.94N/AN/A5801,773220
2011-09-26$13.00$15.0058.6%16.8%58.8%68.6%0.0%25.7%-2.1%24.5K-594.1K-5.5K0.00101.62N/AN/A001,831220
2011-09-27$13.42$15.0057.8%16.6%54.2%67.1%49.8%8.8%-4.1%26.0K-752.5K-5.9K0.0098.62N/AN/A101,831220
2011-09-28$12.88$15.0054.1%15.5%55.7%60.6%38.0%5.7%1.7%24.1K-658.1K-5.4K4.0097.61N/AN/A5201,832220
2011-09-29$13.37$15.0055.1%15.8%57.4%62.5%0.0%15.6%6.4%26.2K-710.1K-5.8K0.0096.94N/AN/A001,837220
2011-09-30$13.01$15.0055.1%15.8%57.1%62.5%0.0%14.8%-3.2%26.4K-673.5K-5.6K0.0031.18N/AN/A001,837220