BHE Options History — October 2011

In October 2011, BHE traded between $12.13 and $15.26. ATM implied volatility averaged 50.0%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 19.7% (HV 20d: 69.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 8.63.

Notable Days

  • 2011-10-12: Highest Volume — 1,153 contracts
  • 2011-10-06: Largest IV spike — 73.4% change
  • 2011-10-04: Highest IV Rank — 75.7%
  • 2011-10-04: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.22$12.13$15.26$12.13$13.74
Max Pain$13.45$12.50$15.00$15.00$15.00
ATM IV50.0%29.2%62.6%60.7%53.1%
Expected Move14.6%8.4%17.9%17.4%15.2%
HV 20d69.6%60.3%76.9%60.3%74.9%
HV 60d65.8%58.5%70.0%58.5%70.0%
IV Rank56.5%16.9%75.7%72.3%66.8%
IV Percentile86.7%16.3%97.6%97.6%92.9%
Term Structure-0.2%-10.7%17.4%-4.8%-10.7%
VWIV52.1%26.0%83.1%83.1%46.6%
Skew 25d10.0%-20.8%52.7%11.2%-20.8%
Skew 10d16.8%-1.4%87.5%16.9%3.3%
Call IV 25d43.9%35.8%57.8%45.0%57.8%
Put IV 25d53.9%36.9%105.1%56.2%36.9%
Bid-Ask Spread %81.4124.72106.4995.90103.01
Gamma HHI0.490.390.570.520.50
Net GEX20.2K-30730.2K22.6K7.5K
Net DEX-752.3K-1.2M-151.3K-464.1K-151.3K
Net VEX-5.4K-6.5K-4.3K-4.7K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.630.00103.290.000.00
Total Volume115.04801,1531000
Total OI1,911.6191,4932,1652,0572,153

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$12.13$15.0060.7%17.4%60.3%72.3%0.0%11.2%-4.8%22.6K-464.1K-4.7K0.0095.90N/AN/A10001,837220
2011-10-04$13.45$15.0062.6%17.9%70.8%75.7%83.1%27.3%-3.9%27.0K-801.7K-6.0K0.00102.45N/AN/A201,937220
2011-10-05$13.87$15.0029.2%8.4%64.4%16.9%26.0%52.7%17.4%28.6K-904.1K-6.2K0.0094.41N/AN/A0101,935220
2011-10-06$14.27$15.0050.7%14.5%64.0%54.7%0.0%-3.7%0.7%27.5K-1.0M-6.5K0.0030.39N/AN/A5501,935230
2011-10-07$13.75$12.5045.6%14.6%63.2%45.7%0.0%8.3%13.1%28.5K-954.2K-6.3K0.0048.46N/AN/A001,930230
2011-10-10$14.69$12.5050.9%14.1%66.8%55.0%0.0%-0.1%4.1%30.2K-1.2M-6.5K0.00102.96N/AN/A15601,930230
2011-10-11$14.59$12.5049.6%15.6%66.1%52.8%0.0%16.4%-3.4%25.4K-1.1M-6.1K0.0098.84N/AN/A001,779230
2011-10-12$14.90$12.5040.3%14.5%65.7%36.5%0.0%7.0%1.1%22.8K-1.2M-6.2K0.0099.77N/AN/A1,15301,779230
2011-10-13$14.60$12.5049.2%14.1%66.2%52.1%49.2%16.1%-0.4%21.6K-892.1K-5.3K0.2237.25N/AN/A1841,529230
2011-10-14$15.26$12.5046.6%13.4%67.8%47.5%0.0%8.4%3.6%18.0K-977.8K-5.1K0.0098.27N/AN/A101,426230
2011-10-17$14.23$12.5053.8%15.4%72.4%62.3%0.0%11.1%-5.0%19.1K-729.5K-4.8K0.0039.75N/AN/A001,427230
2011-10-18$14.51$12.5051.1%14.7%71.5%58.2%0.0%19.2%-2.1%16.2K-740.4K-4.7K0.0098.04N/AN/A071,427230
2011-10-19$13.90$12.5057.0%16.4%72.1%72.3%0.0%4.4%-7.0%21.1K-603.0K-4.5K0.0098.96N/AN/A001,427237
2011-10-20$13.84$12.5049.1%14.1%71.6%56.9%58.3%10.8%3.1%23.6K-551.8K-4.3K0.0099.35N/AN/A5801,427237
2011-10-21$14.32$12.5049.4%14.2%71.9%57.4%49.6%4.2%0.2%26.6K-654.2K-4.5K0.03101.89N/AN/A6221,427237
2011-10-24$14.73$12.5049.9%14.3%72.0%60.3%0.0%6.5%-0.7%28.7K-889.5K-4.7K0.00106.49N/AN/A2101,39499
2011-10-25$13.90$12.5053.5%15.3%74.8%67.5%52.1%6.0%-6.8%24.9K-786.2K-4.6K103.2924.72N/AN/A77231,41599
2011-10-26$14.23$15.0049.3%14.1%73.4%59.2%46.6%14.5%-2.2%3.6K-235.6K-5.3K0.0098.34N/AN/A041,422696
2011-10-27$15.17$15.0049.3%14.1%75.5%59.2%0.0%14.3%0.2%-307-640.3K-5.8K0.0098.63N/AN/A3301,422698
2011-10-28$14.48$15.0048.4%13.9%76.9%57.3%0.0%-3.5%-1.1%1.6K-381.5K-5.6K0.0031.68N/AN/A001,455698
2011-10-31$13.74$15.0053.1%15.2%74.9%66.8%0.0%-20.8%-10.7%7.5K-151.3K-5.0K0.00103.01N/AN/A001,455698