BHE Options History — November 2011

In November 2011, BHE traded between $12.24 and $14.44. ATM implied volatility averaged 52.4%, placing in the 65.4% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 10.0% (HV 20d: 62.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.05.

Notable Days

  • 2011-11-01: Highest Volume — 1,300 contracts
  • 2011-11-30: Largest IV drop — 42.3% change
  • 2011-11-16: Highest IV Rank — 78.1%
  • 2011-11-16: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.28$12.24$14.44$13.24$13.81
Max Pain$14.29$12.50$15.00$15.00$12.50
ATM IV52.4%31.5%58.8%55.4%31.5%
Expected Move15.0%9.0%16.9%15.9%9.0%
HV 20d62.4%50.9%69.8%66.9%57.0%
HV 60d65.0%62.1%68.1%68.1%64.1%
IV Rank65.4%23.7%78.1%71.3%23.7%
IV Percentile88.0%19.8%98.8%95.6%19.8%
Term Structure0.6%-6.1%20.6%1.8%20.6%
VWIV44.8%39.9%49.7%39.9%49.7%
Skew 25d11.5%-6.9%23.4%17.8%17.4%
Skew 10d10.6%0.4%17.7%15.0%13.6%
Call IV 25d40.6%30.0%50.0%37.6%30.0%
Put IV 25d52.1%42.0%58.8%55.4%47.5%
Bid-Ask Spread %65.6615.01108.1433.5439.55
Gamma HHI0.590.480.750.540.57
Net GEX34.3K9.3K68.0K9.3K30.3K
Net DEX-335.7K-1.0M88.8K88.8K-596.7K
Net VEX-3.9K-5.8K-2.4K-4.4K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.300.300.00
Total Volume79.66701,3001,3007
Total OI2,427.0481,5033,3002,1531,531

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$13.24$15.0055.4%15.9%66.9%71.3%39.9%17.8%1.8%9.3K88.8K-4.4K0.3033.54N/AN/A1,0003001,455698
2011-11-02$13.67$15.0052.7%15.1%67.0%65.9%0.0%23.4%14.0%34.4K-51.4K-5.5K0.00106.41N/AN/A002,451849
2011-11-03$14.28$15.0052.9%15.2%68.1%66.3%0.0%-6.9%-1.3%58.5K-930.2K-5.7K0.0030.22N/AN/A002,451455
2011-11-04$14.08$15.0051.6%14.4%66.9%63.7%0.0%13.7%-1.1%57.9K-837.7K-5.8K0.0033.81N/AN/A002,451455
2011-11-07$13.95$15.0051.7%14.1%62.4%63.9%0.0%13.9%-0.1%54.5K-658.5K-5.1K0.0039.28N/AN/A002,451455
2011-11-08$14.44$15.0053.5%14.2%63.7%67.5%0.0%14.7%-2.2%68.0K-1.0M-5.7K0.0037.23N/AN/A03002,451455
2011-11-09$13.26$15.0049.0%15.2%69.8%58.6%0.0%0.8%-0.6%43.7K-306.1K-4.4K0.0056.79N/AN/A002,451455
2011-11-10$13.23$15.0053.6%15.4%69.6%67.7%0.0%15.7%-1.5%39.0K-136.4K-3.9K0.00105.98N/AN/A022,451455
2011-11-11$13.61$15.0055.6%15.9%68.3%71.6%0.0%17.8%1.0%50.1K-420.2K-4.5K0.00108.01N/AN/A002,451457
2011-11-14$13.17$15.0052.6%15.1%64.9%65.7%0.0%-1.1%0.9%32.7K-100.5K-3.6K0.0025.33N/AN/A3302,451457
2011-11-15$13.28$15.0057.7%16.5%64.5%75.8%0.0%16.4%-4.2%33.1K-101.8K-3.6K0.00105.13N/AN/A002,451457
2011-11-16$13.01$15.0058.8%16.9%63.2%78.1%0.0%18.1%-5.7%29.7K-39.7K-3.5K0.00107.14N/AN/A002,451457
2011-11-17$13.06$15.0052.7%15.1%63.2%66.0%0.0%15.3%-0.4%26.2K9.0K-3.2K0.0044.86N/AN/A002,451457
2011-11-18$13.19$15.0058.2%16.7%61.9%76.8%0.0%15.5%-5.4%26.1K-43.2K-3.3K0.00108.14N/AN/A002,451457
2011-11-21$12.87$15.0049.2%14.1%61.1%59.1%49.7%11.9%4.4%22.1K-349.2K-2.9K0.00105.94N/AN/A801,403100
2011-11-22$12.67$12.5050.9%14.6%58.2%62.3%0.0%3.1%-6.1%21.7K-332.5K-2.9K0.00105.83N/AN/A001,411100
2011-11-23$12.24$12.5047.9%13.7%58.1%56.5%0.0%5.3%3.6%18.4K-239.2K-2.4K0.00104.29N/AN/A501,411100
2011-11-25$12.24$12.5054.2%15.5%51.8%68.9%0.0%4.6%-1.0%18.7K-251.5K-2.5K0.0033.43N/AN/A1801,413100
2011-11-28$12.83$12.5056.5%16.2%53.8%73.5%0.0%14.0%-2.5%22.9K-355.4K-2.9K0.0015.01N/AN/A001,431100
2011-11-29$12.77$12.5054.7%15.7%50.9%69.9%0.0%10.1%-1.6%22.9K-359.1K-2.8K0.0032.86N/AN/A001,431100
2011-11-30$13.81$12.5031.5%9.0%57.0%23.7%0.0%17.4%20.6%30.3K-596.7K-3.5K0.0039.55N/AN/A701,431100