BHE Options History — December 2011

In December 2011, BHE traded between $12.49 and $13.91. ATM implied volatility averaged 45.0%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 6.4% (HV 20d: 51.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2011-12-27: Highest Volume — 19 contracts
  • 2011-12-27: Largest IV spike — 32.1% change
  • 2011-12-19: Highest IV Rank — 68.6%
  • 2011-12-08: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.32$12.49$13.91$13.30$13.47
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV45.0%33.9%54.0%53.0%37.6%
Expected Move13.8%9.7%15.5%15.2%10.8%
HV 20d51.4%44.1%57.5%57.5%44.1%
HV 60d60.9%56.0%62.4%62.0%56.0%
IV Rank50.6%28.4%68.6%66.6%35.9%
IV Percentile70.9%34.9%90.9%88.5%51.2%
Term Structure-0.0%-12.8%21.1%-12.8%21.1%
VWIV44.4%31.1%51.9%50.1%51.9%
Skew 25d1.8%-5.6%13.0%3.5%-4.2%
Skew 10d9.6%-6.1%57.9%10.1%3.8%
Call IV 25d44.0%28.0%51.9%42.3%50.0%
Put IV 25d45.8%32.8%63.2%45.8%45.8%
Bid-Ask Spread %62.2229.84110.4141.2298.50
Gamma HHI0.600.540.670.580.65
Net GEX29.8K20.6K39.3K29.2K35.9K
Net DEX-394.6K-545.9K-204.7K-495.1K-363.7K
Net VEX-2.6K-3.3K-1.9K-3.3K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.001.000.270.00
Total Volume2.57101900
Total OI1,540.4291,5341,5491,5341,547

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$13.30$12.5053.0%15.2%57.5%66.6%0.0%3.5%-12.8%29.2K-495.1K-3.3K0.0041.22N/AN/A001,434100
2011-12-02$13.27$12.5046.3%13.3%55.0%53.2%0.0%-4.8%-6.2%28.2K-494.7K-3.2K0.00107.43N/AN/A001,434100
2011-12-05$13.42$12.5039.2%14.7%55.1%39.0%0.0%0.7%-0.0%28.6K-462.9K-3.1K0.0031.47N/AN/A001,434100
2011-12-06$13.52$12.5037.8%15.0%55.1%36.3%50.1%5.0%-1.0%29.6K-503.1K-3.1K0.2742.10N/AN/A1131,434100
2011-12-07$13.72$12.5039.5%14.6%53.8%39.7%0.0%5.6%-0.8%31.1K-537.1K-3.2K0.0042.05N/AN/A001,434103
2011-12-08$13.18$12.5049.1%15.5%46.5%58.7%44.3%1.9%-2.3%27.3K-433.1K-2.8K1.0031.80N/AN/A111,434103
2011-12-09$13.76$12.5043.6%13.6%49.0%47.8%31.1%6.3%1.2%32.7K-545.9K-3.2K0.0090.22N/AN/A021,435102
2011-12-12$13.26$12.5042.6%14.8%49.8%45.7%0.0%-1.1%-1.1%27.6K-384.5K-2.7K0.0029.84N/AN/A001,435104
2011-12-13$12.95$12.5043.8%14.8%49.1%48.1%0.0%-1.8%-1.0%25.4K-329.2K-2.5K0.0033.94N/AN/A001,435104
2011-12-14$12.61$12.5053.8%15.0%49.8%68.2%51.9%-5.6%-1.5%22.6K-271.5K-2.3K0.0036.21N/AN/A0101,435104
2011-12-15$12.83$12.5051.2%14.7%49.8%63.0%0.0%-1.7%-0.4%24.4K-292.3K-2.4K0.0035.74N/AN/A001,435114
2011-12-16$12.93$12.5050.0%14.3%49.9%60.5%0.0%1.9%3.1%24.5K-279.0K-2.3K0.0038.98N/AN/A001,435114
2011-12-19$12.49$12.5054.0%15.5%51.2%68.6%0.0%4.1%-4.9%20.6K-204.7K-1.9K0.0046.66N/AN/A001,424114
2011-12-20$13.20$12.5048.6%13.9%54.4%57.8%0.0%4.3%1.4%27.1K-295.3K-2.3K0.0053.05N/AN/A001,424114
2011-12-21$13.30$12.5046.0%13.2%54.1%52.5%0.0%13.0%3.8%28.1K-275.6K-2.1K0.0096.71N/AN/A041,424114
2011-12-22$13.70$12.5033.9%9.7%53.0%28.4%0.0%5.6%11.0%35.5K-427.4K-2.6K0.00108.04N/AN/A301,424118
2011-12-23$13.73$12.5036.1%10.4%53.0%32.9%0.0%6.2%6.7%39.1K-321.8K-2.3K0.00110.41N/AN/A001,427118
2011-12-27$13.91$12.5047.7%13.7%50.8%56.0%0.0%1.6%-9.0%39.3K-518.3K-2.7K0.0031.71N/AN/A0191,427118
2011-12-28$13.45$12.5043.9%12.6%52.5%48.3%0.0%-3.5%-2.7%31.2K-412.7K-2.5K0.00108.03N/AN/A001,427120
2011-12-29$13.81$12.5047.7%13.7%45.3%55.9%0.0%-0.1%-5.0%37.4K-438.8K-2.5K0.0092.43N/AN/A001,427120
2011-12-30$13.47$12.5037.6%10.8%44.1%35.9%0.0%-4.2%21.1%35.9K-363.7K-2.3K0.0098.50N/AN/A001,427120