BHE Options History — January 2012

In January 2012, BHE traded between $13.93 and $17.25. ATM implied volatility averaged 40.9%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 2.9% (HV 20d: 38.0%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.54.

Notable Days

  • 2012-01-17: Highest Volume — 114 contracts
  • 2012-01-19: Largest IV spike — 31.7% change
  • 2012-01-03: Highest IV Rank — 52.5%
  • 2012-01-03: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.93$13.93$17.25$13.99$17.20
Max Pain$15.63$12.50$17.50$12.50$17.50
ATM IV40.9%32.3%46.0%46.0%42.8%
Expected Move12.0%9.3%13.2%13.2%12.3%
HV 20d38.0%26.7%46.9%46.0%26.7%
HV 60d51.3%44.9%56.3%56.3%44.9%
IV Rank42.4%25.3%52.5%52.5%46.2%
IV Percentile58.5%23.8%71.0%71.0%64.3%
Term Structure-0.4%-2.8%5.5%0.2%-2.3%
VWIV39.9%37.2%42.6%42.6%37.2%
Skew 25d0.7%-10.5%12.3%-10.5%-0.3%
Skew 10d4.8%-4.8%41.7%20.6%0.9%
Call IV 25d37.1%30.7%45.9%45.9%39.1%
Put IV 25d37.8%29.3%46.2%35.4%38.9%
Bid-Ask Spread %80.4829.95109.1133.37100.33
Gamma HHI0.740.500.860.680.83
Net GEX39.9K13.4K82.7K43.5K13.9K
Net DEX-897.3K-1.9M-434.4K-469.9K-482.5K
Net VEX-2.5K-2.7K-2.1K-2.4K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.008.001.088.00
Total Volume16.7011430
Total OI1,336.458041,6901,547844

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$13.99$12.5046.0%13.2%46.0%52.5%0.0%-10.5%0.2%43.5K-469.9K-2.4K0.0033.37N/AN/A031,427120
2012-01-04$13.93$12.5044.5%12.8%46.0%49.7%0.0%-9.0%5.5%43.7K-434.4K-2.4K0.0037.49N/AN/A001,427123
2012-01-05$14.34$12.5045.7%13.1%46.9%52.0%0.0%-5.1%-0.8%52.0K-603.1K-2.6K1.0833.96N/AN/A38411,427123
2012-01-06$14.41$15.0036.3%12.9%46.7%33.3%0.0%8.8%1.2%55.5K-587.1K-2.7K0.0092.77N/AN/A001,435164
2012-01-09$14.82$15.0039.6%12.8%44.7%39.8%0.0%10.2%-1.5%74.5K-716.3K-2.7K0.0094.16N/AN/A001,435164
2012-01-10$15.16$15.0040.3%12.7%43.0%41.2%0.0%5.4%-0.3%79.9K-926.1K-2.7K0.60100.61N/AN/A531,435164
2012-01-11$15.36$15.0040.1%12.2%40.1%40.8%0.0%6.6%0.9%82.7K-1.1M-2.7K0.00100.25N/AN/A301,435167
2012-01-12$15.84$15.0043.6%12.5%39.2%47.8%0.0%-0.5%0.5%50.2K-1.6M-2.2K0.0034.18N/AN/A001,437167
2012-01-13$15.51$15.0043.9%12.6%38.6%48.3%0.0%8.6%-0.4%81.7K-1.2M-2.6K1.00102.06N/AN/A10101,437167
2012-01-17$15.73$15.0044.9%12.9%38.5%50.4%0.0%12.3%-2.8%63.1K-1.5M-2.1K0.11103.11N/AN/A103111,447177
2012-01-18$16.34$15.0032.3%9.3%39.7%25.3%0.0%6.9%1.7%20.4K-1.8M-2.3K0.0095.42N/AN/A1501,496188
2012-01-19$16.41$15.0042.6%12.2%35.9%45.8%42.6%-10.1%-2.6%31.6K-1.8M-2.4K1.50102.45N/AN/A10151,491188
2012-01-20$17.01$17.5037.2%10.7%33.5%35.0%37.2%-1.4%0.1%19.8K-1.9M-2.3K8.00102.54N/AN/A3241,491199
2012-01-23$17.04$17.5036.2%10.4%33.7%33.1%0.0%-1.5%-2.3%14.5K-487.9K-2.4K0.00109.11N/AN/A00624180
2012-01-24$17.00$17.5038.8%11.1%33.5%38.3%0.0%-1.3%-1.7%15.0K-487.0K-2.4K0.0029.95N/AN/A010624180
2012-01-25$17.00$17.5039.9%11.4%33.5%40.4%0.0%-2.7%-2.3%14.9K-475.3K-2.4K0.0034.13N/AN/A030624190
2012-01-26$17.17$17.5040.9%11.7%33.5%42.4%0.0%-2.1%-0.5%13.5K-481.2K-2.6K0.00100.86N/AN/A00624220
2012-01-27$17.25$17.5040.1%11.5%29.3%40.7%0.0%1.0%0.1%13.7K-504.0K-2.5K0.00100.51N/AN/A00624220
2012-01-30$17.11$17.5042.1%12.1%29.7%44.7%0.0%-1.4%-1.0%13.4K-467.2K-2.5K0.00102.32N/AN/A00624220
2012-01-31$17.20$17.5042.8%12.3%26.7%46.2%0.0%-0.3%-2.3%13.9K-482.5K-2.5K0.00100.33N/AN/A00624220