BHE Options History — February 2012

In February 2012, BHE traded between $16.42 and $17.99. ATM implied volatility averaged 35.8%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 11.3% (HV 20d: 24.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.58.

Notable Days

2012-02-01: Highest Volume — 100 contracts
2012-02-03: Largest IV drop — 25.0% change
2012-02-01: Highest IV Rank — 43.6%
2012-02-01: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.48	$16.42	$17.99	$17.89	$16.42
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	35.8%	28.0%	41.5%	41.5%	33.7%
Expected Move	10.6%	9.5%	11.9%	11.9%	9.7%
HV 20d	24.4%	20.4%	27.3%	26.9%	25.5%
HV 60d	39.6%	34.2%	44.7%	44.7%	34.2%
IV Rank	32.2%	16.6%	43.6%	43.6%	28.1%
IV Percentile	37.8%	10.3%	61.9%	61.9%	27.4%
Term Structure	0.3%	-2.5%	2.7%	-2.5%	1.2%
VWIV	38.5%	36.5%	41.6%	41.6%	36.5%
Skew 25d	1.9%	-6.0%	9.0%	7.4%	-6.0%
Skew 10d	1.1%	-7.8%	14.4%	8.3%	-7.8%
Call IV 25d	30.0%	25.1%	37.9%	31.5%	33.5%
Put IV 25d	31.9%	27.5%	39.0%	38.9%	27.5%
Bid-Ask Spread %	42.39	9.20	100.44	33.51	33.78
Gamma HHI	0.96	0.90	0.97	0.90	0.94
Net GEX	23.0K	16.0K	33.0K	16.0K	17.7K
Net DEX	-589.1K	-756.8K	-277.1K	-615.1K	-277.1K
Net VEX	-2.3K	-2.5K	-2.1K	-2.4K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.00	2.48	0.00	0.98
Total Volume	19.75	0	100	100	0
Total OI	898.05	844	944	844	897

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-02-01	$17.89	$17.50	41.5%	11.9%	26.9%	43.6%	41.6%	7.4%	-2.5%	16.0K	-615.1K	-2.4K	0.00	33.51	N/A	N/A	100	0	624	220
2012-02-02	$17.99	$17.50	37.3%	10.7%	26.3%	35.2%	37.3%	9.0%	2.7%	24.3K	-754.7K	-2.5K	0.00	95.49	N/A	N/A	100	0	724	220
2012-02-03	$17.98	$0.00	28.0%	10.9%	26.0%	16.6%	0.0%	-2.4%	-0.2%	21.3K	-756.8K	-2.4K	0.00	94.88	N/A	N/A	0	0	690	220
2012-02-06	$17.74	$0.00	34.3%	11.4%	27.3%	29.3%	0.0%	-2.6%	-1.1%	23.5K	-681.6K	-2.4K	0.00	97.34	N/A	N/A	3	0	690	220
2012-02-07	$17.69	$0.00	34.2%	11.7%	26.9%	29.0%	0.0%	4.4%	-1.7%	22.2K	-665.3K	-2.4K	0.00	100.44	N/A	N/A	0	0	693	220
2012-02-08	$17.65	$0.00	34.9%	11.0%	26.6%	30.4%	0.0%	7.3%	1.0%	23.3K	-668.0K	-2.4K	0.00	55.61	N/A	N/A	0	0	693	220
2012-02-09	$17.53	$0.00	36.5%	10.5%	27.0%	33.7%	0.0%	3.9%	1.0%	24.2K	-619.7K	-2.4K	0.00	37.91	N/A	N/A	0	0	693	220
2012-02-10	$17.36	$0.00	37.7%	10.8%	26.0%	36.0%	0.0%	3.2%	0.2%	24.2K	-582.7K	-2.3K	0.00	39.59	N/A	N/A	0	0	693	220
2012-02-13	$17.65	$0.00	37.9%	10.9%	24.5%	36.3%	0.0%	4.1%	0.2%	26.2K	-654.3K	-2.3K	0.00	37.99	N/A	N/A	0	0	693	220
2012-02-14	$17.59	$0.00	37.3%	10.7%	24.6%	35.3%	0.0%	5.0%	0.5%	27.5K	-638.8K	-2.2K	0.00	39.62	N/A	N/A	0	0	693	220
2012-02-15	$17.34	$0.00	36.9%	10.6%	22.3%	34.5%	0.0%	1.7%	0.9%	27.8K	-564.2K	-2.2K	0.00	38.43	N/A	N/A	0	0	693	220
2012-02-16	$17.76	$0.00	38.1%	10.9%	23.5%	36.8%	0.0%	7.7%	0.1%	29.3K	-712.9K	-2.2K	0.00	38.39	N/A	N/A	10	0	693	220
2012-02-17	$17.69	$0.00	36.3%	10.4%	20.4%	33.2%	36.5%	5.4%	0.4%	33.0K	-727.6K	-2.1K	2.48	25.44	N/A	N/A	25	62	703	220
2012-02-21	$17.59	$17.50	36.1%	10.3%	20.6%	32.8%	0.0%	2.1%	1.0%	20.5K	-582.0K	-2.3K	0.00	25.12	N/A	N/A	0	0	645	201
2012-02-22	$17.17	$17.50	36.6%	10.5%	22.5%	33.8%	0.0%	-2.3%	-0.7%	20.2K	-494.4K	-2.2K	0.00	9.20	N/A	N/A	0	0	645	201
2012-02-23	$17.30	$17.50	33.0%	9.5%	22.6%	26.7%	0.0%	-0.9%	1.0%	21.7K	-509.7K	-2.2K	0.98	9.78	N/A	N/A	48	47	645	201
2012-02-24	$17.10	$17.50	34.9%	10.0%	22.8%	30.5%	0.0%	-2.7%	0.6%	19.1K	-439.6K	-2.3K	0.00	12.10	N/A	N/A	0	0	649	248
2012-02-27	$17.21	$17.50	34.9%	10.0%	22.8%	30.4%	0.0%	-1.1%	1.1%	19.4K	-458.2K	-2.3K	0.00	10.26	N/A	N/A	0	0	649	248
2012-02-28	$16.91	$17.50	35.8%	10.3%	23.5%	32.3%	0.0%	-5.5%	-0.4%	18.9K	-379.1K	-2.2K	0.00	12.89	N/A	N/A	0	0	649	248
2012-02-29	$16.42	$17.50	33.7%	9.7%	25.5%	28.1%	0.0%	-6.0%	1.2%	17.7K	-277.1K	-2.1K	0.00	33.78	N/A	N/A	0	0	649	248