BHE Options History — March 2012

In March 2012, BHE traded between $16.03 and $17.05. ATM implied volatility averaged 31.4%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.9% (HV 20d: 26.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.04.

Notable Days

  • 2012-03-20: Highest Volume — 102 contracts
  • 2012-03-15: Largest IV spike — 44.3% change
  • 2012-03-02: Highest IV Rank — 34.6%
  • 2012-03-06: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.66$16.03$17.05$16.90$16.49
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV31.4%23.4%37.0%34.1%34.9%
Expected Move10.1%9.6%11.1%9.8%10.0%
HV 20d26.5%21.1%28.8%23.4%21.1%
HV 60d30.9%26.3%35.6%34.5%26.4%
IV Rank23.6%7.6%34.6%28.8%30.5%
IV Percentile23.4%1.6%42.5%29.8%34.1%
Term Structure0.8%-1.1%2.6%1.5%0.6%
VWIV36.4%33.7%38.4%37.9%34.0%
Skew 25d2.0%-9.5%10.6%-4.2%-9.0%
Skew 10d16.0%-8.1%73.5%-5.6%-2.8%
Call IV 25d32.3%28.3%37.3%34.0%34.6%
Put IV 25d34.3%25.2%42.0%29.9%25.6%
Bid-Ask Spread %22.9213.7494.9413.8227.89
Gamma HHI0.960.920.980.950.92
Net GEX23.1K15.6K29.3K19.4K27.8K
Net DEX-311.8K-405.2K-173.4K-383.4K-303.7K
Net VEX-1.9K-2.2K-1.7K-2.2K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.430.000.00
Total Volume16.3180102110
Total OI966.0918971,0618971,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$16.90$17.5034.1%9.8%23.4%28.8%0.0%-4.2%1.5%19.4K-383.4K-2.2K0.0013.82N/AN/A110649248
2012-03-02$16.47$17.5037.0%10.6%24.5%34.6%0.0%-9.5%-1.1%17.6K-287.5K-2.1K0.0014.02N/AN/A00649248
2012-03-05$16.54$17.5023.4%10.1%24.7%7.6%0.0%10.6%0.7%18.2K-287.6K-2.0K0.0094.94N/AN/A00649248
2012-03-06$16.03$17.5027.3%11.1%26.4%15.3%37.9%1.2%1.0%15.6K-173.4K-1.9K0.0013.91N/AN/A40649248
2012-03-07$16.18$17.5025.6%10.9%26.8%11.9%0.0%3.3%1.0%16.7K-198.5K-1.8K0.0015.97N/AN/A00649248
2012-03-08$16.47$17.5024.5%10.1%28.0%9.7%37.8%7.2%0.4%18.5K-262.7K-1.9K0.0013.74N/AN/A180649248
2012-03-09$16.70$17.5025.7%9.8%28.6%12.1%33.7%7.4%2.6%20.4K-308.1K-2.0K0.4315.38N/AN/A7030649248
2012-03-12$16.75$17.5026.5%10.2%28.5%13.6%0.0%8.8%0.9%23.0K-306.6K-2.0K0.0014.35N/AN/A00699278
2012-03-13$17.05$17.5026.5%10.2%28.6%13.7%35.5%8.7%0.9%25.4K-403.0K-2.0K0.0019.97N/AN/A40699268
2012-03-14$16.89$17.5024.8%10.3%28.8%10.3%36.1%5.3%0.2%24.7K-364.4K-2.0K0.0018.70N/AN/A600703268
2012-03-15$17.01$17.5035.8%10.3%28.5%32.2%0.0%7.3%0.2%23.1K-367.4K-1.9K0.0019.74N/AN/A014664268
2012-03-16$16.79$17.5035.5%10.2%27.3%31.7%0.0%6.3%0.1%22.1K-314.6K-1.9K0.0021.69N/AN/A00664275
2012-03-19$16.88$17.5034.1%9.8%27.4%28.8%0.0%-4.3%0.9%23.4K-317.0K-1.8K0.0024.74N/AN/A00656275
2012-03-20$16.65$17.5036.4%10.4%27.7%33.5%36.9%5.8%-1.0%21.6K-262.7K-1.7K0.0318.46N/AN/A993656275
2012-03-21$16.72$17.5033.9%9.7%26.6%28.5%0.0%4.4%1.6%25.8K-337.5K-2.1K0.0018.95N/AN/A00748278
2012-03-22$16.44$17.5033.6%9.6%26.9%27.9%36.9%3.6%1.3%23.8K-242.3K-1.9K0.0020.18N/AN/A130748278
2012-03-23$16.58$17.5034.5%9.9%27.0%29.7%38.4%5.1%2.2%25.3K-301.7K-2.0K0.0014.79N/AN/A110752278
2012-03-26$16.86$17.5034.3%9.8%27.6%29.3%0.0%-5.5%0.5%29.1K-390.0K-2.0K0.0027.18N/AN/A00763278
2012-03-27$16.82$17.5035.5%10.2%26.9%31.6%0.0%-5.0%0.3%28.9K-405.2K-1.9K0.0025.18N/AN/A00763278
2012-03-28$16.61$17.5033.8%9.7%25.1%28.3%0.0%-7.6%1.5%27.9K-305.4K-1.9K0.0028.43N/AN/A200763278
2012-03-29$16.65$17.5033.9%9.7%22.8%28.5%34.0%4.7%1.4%29.3K-336.1K-1.9K0.0022.14N/AN/A20783278
2012-03-30$16.49$17.5034.9%10.0%21.1%30.5%0.0%-9.0%0.6%27.8K-303.7K-1.8K0.0027.89N/AN/A00783278