BHE Options History — April 2012

In April 2012, BHE traded between $14.64 and $16.94. ATM implied volatility averaged 38.1%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 4.1% (HV 20d: 34.0%). Max pain ranged from $15.00 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 5.31.

Notable Days

2012-04-17: Highest Volume — 85 contracts
2012-04-12: Largest IV spike — 18.6% change
2012-04-23: Highest IV Rank — 44.4%
2012-04-23: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.53	$14.64	$16.94	$16.94	$15.88
Max Pain	$15.38	$15.00	$17.50	$17.50	$15.00
ATM IV	38.1%	32.6%	44.0%	33.6%	34.9%
Expected Move	11.1%	9.4%	12.6%	9.6%	10.0%
HV 20d	34.0%	20.8%	44.2%	23.1%	44.2%
HV 60d	29.1%	26.3%	32.1%	26.3%	31.2%
IV Rank	32.8%	19.8%	44.4%	27.9%	24.8%
IV Percentile	48.0%	20.2%	68.3%	26.2%	31.7%
Term Structure	-0.7%	-7.8%	8.1%	1.5%	1.1%
VWIV	38.8%	28.2%	44.1%	41.5%	28.2%
Skew 25d	10.1%	-7.7%	82.4%	-4.1%	7.6%
Skew 10d	14.5%	-7.5%	122.0%	-3.4%	14.6%
Call IV 25d	30.5%	23.8%	39.1%	32.2%	27.9%
Put IV 25d	40.5%	27.1%	121.1%	28.1%	35.5%
Bid-Ask Spread %	80.61	11.77	103.70	86.79	101.40
Gamma HHI	0.58	0.45	0.94	0.94	0.51
Net GEX	10.4K	685	34.3K	34.3K	6.0K
Net DEX	-66.6K	-418.1K	103.6K	-418.1K	-114.3K
Net VEX	-1.0K	-1.8K	-747	-1.8K	-991
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.31	0.00	41.50	0.00	0.00
Total Volume	11.25	0	85	6	0
Total OI	864.85	348	1,073	1,061	444

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
2012-04-02	$16.94	$17.50	33.6%	9.6%	23.1%	27.9%	0.0%	-4.1%	1.5%	34.3K	-418.1K	-1.8K	0.00	86.79	N/A	N/A	6	0	783	278
2012-04-03	$16.67	$17.50	35.4%	10.1%	20.8%	31.4%	0.0%	-7.7%	-0.0%	31.2K	-344.1K	-1.7K	0.00	11.77	N/A	N/A	6	0	789	278
2012-04-04	$16.10	$17.50	35.8%	10.3%	24.3%	32.3%	0.0%	10.8%	3.6%	21.8K	-128.8K	-1.4K	0.00	17.91	N/A	N/A	0	0	795	278
2012-04-05	$16.09	$15.00	38.0%	10.9%	23.4%	36.6%	0.0%	12.7%	1.1%	22.5K	-154.7K	-1.4K	0.00	21.57	N/A	N/A	0	0	795	268
2012-04-09	$15.31	$15.00	37.0%	11.7%	28.3%	29.2%	0.0%	8.8%	-3.3%	10.5K	23.1K	-979	0.00	43.83	N/A	N/A	0	6	795	268
2012-04-10	$14.75	$15.00	40.1%	11.7%	30.5%	35.9%	0.0%	4.0%	-2.7%	6.8K	103.6K	-889	0.00	99.26	N/A	N/A	3	0	795	274
2012-04-11	$15.28	$15.00	34.7%	11.9%	32.9%	24.3%	0.0%	11.4%	0.9%	7.2K	24.8K	-878	0.00	99.44	N/A	N/A	0	0	795	250
2012-04-12	$15.54	$15.00	41.1%	11.8%	33.8%	38.2%	0.0%	13.4%	-3.8%	8.8K	-30.0K	-918	0.00	100.38	N/A	N/A	0	0	795	250
2012-04-13	$15.10	$15.00	39.4%	11.3%	34.6%	34.5%	0.0%	5.9%	-1.6%	7.9K	42.0K	-844	0.00	101.11	N/A	N/A	0	0	795	250
2012-04-16	$15.28	$15.00	41.6%	11.9%	35.0%	39.2%	0.0%	6.8%	-3.5%	6.6K	19.1K	-813	0.00	99.82	N/A	N/A	0	0	795	250
2012-04-17	$15.62	$15.00	41.5%	11.9%	36.1%	38.9%	41.5%	10.3%	-3.6%	5.6K	-146.4K	-772	41.50	100.51	N/A	N/A	2	83	795	199
2012-04-18	$15.20	$15.00	40.0%	11.5%	36.9%	35.8%	0.0%	5.8%	-1.2%	4.7K	-16.0K	-985	0.00	33.07	N/A	N/A	0	0	793	271
2012-04-19	$15.01	$15.00	40.7%	11.7%	36.9%	37.3%	0.0%	3.4%	-2.5%	4.2K	44.0K	-924	0.00	100.56	N/A	N/A	0	0	793	271
2012-04-20	$15.15	$15.00	39.6%	11.4%	37.0%	34.9%	0.0%	5.9%	-2.1%	5.9K	-17.5K	-924	0.00	101.83	N/A	N/A	0	0	793	268
2012-04-23	$14.64	$15.00	44.0%	12.6%	38.1%	44.4%	44.1%	-0.4%	-7.8%	685	55.6K	-747	0.00	103.70	N/A	N/A	75	0	200	148
2012-04-24	$14.79	$15.00	42.5%	12.2%	37.7%	41.1%	42.9%	82.4%	-3.7%	4.9K	6.1K	-877	0.00	102.83	N/A	N/A	0	4	275	148
2012-04-25	$15.12	$15.00	37.2%	10.7%	39.0%	29.7%	37.2%	3.1%	1.9%	5.7K	-24.6K	-924	1.00	83.10	N/A	N/A	10	10	275	152
2012-04-26	$15.91	$15.00	32.6%	9.4%	43.7%	19.8%	0.0%	8.1%	4.4%	6.0K	-119.0K	-1.0K	0.00	100.99	N/A	N/A	10	0	285	162
2012-04-27	$16.13	$15.00	33.0%	9.5%	44.0%	20.6%	28.2%	13.1%	8.1%	6.2K	-137.2K	-1.0K	0.00	102.27	N/A	N/A	10	0	287	162
2012-04-30	$15.88	$15.00	34.9%	10.0%	44.2%	24.8%	0.0%	7.6%	1.1%	6.0K	-114.3K	-991	0.00	101.40	N/A	N/A	0	0	282	162