BHE Options History — May 2012

In May 2012, BHE traded between $13.54 and $15.94. ATM implied volatility averaged 33.9%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 0.3% (HV 20d: 34.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-05-16: Highest Volume — 30 contracts
  • 2012-05-30: Largest IV spike — 26.2% change
  • 2012-05-17: Highest IV Rank — 36.7%
  • 2012-05-17: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.38$13.54$15.94$15.93$13.54
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV33.9%28.1%40.4%35.8%32.5%
Expected Move9.8%8.0%11.6%10.3%9.3%
HV 20d34.2%23.3%44.0%42.9%28.3%
HV 60d32.1%31.2%32.6%31.3%32.1%
IV Rank22.6%10.0%36.7%26.7%19.6%
IV Percentile26.4%7.5%59.9%35.7%15.1%
Term Structure4.1%-3.2%13.8%1.3%10.3%
VWIV34.4%26.2%41.2%36.5%26.2%
Skew 25d2.2%-6.0%9.4%7.4%1.6%
Skew 10d10.1%-3.3%80.6%80.6%2.5%
Call IV 25d32.2%27.4%38.6%28.7%32.4%
Put IV 25d34.4%30.4%41.4%36.0%34.0%
Bid-Ask Spread %95.7944.44110.36101.00108.35
Gamma HHI0.450.370.540.510.40
Net GEX2.9K-2.5K8.2K6.2K-2.1K
Net DEX68.6K-115.5K161.4K-112.9K161.4K
Net VEX-666-988-406-988-406
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume3.18203000
Total OI439.455408492444408

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$15.93$15.0035.8%10.3%42.9%26.7%0.0%7.4%1.3%6.2K-112.9K-9880.00101.00N/AN/A00282162
2012-05-02$15.94$15.0029.7%8.5%42.7%13.5%0.0%4.5%7.0%7.4K-115.5K-9510.00100.52N/AN/A00282162
2012-05-03$15.40$15.0032.1%9.2%42.7%18.8%0.0%2.2%1.9%7.1K-62.4K-8990.00105.05N/AN/A00282162
2012-05-04$14.91$0.0034.9%10.1%44.0%24.7%0.0%1.1%1.0%6.7K3.7K-8250.00100.48N/AN/A00282162
2012-05-07$14.78$0.0031.4%10.5%40.6%17.1%0.0%2.4%-0.7%7.7K21.2K-7510.0099.93N/AN/A100282162
2012-05-08$14.84$0.0035.2%10.2%38.4%25.3%0.0%2.0%0.6%7.6K12.2K-7890.0044.44N/AN/A00292162
2012-05-09$14.78$0.0032.6%10.1%36.1%19.8%0.0%3.0%1.4%8.2K27.1K-7690.00101.57N/AN/A00292162
2012-05-10$14.44$0.0036.5%10.5%36.1%28.1%36.5%-0.1%-0.2%6.2K53.7K-7010.00100.47N/AN/A03292162
2012-05-11$14.44$15.0032.8%9.4%34.9%20.2%0.0%-0.7%3.3%6.8K70.0K-6820.0057.99N/AN/A00292165
2012-05-14$14.25$15.0033.3%9.5%34.7%21.2%33.5%0.2%3.4%4.6K87.8K-6130.00103.12N/AN/A05292165
2012-05-15$14.33$15.0036.5%10.5%33.6%28.1%0.0%-3.6%0.5%5.0K88.7K-6260.0056.69N/AN/A00292170
2012-05-16$14.25$15.0037.0%10.6%32.5%29.2%0.0%-1.5%2.0%4.3K91.1K-6300.00103.34N/AN/A030292170
2012-05-17$14.10$15.0040.4%11.6%32.4%36.7%41.2%2.8%4.9%2.6K92.8K-6900.00106.97N/AN/A02292200
2012-05-18$13.77$15.0030.3%8.7%32.9%14.7%26.2%0.4%3.6%-874117.3K-6320.00108.58N/AN/A020292200
2012-05-21$14.12$15.0032.6%9.3%32.5%19.7%0.0%9.4%12.2%-1.9K123.8K-6010.00106.31N/AN/A00208200
2012-05-22$13.82$15.0033.8%9.7%32.9%22.3%0.0%-6.0%1.8%-1.8K128.4K-5810.0061.23N/AN/A00208200
2012-05-23$13.93$15.0037.8%10.8%31.9%31.0%0.0%8.2%9.6%-1.8K132.3K-5690.00108.01N/AN/A00208200
2012-05-24$13.70$15.0031.0%8.9%24.6%16.2%0.0%5.4%13.8%-2.0K146.6K-5130.00106.60N/AN/A00208200
2012-05-25$13.61$15.0037.1%10.6%23.3%29.5%0.0%2.2%-3.2%-2.0K149.6K-4790.00110.36N/AN/A00208200
2012-05-29$14.02$15.0028.1%8.0%26.7%10.0%0.0%9.2%8.5%-2.5K140.2K-4960.00108.42N/AN/A00208200
2012-05-30$13.54$15.0035.4%10.2%28.3%25.9%0.0%-0.8%6.4%-1.9K151.5K-4620.00108.02N/AN/A00208200
2012-05-31$13.54$15.0032.5%9.3%28.3%19.6%0.0%1.6%10.3%-2.1K161.4K-4060.00108.35N/AN/A00208200