BHE Options History — June 2012

In June 2012, BHE traded between $12.80 and $14.21. ATM implied volatility averaged 39.7%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 0.3% (HV 20d: 39.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2012-06-04: Highest Volume — 10 contracts
2012-06-12: Largest IV spike — 28.5% change
2012-06-12: Highest IV Rank — 84.3%
2012-06-01: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.60	$12.80	$14.21	$12.80	$13.95
Max Pain	$17.26	$15.00	$17.50	$15.00	$15.00
ATM IV	39.7%	27.4%	62.5%	52.1%	33.2%
Expected Move	10.9%	7.9%	14.9%	14.9%	9.5%
HV 20d	39.4%	31.7%	44.0%	31.8%	38.3%
HV 60d	36.4%	33.7%	38.2%	33.8%	38.2%
IV Rank	35.1%	8.5%	84.3%	61.9%	21.1%
IV Percentile	45.4%	6.0%	99.2%	85.3%	18.3%
Term Structure	3.0%	-2.7%	14.6%	-2.2%	-1.8%
VWIV	39.7%	39.7%	39.7%	39.7%	39.7%
Skew 25d	7.0%	-8.2%	17.8%	6.6%	-8.2%
Skew 10d	10.4%	-10.3%	51.4%	18.6%	-10.3%
Call IV 25d	33.4%	24.8%	51.8%	51.8%	38.0%
Put IV 25d	40.4%	24.8%	58.4%	58.4%	29.8%
Bid-Ask Spread %	94.10	63.28	109.42	107.92	105.36
Gamma HHI	0.42	0.34	0.52	0.36	0.50
Net GEX	-2.4K	-3.1K	-1.4K	-1.4K	-3.1K
Net DEX	135.7K	72.2K	156.1K	156.1K	72.2K
Net VEX	-347	-459	-198	-421	-286
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	1.381	0	10	0	0
Total OI	402.952	360	418	408	360

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-06-01	$12.80	$15.00	52.1%	14.9%	31.8%	61.9%	0.0%	6.6%	-2.2%	-1.4K	156.1K	-421	107.92	N/A	N/A	0	0	208	200
2012-06-04	$13.00	$17.50	39.5%	14.2%	31.7%	34.7%	0.0%	9.9%	-1.4%	-1.5K	151.7K	-387	103.87	N/A	N/A	0	10	208	190
2012-06-05	$13.24	$17.50	35.5%	13.9%	32.9%	25.9%	0.0%	10.5%	-1.8%	-2.1K	155.7K	-380	105.64	N/A	N/A	0	0	208	200
2012-06-06	$13.88	$17.50	38.8%	11.3%	37.8%	33.2%	0.0%	7.2%	0.1%	-2.6K	134.0K	-430	87.66	N/A	N/A	0	0	208	200
2012-06-07	$13.78	$17.50	44.6%	12.3%	37.8%	45.6%	0.0%	5.1%	-1.8%	-2.2K	123.3K	-459	104.79	N/A	N/A	10	0	208	200
2012-06-08	$13.89	$17.50	42.0%	10.2%	37.3%	40.1%	0.0%	6.9%	1.6%	-2.8K	133.6K	-435	104.97	N/A	N/A	0	0	218	200
2012-06-11	$13.53	$17.50	48.7%	11.7%	38.3%	54.4%	0.0%	0.8%	0.4%	-2.4K	142.1K	-378	80.07	N/A	N/A	0	0	218	200
2012-06-12	$13.80	$17.50	62.5%	8.9%	38.9%	84.3%	0.0%	17.3%	10.7%	-2.4K	142.5K	-382	104.61	N/A	N/A	0	0	218	200
2012-06-13	$13.45	$17.50	57.6%	12.3%	39.7%	73.8%	0.0%	14.7%	-0.2%	-2.2K	145.8K	-370	73.48	N/A	N/A	0	0	218	200
2012-06-14	$13.73	$17.50	41.9%	12.0%	40.6%	39.7%	0.0%	13.8%	-0.8%	-2.6K	146.1K	-358	106.30	N/A	N/A	0	0	218	200
2012-06-15	$14.21	$17.50	40.2%	11.5%	42.4%	36.2%	39.7%	10.7%	-2.7%	-1.5K	113.5K	-446	68.66	N/A	N/A	0	2	218	200
2012-06-18	$14.11	$17.50	36.8%	10.5%	41.5%	28.8%	0.0%	-3.0%	2.2%	-2.4K	105.9K	-369	104.91	N/A	N/A	0	5	218	172
2012-06-19	$13.99	$17.50	27.4%	7.9%	40.7%	8.5%	0.0%	17.8%	12.8%	-2.7K	117.4K	-348	105.60	N/A	N/A	0	2	218	177
2012-06-20	$14.02	$17.50	30.5%	8.7%	39.9%	15.1%	0.0%	6.6%	2.9%	-2.7K	117.3K	-355	63.28	N/A	N/A	0	0	218	179
2012-06-21	$13.34	$17.50	36.0%	10.3%	43.6%	27.1%	0.0%	10.3%	7.4%	-2.4K	140.5K	-298	67.84	N/A	N/A	0	0	218	179
2012-06-22	$13.43	$17.50	31.4%	9.0%	43.4%	17.1%	0.0%	-2.3%	1.8%	-2.6K	142.9K	-285	108.68	N/A	N/A	0	0	218	179
2012-06-25	$13.14	$17.50	34.5%	9.9%	44.0%	23.9%	0.0%	1.3%	3.7%	-2.4K	154.2K	-246	109.42	N/A	N/A	0	0	218	179
2012-06-26	$13.25	$17.50	40.0%	11.5%	42.6%	35.6%	0.0%	8.9%	3.7%	-2.4K	153.5K	-243	107.03	N/A	N/A	0	0	218	179
2012-06-27	$13.61	$17.50	31.3%	9.0%	42.0%	16.9%	0.0%	7.6%	14.2%	-2.9K	148.5K	-219	77.99	N/A	N/A	0	0	218	179
2012-06-28	$13.48	$17.50	29.9%	8.6%	42.2%	13.9%	0.0%	3.8%	14.6%	-2.6K	153.5K	-198	77.96	N/A	N/A	0	0	218	179
2012-06-29	$13.95	$15.00	33.2%	9.5%	38.3%	21.1%	0.0%	-8.2%	-1.8%	-3.1K	72.2K	-286	105.36	N/A	N/A	0	0	218	142