BHE Options History — July 2012

In July 2012, BHE traded between $13.01 and $16.03. ATM implied volatility averaged 35.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.5% (HV 20d: 35.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.03.

Notable Days

2012-07-25: Highest Volume — 32 contracts
2012-07-23: Largest IV spike — 40.5% change
2012-07-18: Highest IV Rank — 46.4%
2012-07-18: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.98	$13.01	$16.03	$13.80	$15.76
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	35.5%	28.1%	44.9%	33.3%	33.3%
Expected Move	10.1%	7.9%	12.9%	9.5%	9.6%
HV 20d	35.0%	28.0%	44.6%	38.4%	44.2%
HV 60d	36.0%	33.1%	39.6%	38.3%	38.9%
IV Rank	26.0%	10.0%	46.4%	21.2%	21.3%
IV Percentile	31.4%	5.2%	68.7%	18.3%	17.9%
Term Structure	4.9%	-10.1%	13.8%	6.5%	-3.8%
VWIV	40.6%	38.8%	42.2%	40.9%	42.2%
Skew 25d	3.1%	-23.9%	19.5%	0.0%	-5.8%
Skew 10d	7.7%	-8.1%	79.2%	-4.2%	5.7%
Call IV 25d	33.8%	25.5%	53.7%	31.3%	31.6%
Put IV 25d	36.9%	24.4%	47.5%	31.3%	25.9%
Bid-Ask Spread %	94.66	61.45	111.10	109.16	63.05
Gamma HHI	0.57	0.45	0.78	0.59	0.60
Net GEX	-1.3K	-3.8K	1.8K	-3.2K	1.7K
Net DEX	60.3K	-60.7K	122.4K	92.7K	-60.7K
Net VEX	-162	-241	-105	-208	-241
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.10	0.00	0.00
Total Volume	4.429	0	32	0	0
Total OI	263.524	56	365	360	98

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	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-07-02	$13.80	$15.00	33.3%	9.5%	38.4%	21.2%	0.0%	0.0%	6.5%	-3.2K	92.7K	-208	0.00	109.16	N/A	N/A	0	0	218	142
2012-07-03	$14.04	$15.00	30.4%	8.7%	38.4%	15.1%	0.0%	4.4%	6.4%	-3.8K	83.6K	-219	0.00	109.25	N/A	N/A	0	0	218	142
2012-07-05	$14.01	$15.00	30.9%	8.9%	34.6%	16.0%	0.0%	2.1%	7.2%	-3.7K	83.5K	-217	0.00	111.10	N/A	N/A	0	0	218	142
2012-07-06	$13.55	$15.00	36.1%	9.7%	36.6%	27.3%	0.0%	-1.7%	11.0%	-2.5K	101.1K	-180	0.00	72.17	N/A	N/A	0	0	218	142
2012-07-09	$13.62	$15.00	37.8%	10.3%	36.5%	31.0%	40.9%	3.5%	11.1%	-2.4K	102.9K	-157	0.00	62.72	N/A	N/A	0	8	218	142
2012-07-10	$13.67	$15.00	33.1%	7.9%	35.3%	20.8%	0.0%	-6.3%	10.6%	-1.9K	103.4K	-142	0.00	109.19	N/A	N/A	0	0	218	142
2012-07-11	$13.55	$15.00	39.0%	12.0%	34.7%	33.6%	0.0%	4.7%	2.4%	-2.1K	104.7K	-145	0.00	61.45	N/A	N/A	0	0	218	142
2012-07-12	$13.43	$15.00	38.3%	11.0%	33.6%	32.1%	0.0%	-5.6%	-10.1%	-2.7K	98.9K	-180	0.00	79.32	N/A	N/A	11	0	218	142
2012-07-13	$13.23	$15.00	34.2%	9.8%	33.1%	23.2%	0.0%	3.9%	11.0%	-2.1K	118.6K	-129	0.00	105.94	N/A	N/A	0	0	212	142
2012-07-16	$13.01	$15.00	40.9%	11.7%	30.5%	37.7%	0.0%	10.3%	-0.8%	-2.1K	122.4K	-109	0.00	102.03	N/A	N/A	0	0	212	142
2012-07-17	$13.06	$15.00	40.0%	11.5%	30.6%	35.7%	0.0%	11.0%	2.2%	-1.9K	118.0K	-105	0.00	63.71	N/A	N/A	0	0	212	140
2012-07-18	$13.49	$15.00	44.9%	12.9%	33.2%	46.4%	0.0%	19.5%	-4.2%	-1.6K	114.2K	-109	0.00	105.32	N/A	N/A	0	0	212	140
2012-07-19	$13.76	$15.00	28.1%	8.1%	34.0%	10.0%	0.0%	11.3%	6.2%	-2.6K	105.6K	-120	0.00	105.76	N/A	N/A	0	15	212	140
2012-07-20	$13.77	$15.00	29.0%	8.3%	28.7%	12.1%	0.0%	9.7%	9.5%	1	118.7K	-135	0.00	105.78	N/A	N/A	0	0	212	153
2012-07-23	$13.58	$15.00	40.8%	11.7%	29.2%	37.5%	0.0%	14.9%	13.8%	-34	628	-128	0.00	104.11	N/A	N/A	0	0	32	24
2012-07-24	$13.65	$15.00	31.3%	9.0%	28.0%	17.0%	0.0%	-23.9%	10.9%	-2	-369	-131	0.00	106.69	N/A	N/A	0	0	32	24
2012-07-25	$13.89	$15.00	34.9%	10.0%	28.4%	24.8%	0.0%	0.9%	6.0%	-34	-570	-128	0.00	110.33	N/A	N/A	32	0	32	24
2012-07-26	$15.09	$15.00	38.8%	11.1%	39.6%	33.1%	38.8%	5.7%	2.5%	689	-24.9K	-184	0.10	105.79	N/A	N/A	20	2	49	24
2012-07-27	$16.03	$15.00	38.8%	11.1%	43.7%	33.2%	0.0%	12.9%	7.4%	1.8K	-59.9K	-205	0.00	107.04	N/A	N/A	0	0	69	24
2012-07-30	$15.57	$15.00	31.8%	9.1%	44.6%	17.9%	42.2%	-6.2%	-3.0%	1.5K	-56.6K	-227	0.00	87.92	N/A	N/A	5	0	69	24
2012-07-31	$15.76	$15.00	33.3%	9.6%	44.2%	21.3%	0.0%	-5.8%	-3.8%	1.7K	-60.7K	-241	0.00	63.05	N/A	N/A	0	0	74	24