BHE Options History — August 2012

In August 2012, BHE traded between $15.01 and $16.73. ATM implied volatility averaged 34.6%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 4.4% (HV 20d: 38.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2012-08-08: Highest Volume — 21 contracts
2012-08-16: Largest IV drop — 44.6% change
2012-08-15: Highest IV Rank — 80.6%
2012-08-07: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.09	$15.01	$16.73	$15.18	$16.05
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	34.6%	22.6%	60.8%	32.6%	27.0%
Expected Move	9.8%	6.5%	11.9%	9.3%	7.7%
HV 20d	38.9%	19.3%	46.9%	46.7%	19.3%
HV 60d	38.8%	35.5%	40.3%	39.6%	35.5%
IV Rank	24.4%	0.0%	80.6%	19.7%	9.3%
IV Percentile	26.3%	0.0%	98.8%	13.1%	4.4%
Term Structure	2.6%	-10.2%	11.6%	0.7%	9.5%
Skew 25d	2.8%	-15.1%	27.3%	-8.5%	0.9%
Skew 10d	14.3%	-1.4%	94.2%	-1.2%	7.4%
Call IV 25d	33.8%	22.9%	42.6%	42.6%	28.3%
Put IV 25d	36.6%	24.0%	61.5%	34.1%	29.1%
Bid-Ask Spread %	87.37	52.34	112.92	111.89	107.81
Gamma HHI	0.49	0.43	0.62	0.61	0.50
Net GEX	2.5K	1.6K	3.1K	1.6K	3.1K
Net DEX	-80.2K	-96.8K	-44.7K	-51.3K	-84.4K
Net VEX	-274	-313	-216	-240	-267
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	1.261	0	21	0	0
Total OI	115.261	98	122	98	121

Daily Data (23 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	Call OI	Put OI
2012-08-01	$15.18	$15.00	32.6%	9.3%	46.7%	19.7%	0.0%	-8.5%	0.7%	1.6K	-51.3K	-240	111.89	N/A	N/A	0	74	24
2012-08-02	$15.01	$15.00	35.5%	10.2%	46.9%	26.1%	0.0%	4.0%	6.3%	1.6K	-44.7K	-240	52.34	N/A	N/A	0	74	24
2012-08-03	$15.52	$15.00	32.3%	9.3%	46.0%	19.1%	0.0%	1.1%	10.9%	1.7K	-55.3K	-237	112.92	N/A	N/A	0	74	24
2012-08-06	$15.63	$15.00	32.8%	10.6%	46.0%	20.2%	0.0%	-1.3%	4.2%	1.7K	-55.6K	-228	64.73	N/A	N/A	0	74	24
2012-08-07	$15.87	$15.00	30.5%	11.9%	46.0%	15.2%	0.0%	2.7%	-1.3%	1.7K	-61.9K	-231	77.45	N/A	N/A	3	74	24
2012-08-08	$16.11	$15.00	25.3%	11.8%	45.7%	4.0%	0.0%	27.3%	-10.2%	2.0K	-68.8K	-216	79.52	N/A	N/A	21	77	24
2012-08-09	$15.98	$15.00	34.0%	11.4%	45.6%	22.8%	0.0%	3.4%	-5.6%	2.5K	-81.6K	-313	105.17	N/A	N/A	0	98	24
2012-08-10	$16.32	$15.00	39.4%	11.0%	45.0%	34.3%	0.0%	4.4%	1.8%	2.4K	-87.2K	-309	103.15	N/A	N/A	0	98	24
2012-08-13	$16.25	$15.00	43.2%	10.9%	44.2%	42.6%	0.0%	2.3%	2.0%	2.5K	-85.8K	-305	80.51	N/A	N/A	0	98	24
2012-08-14	$16.28	$15.00	55.0%	10.8%	44.2%	68.1%	0.0%	3.6%	-0.8%	2.5K	-90.5K	-301	101.06	N/A	N/A	0	98	24
2012-08-15	$16.28	$15.00	60.8%	10.5%	43.6%	80.6%	0.0%	5.2%	6.0%	2.4K	-88.5K	-309	70.95	N/A	N/A	0	98	24
2012-08-16	$16.49	$15.00	33.7%	9.7%	43.5%	22.1%	0.0%	6.4%	3.6%	2.6K	-92.5K	-287	65.07	N/A	N/A	4	98	24
2012-08-17	$16.73	$15.00	35.2%	10.1%	43.4%	25.5%	0.0%	-3.8%	2.4%	2.9K	-96.7K	-284	74.02	N/A	N/A	0	98	24
2012-08-20	$16.65	$15.00	36.2%	10.4%	42.9%	27.5%	0.0%	6.7%	-1.8%	2.7K	-96.8K	-291	99.48	N/A	N/A	0	98	22
2012-08-21	$16.23	$15.00	33.1%	9.5%	44.7%	20.9%	0.0%	-15.1%	-9.1%	2.7K	-89.5K	-286	96.12	N/A	N/A	0	98	22
2012-08-22	$16.27	$15.00	30.6%	8.8%	44.6%	15.3%	0.0%	5.3%	0.6%	2.8K	-87.2K	-285	89.14	N/A	N/A	0	98	22
2012-08-23	$16.15	$15.00	35.5%	10.2%	35.0%	26.1%	0.0%	1.8%	3.7%	2.8K	-84.0K	-286	103.78	N/A	N/A	1	98	22
2012-08-24	$16.30	$15.00	22.6%	6.5%	27.9%	0.0%	0.0%	16.4%	11.6%	2.9K	-88.1K	-281	63.55	N/A	N/A	0	99	22
2012-08-27	$16.34	$15.00	26.1%	7.5%	25.5%	7.4%	0.0%	0.3%	10.7%	2.8K	-91.3K	-281	68.90	N/A	N/A	0	99	22
2012-08-28	$16.20	$15.00	34.8%	10.0%	25.6%	25.8%	0.0%	3.3%	6.6%	2.8K	-89.6K	-276	103.03	N/A	N/A	0	99	22
2012-08-29	$16.31	$15.00	26.1%	7.5%	21.1%	7.6%	0.0%	0.8%	10.6%	2.9K	-90.2K	-269	70.40	N/A	N/A	0	99	22
2012-08-30	$15.96	$15.00	32.9%	9.4%	22.3%	21.9%	0.0%	-3.4%	-3.3%	3.0K	-83.8K	-275	108.53	N/A	N/A	0	99	22
2012-08-31	$16.05	$15.00	27.0%	7.7%	19.3%	9.3%	0.0%	0.9%	9.5%	3.1K	-84.4K	-267	107.81	N/A	N/A	0	99	22