BHE Options History — September 2012 In September 2012, BHE traded between $15.05 and $16.87. ATM implied volatility averaged 34.2%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.8% (HV 20d: 25.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2012-09-05 : Highest Volume — 150 contracts2012-09-24 : Largest IV spike — 37.1% change2012-09-28 : Highest IV Rank — 40.0%2012-09-28 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.19 $15.05 $16.87 $16.14 $15.27 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 34.2% 25.4% 38.6% 30.0% 38.6% Expected Move 9.8% 7.3% 11.1% 8.6% 11.1% HV 20d 25.4% 19.2% 34.5% 19.2% 34.5% HV 60d 34.5% 32.9% 35.7% 35.4% 35.6% IV Rank 27.4% 7.2% 40.0% 15.8% 40.0% IV Percentile 30.5% 2.0% 56.7% 8.3% 56.7% Term Structure 2.5% -7.6% 12.7% 5.3% 3.8% VWIV 34.8% 34.8% 34.8% 34.8% 34.8% Skew 25d 1.8% -16.8% 35.3% 1.3% 6.3% Skew 10d 18.1% -2.4% 83.2% 5.8% 9.6% Call IV 25d 32.9% 25.7% 41.0% 27.8% 32.5% Put IV 25d 34.7% 24.2% 62.8% 29.1% 38.7% Bid-Ask Spread % 78.81 52.31 108.48 68.85 54.80 Gamma HHI 0.52 0.45 0.59 0.51 0.46 Net GEX 6.7K 3.0K 8.0K 3.1K 6.7K Net DEX -161.8K -225.7K -81.4K -86.3K -98.3K Net VEX -768 -902 -253 -253 -805 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 11.316 0 150 0 0 Total OI 279.579 121 331 121 331
Daily Data (19 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 2012-09-04 $16.14 $15.00 30.0% 8.6% 19.2% 15.8% 0.0% 1.3% 5.3% 3.1K -86.3K -253 0.00 68.85 N/A N/A 0 0 99 22 2012-09-05 $15.93 $15.00 35.2% 10.1% 19.2% 26.9% 0.0% -7.6% -7.6% 3.0K -82.5K -260 0.00 58.10 N/A N/A 150 0 99 22 2012-09-06 $16.55 $15.00 29.8% 8.6% 23.0% 15.4% 0.0% 9.2% 9.8% 7.8K -201.7K -832 0.00 108.23 N/A N/A 0 0 249 22 2012-09-07 $16.57 $15.00 33.6% 10.6% 22.7% 23.3% 0.0% 5.8% -2.0% 7.5K -207.2K -846 0.00 97.50 N/A N/A 0 0 249 22 2012-09-10 $16.12 $15.00 34.1% 9.9% 23.8% 24.5% 0.0% 0.1% 6.7% 7.6K -197.2K -811 0.00 68.77 N/A N/A 2 0 249 22 2012-09-11 $16.20 $15.00 36.2% 9.3% 23.8% 28.8% 0.0% -10.2% 1.8% 7.5K -183.6K -813 0.00 104.17 N/A N/A 0 0 251 22 2012-09-12 $16.46 $15.00 34.0% 9.9% 24.5% 24.2% 0.0% 5.2% 1.0% 7.9K -198.2K -808 0.00 102.81 N/A N/A 0 0 251 22 2012-09-13 $16.47 $15.00 33.2% 9.5% 24.5% 22.5% 0.0% -2.7% 0.3% 7.7K -208.8K -815 0.00 73.48 N/A N/A 0 0 251 22 2012-09-14 $16.87 $15.00 35.0% 10.0% 25.5% 31.1% 34.8% 6.5% 0.1% 8.0K -225.7K -816 0.00 77.95 N/A N/A 0 23 251 22 2012-09-17 $16.64 $15.00 37.9% 10.9% 25.5% 38.3% 0.0% 5.6% -2.3% 6.3K -194.8K -850 0.00 66.73 N/A N/A 0 0 251 45 2012-09-18 $16.72 $15.00 37.5% 10.8% 25.5% 37.4% 0.0% -7.0% -2.3% 6.8K -188.4K -822 0.00 61.47 N/A N/A 0 0 251 45 2012-09-19 $16.55 $15.00 37.2% 10.7% 24.0% 36.6% 0.0% -8.0% -0.6% 6.4K -186.6K -834 0.00 104.12 N/A N/A 0 10 251 45 2012-09-20 $16.22 $15.00 37.1% 10.6% 25.1% 36.3% 0.0% 2.6% 2.2% 6.5K -169.6K -827 0.00 52.31 N/A N/A 10 0 251 55 2012-09-21 $16.23 $15.00 25.4% 7.3% 25.0% 7.2% 0.0% -16.8% 7.6% 6.9K -178.0K -853 0.00 64.58 N/A N/A 0 20 261 55 2012-09-24 $16.18 $15.00 34.9% 10.0% 24.8% 30.8% 0.0% 10.3% 9.9% 6.7K -148.2K -902 0.00 105.89 N/A N/A 0 0 256 75 2012-09-25 $15.87 $15.00 32.3% 9.3% 25.6% 24.4% 0.0% -3.8% -1.8% 6.7K -139.7K -885 0.00 108.48 N/A N/A 0 0 256 75 2012-09-26 $15.05 $15.00 35.8% 10.2% 31.5% 32.9% 0.0% 2.1% 3.0% 6.7K -81.4K -772 0.00 64.28 N/A N/A 0 0 256 75 2012-09-27 $15.61 $15.00 32.3% 9.3% 34.4% 24.3% 0.0% 35.3% 12.7% 7.8K -98.3K -786 0.00 54.81 N/A N/A 0 0 256 75 2012-09-28 $15.27 $15.00 38.6% 11.1% 34.5% 40.0% 0.0% 6.3% 3.8% 6.7K -98.3K -805 0.00 54.80 N/A N/A 0 0 256 75
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