BHE Options History — October 2012

In October 2012, BHE traded between $14.50 and $16.08. ATM implied volatility averaged 38.9%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 6.8% (HV 20d: 32.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2012-10-31: Highest Volume — 34 contracts
2012-10-04: Largest IV drop — 18.5% change
2012-10-31: Highest IV Rank — 53.2%
2012-10-31: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.35	$14.50	$16.08	$15.43	$14.82
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	38.9%	30.3%	43.8%	37.0%	43.8%
Expected Move	11.4%	8.7%	12.6%	10.6%	12.6%
HV 20d	32.1%	28.4%	34.8%	34.6%	31.2%
HV 60d	33.0%	28.3%	35.2%	34.9%	28.8%
IV Rank	40.9%	19.3%	53.2%	36.1%	53.2%
IV Percentile	58.3%	9.9%	81.0%	49.6%	81.0%
Term Structure	-0.6%	-6.1%	11.8%	3.7%	-6.1%
VWIV	39.2%	39.2%	39.2%	39.2%	39.2%
Skew 25d	10.4%	-4.1%	48.8%	48.8%	3.1%
Skew 10d	17.5%	-5.9%	111.7%	111.7%	4.2%
Call IV 25d	33.7%	23.0%	45.0%	38.6%	45.0%
Put IV 25d	44.1%	32.0%	87.4%	87.4%	48.1%
Bid-Ask Spread %	88.06	20.07	110.39	108.76	104.26
Gamma HHI	0.53	0.45	0.73	0.46	0.60
Net GEX	7.2K	3.5K	11.4K	7.4K	3.7K
Net DEX	-91.4K	-138.7K	-38.0K	-92.4K	-40.9K
Net VEX	-664	-791	-478	-763	-478
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	2.524	0	34	0	34
Total OI	305	236	331	331	255

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
2012-10-01	$15.43	$15.00	37.0%	10.6%	34.6%	36.1%	0.0%	48.8%	3.7%	7.4K	-92.4K	-763	108.76	N/A	N/A	0	0	256	75
2012-10-02	$15.57	$15.00	36.9%	10.6%	34.8%	35.9%	0.0%	32.6%	4.3%	7.2K	-105.3K	-791	56.58	N/A	N/A	0	0	256	75
2012-10-03	$15.46	$15.00	37.2%	10.7%	34.6%	36.5%	0.0%	7.7%	2.3%	7.3K	-107.9K	-774	57.11	N/A	N/A	0	0	256	75
2012-10-04	$15.52	$15.00	30.3%	8.7%	31.3%	19.3%	0.0%	-0.4%	11.8%	8.1K	-100.5K	-742	110.39	N/A	N/A	0	0	256	75
2012-10-05	$15.66	$0.00	32.6%	11.6%	31.6%	25.0%	0.0%	14.2%	-2.6%	8.2K	-107.7K	-746	68.84	N/A	N/A	0	0	256	75
2012-10-08	$15.46	$0.00	37.2%	11.4%	30.5%	36.6%	0.0%	-2.4%	0.3%	7.7K	-100.7K	-740	62.23	N/A	N/A	0	0	256	75
2012-10-09	$15.05	$0.00	37.8%	11.0%	31.6%	38.1%	0.0%	-3.8%	0.1%	7.4K	-76.4K	-703	99.81	N/A	N/A	0	0	256	75
2012-10-10	$15.26	$0.00	35.3%	11.3%	31.4%	32.0%	0.0%	6.6%	-1.7%	9.0K	-79.7K	-664	69.60	N/A	N/A	0	0	256	75
2012-10-11	$15.40	$0.00	37.9%	10.9%	31.7%	38.5%	0.0%	-1.9%	0.7%	8.1K	-96.6K	-718	100.72	N/A	N/A	0	0	256	75
2012-10-12	$15.19	$0.00	42.1%	12.1%	30.2%	49.0%	0.0%	6.3%	-4.6%	8.7K	-76.0K	-671	104.08	N/A	N/A	0	0	256	75
2012-10-15	$15.44	$0.00	42.3%	12.1%	31.0%	49.4%	0.0%	9.7%	-3.7%	9.7K	-92.0K	-656	59.93	N/A	N/A	0	0	256	75
2012-10-16	$15.71	$0.00	41.8%	12.0%	31.7%	48.0%	0.0%	8.7%	-2.9%	8.5K	-120.0K	-694	104.42	N/A	N/A	0	0	256	75
2012-10-17	$16.08	$0.00	36.3%	10.4%	32.9%	34.4%	0.0%	12.7%	2.1%	7.0K	-138.7K	-698	105.94	N/A	N/A	0	0	256	75
2012-10-18	$15.83	$0.00	42.0%	12.0%	32.6%	48.6%	0.0%	13.1%	-4.1%	8.2K	-133.2K	-691	105.49	N/A	N/A	0	0	256	75
2012-10-19	$15.32	$0.00	41.6%	11.9%	34.5%	47.6%	0.0%	8.2%	-2.7%	11.4K	-132.6K	-631	103.77	N/A	N/A	0	0	256	52
2012-10-22	$15.38	$0.00	41.9%	12.0%	34.6%	48.3%	0.0%	7.2%	-2.5%	5.1K	-82.3K	-604	104.95	N/A	N/A	3	0	201	35
2012-10-23	$15.46	$0.00	42.8%	12.3%	34.1%	50.8%	0.0%	48.5%	-3.1%	5.2K	-78.0K	-591	100.79	N/A	N/A	0	0	204	35
2012-10-24	$15.30	$0.00	42.8%	12.3%	28.4%	50.6%	0.0%	7.5%	-3.8%	5.0K	-77.6K	-602	99.77	N/A	N/A	0	0	204	35
2012-10-25	$14.51	$0.00	39.1%	11.2%	31.1%	41.5%	39.2%	-4.1%	-0.5%	3.6K	-42.1K	-488	101.65	N/A	N/A	0	16	204	35
2012-10-26	$14.50	$15.00	38.2%	11.0%	30.3%	39.3%	0.0%	-3.4%	-0.5%	3.5K	-38.0K	-497	20.07	N/A	N/A	0	0	204	51
2012-10-31	$14.82	$15.00	43.8%	12.6%	31.2%	53.2%	0.0%	3.1%	-6.1%	3.7K	-40.9K	-478	104.26	N/A	N/A	0	34	204	51