BHE Options History — November 2012

In November 2012, BHE traded between $14.65 and $15.68. ATM implied volatility averaged 33.3%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 0.0% (HV 20d: 33.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.67.

Notable Days

2012-11-20: Highest Volume — 50 contracts
2012-11-23: Largest IV drop — 29.6% change
2012-11-07: Highest IV Rank — 44.0%
2012-11-08: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.16	$14.65	$15.68	$15.01	$15.54
Max Pain	$13.81	$12.50	$15.00	$15.00	$15.00
ATM IV	33.3%	22.8%	40.2%	34.9%	35.5%
Expected Move	9.6%	6.5%	10.7%	10.0%	10.2%
HV 20d	33.4%	26.3%	38.0%	31.4%	26.3%
HV 60d	30.5%	28.9%	31.0%	28.9%	30.6%
IV Rank	27.0%	0.6%	44.0%	30.9%	32.4%
IV Percentile	29.2%	0.4%	70.6%	33.7%	45.2%
Term Structure	2.1%	-2.4%	7.7%	-1.8%	0.7%
VWIV	33.1%	32.2%	34.0%	33.9%	33.2%
Skew 25d	4.2%	-1.6%	12.2%	0.8%	12.2%
Skew 10d	4.9%	-1.5%	14.3%	4.6%	14.3%
Call IV 25d	27.3%	22.8%	36.8%	36.8%	23.4%
Put IV 25d	31.5%	24.1%	37.6%	37.6%	35.6%
Bid-Ask Spread %	51.33	12.92	111.69	99.83	15.15
Gamma HHI	0.57	0.44	0.70	0.70	0.48
Net GEX	2.7K	274	4.0K	3.8K	2.2K
Net DEX	-22.0K	-46.4K	6.4K	-35.1K	-23.1K
Net VEX	-653	-689	-581	-676	-643
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.00	5.00	0.00	5.00
Total Volume	4	0	50	0	0
Total OI	324.19	289	364	289	362

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
2012-11-01	$15.01	$15.00	34.9%	10.0%	31.4%	30.9%	0.0%	0.8%	-1.8%	3.8K	-35.1K	-676	0.00	99.83	N/A	N/A	0	0	204	85
2012-11-02	$14.65	$15.00	32.8%	9.4%	32.4%	25.7%	0.0%	0.6%	0.9%	3.0K	-22.2K	-637	0.00	21.60	N/A	N/A	0	16	204	85
2012-11-05	$15.16	$12.50	37.9%	9.9%	34.9%	38.4%	0.0%	3.5%	1.1%	3.4K	-29.8K	-665	0.00	42.66	N/A	N/A	0	0	204	101
2012-11-06	$15.52	$12.50	35.7%	10.2%	35.8%	32.8%	0.0%	6.7%	2.1%	4.0K	-46.4K	-679	0.00	100.34	N/A	N/A	0	0	204	101
2012-11-07	$14.95	$12.50	40.2%	9.9%	38.0%	44.0%	0.0%	3.2%	2.5%	3.4K	-28.6K	-679	0.00	97.41	N/A	N/A	0	1	204	101
2012-11-08	$14.90	$12.50	35.8%	10.7%	36.8%	33.1%	0.0%	1.9%	-2.4%	3.2K	-29.0K	-689	0.00	27.14	N/A	N/A	0	0	204	102
2012-11-09	$15.15	$12.50	34.9%	10.0%	37.0%	31.0%	0.0%	4.0%	2.8%	3.5K	-36.1K	-664	0.00	26.73	N/A	N/A	0	0	204	102
2012-11-12	$15.04	$12.50	29.8%	9.6%	36.9%	18.2%	0.0%	4.6%	4.1%	3.4K	-34.3K	-659	0.00	28.70	N/A	N/A	0	5	204	102
2012-11-13	$15.03	$12.50	31.7%	10.5%	36.6%	23.0%	0.0%	6.5%	2.6%	3.3K	-32.1K	-683	0.00	31.47	N/A	N/A	0	0	204	107
2012-11-14	$15.11	$12.50	31.0%	9.9%	36.1%	21.2%	0.0%	1.8%	2.0%	3.2K	-25.6K	-653	0.00	90.79	N/A	N/A	0	0	204	107
2012-11-15	$14.82	$12.50	35.9%	10.3%	36.0%	33.5%	0.0%	-0.6%	0.8%	3.0K	-23.5K	-655	0.00	89.98	N/A	N/A	0	0	204	107
2012-11-16	$15.02	$12.50	33.9%	9.7%	35.2%	28.3%	33.9%	0.0%	4.0%	2.5K	-17.6K	-633	0.00	28.91	N/A	N/A	0	2	204	107
2012-11-19	$15.13	$15.00	34.4%	9.9%	35.0%	29.6%	0.0%	5.3%	0.2%	3.6K	-21.3K	-605	0.00	20.72	N/A	N/A	0	0	204	106
2012-11-20	$15.09	$15.00	32.3%	9.2%	33.1%	24.3%	32.2%	4.0%	1.5%	3.8K	-20.6K	-581	0.00	99.19	N/A	N/A	0	50	204	106
2012-11-21	$15.23	$15.00	32.3%	9.3%	33.3%	24.5%	32.3%	3.7%	2.6%	623	5.3K	-675	0.00	89.09	N/A	N/A	1	0	204	156
2012-11-23	$15.27	$15.00	22.8%	6.5%	33.3%	0.6%	0.0%	-1.6%	5.4%	1.0K	-3.3K	-656	0.00	111.69	N/A	N/A	0	0	205	156
2012-11-26	$15.28	$15.00	29.3%	8.4%	33.1%	17.0%	0.0%	8.6%	7.7%	274	6.4K	-636	0.00	14.20	N/A	N/A	0	0	205	156
2012-11-27	$15.24	$15.00	34.0%	9.8%	26.6%	28.7%	34.0%	7.5%	-0.9%	1.4K	-2.5K	-634	0.00	12.92	N/A	N/A	3	0	205	156
2012-11-28	$15.49	$15.00	30.7%	8.8%	27.0%	20.4%	0.0%	4.9%	5.9%	530	-12.6K	-636	0.00	13.21	N/A	N/A	0	0	208	156
2012-11-29	$15.68	$15.00	34.1%	9.8%	26.3%	28.8%	33.2%	10.1%	2.3%	2.5K	-31.0K	-674	5.00	16.24	N/A	N/A	1	5	208	156
2012-11-30	$15.54	$15.00	35.5%	10.2%	26.3%	32.4%	0.0%	12.2%	0.7%	2.2K	-23.1K	-643	0.00	15.15	N/A	N/A	0	0	208	154