BHE Options History — December 2012 In December 2012, BHE traded between $15.40 and $16.62. ATM implied volatility averaged 30.4%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 13.9% (HV 20d: 16.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-12-06 : Highest Volume — 50 contracts2012-12-27 : Largest IV spike — 53.1% change2012-12-17 : Highest IV Rank — 34.3%2012-12-17 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $15.99 $15.40 $16.62 $15.50 $16.62 Max Pain $13.00 $12.50 $15.00 $15.00 $12.50 ATM IV 30.4% 19.6% 36.3% 30.6% 34.1% Expected Move 9.1% 5.6% 10.4% 8.8% 9.8% HV 20d 16.5% 12.8% 24.6% 24.6% 17.9% HV 60d 28.2% 25.1% 30.5% 30.5% 25.6% IV Rank 21.2% 0.0% 34.3% 20.2% 33.7% IV Percentile 21.6% 0.0% 56.7% 12.7% 38.1% Term Structure 3.3% -3.3% 14.4% 6.2% 0.8% VWIV 19.2% 19.2% 19.2% 19.2% 19.2% Skew 25d 8.9% -11.2% 44.7% 10.3% -8.3% Skew 10d 17.2% -12.5% 114.8% 23.2% -8.2% Call IV 25d 25.9% 19.2% 34.4% 24.7% 34.1% Put IV 25d 34.7% 21.2% 65.7% 35.0% 25.8% Bid-Ask Spread % 44.04 10.03 101.22 32.27 10.03 Gamma HHI 0.69 0.46 0.95 0.46 0.91 Net GEX 7.0K 1.0K 14.2K 1.3K 14.2K Net DEX -79.9K -126.8K -6.6K -17.9K -125.3K Net VEX -660 -721 -598 -625 -608 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 5.8 0 50 0 0 Total OI 384.35 351 420 362 351
Daily Data (20 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 2012-12-03 $15.50 $15.00 30.6% 8.8% 24.6% 20.2% 0.0% 10.3% 6.2% 1.3K -17.9K -625 0.00 32.27 N/A N/A 0 0 208 154 2012-12-04 $15.40 $15.00 34.1% 9.8% 21.7% 28.9% 0.0% 6.6% 2.0% 1.0K -6.6K -598 0.00 90.14 N/A N/A 0 0 208 154 2012-12-05 $15.62 $15.00 27.7% 7.9% 20.7% 12.9% 0.0% 9.2% 12.5% 1.5K -26.2K -614 0.00 16.79 N/A N/A 0 0 208 154 2012-12-06 $15.55 $15.00 34.7% 10.0% 15.3% 30.4% 0.0% 7.4% 1.1% 1.8K -19.0K -609 0.00 15.18 N/A N/A 50 0 208 154 2012-12-07 $15.67 $12.50 25.9% 9.5% 15.3% 8.3% 0.0% 44.7% 3.3% 2.0K -48.2K -710 0.00 30.02 N/A N/A 0 0 253 154 2012-12-10 $15.77 $12.50 28.0% 10.0% 14.5% 13.5% 0.0% 13.2% 1.0% 3.7K -61.2K -718 0.00 28.33 N/A N/A 0 0 253 154 2012-12-11 $15.88 $12.50 23.8% 9.8% 14.1% 3.0% 0.0% 38.6% 1.2% 5.0K -69.4K -683 0.00 93.99 N/A N/A 0 0 253 154 2012-12-12 $15.78 $12.50 32.8% 9.2% 14.5% 25.7% 19.2% 11.2% 3.4% 4.9K -63.4K -681 0.00 99.45 N/A N/A 13 0 253 154 2012-12-13 $15.72 $12.50 36.0% 10.3% 14.6% 33.8% 0.0% 0.1% -0.9% 4.7K -72.9K -693 0.00 13.65 N/A N/A 0 50 266 154 2012-12-14 $15.60 $12.50 35.1% 10.1% 12.8% 31.4% 0.0% 11.2% 0.3% 4.1K -59.0K -661 0.00 86.17 N/A N/A 0 0 266 140 2012-12-17 $16.01 $12.50 36.3% 10.4% 14.8% 34.3% 0.0% 16.7% 0.0% 8.1K -93.3K -677 0.00 28.94 N/A N/A 0 0 266 140 2012-12-18 $16.31 $12.50 30.5% 8.7% 15.7% 19.8% 0.0% 6.9% 3.8% 10.4K -121.5K -721 0.00 21.12 N/A N/A 0 3 266 140 2012-12-19 $16.27 $12.50 32.6% 9.3% 15.7% 25.0% 0.0% 6.4% 2.4% 10.1K -118.3K -712 0.00 16.00 N/A N/A 0 0 266 140 2012-12-20 $16.46 $12.50 32.6% 9.3% 15.9% 25.1% 0.0% 4.3% 1.1% 11.5K -126.4K -690 0.00 15.56 N/A N/A 0 0 266 140 2012-12-21 $16.44 $12.50 32.0% 9.2% 16.0% 23.6% 0.0% 5.4% 1.4% 11.8K -126.8K -685 0.00 17.45 N/A N/A 0 0 266 140 2012-12-24 $16.26 $12.50 19.8% 5.7% 16.8% 0.0% 0.0% 1.1% 14.4% 10.3K -115.0K -657 0.00 40.59 N/A N/A 0 0 262 89 2012-12-26 $16.36 $12.50 19.6% 5.6% 16.7% 0.0% 0.0% 2.9% 14.2% 11.5K -115.8K -628 0.00 101.22 N/A N/A 0 0 262 89 2012-12-27 $16.41 $12.50 30.0% 8.6% 16.0% 24.2% 0.0% -11.2% -0.1% 11.9K -105.6K -604 0.00 83.33 N/A N/A 0 0 262 89 2012-12-28 $16.21 $12.50 32.1% 9.2% 16.4% 29.2% 0.0% 0.3% -3.3% 10.5K -106.3K -625 0.00 40.61 N/A N/A 0 0 262 89 2012-12-31 $16.62 $12.50 34.1% 9.8% 17.9% 33.7% 0.0% -8.3% 0.8% 14.2K -125.3K -608 0.00 10.03 N/A N/A 0 0 262 89
« Nov 2012 | All History | Jan 2013 » Home BHE History December 2012