BHE Options History — January 2013

In January 2013, BHE traded between $16.56 and $18.05. ATM implied volatility averaged 31.6%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 8.4% (HV 20d: 23.3%). 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 9 of 21 days. Put/call ratio averaged 0.20.

Notable Days

2013-01-10: Highest Volume — 87 contracts
2013-01-10: Largest IV spike — 65.0% change
2013-01-28: Highest IV Rank — 39.3%
2013-01-28: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.16	$16.56	$18.05	$17.32	$17.56
Max Pain	$14.72	$12.50	$15.00	$12.50	$15.00
ATM IV	31.6%	19.1%	36.2%	33.2%	35.8%
Expected Move	9.7%	8.0%	10.4%	9.5%	10.3%
HV 20d	23.3%	19.5%	25.6%	22.2%	19.5%
HV 60d	25.2%	22.0%	26.9%	26.9%	22.0%
IV Rank	28.6%	0.0%	39.3%	31.7%	38.3%
IV Percentile	32.3%	0.0%	65.5%	31.0%	61.9%
Term Structure	-0.1%	-2.9%	5.9%	0.8%	-2.9%
VWIV	33.6%	28.0%	38.3%	33.2%	32.9%
Skew 25d	6.6%	-3.3%	46.1%	2.8%	3.2%
Skew 10d	13.5%	-1.9%	105.0%	5.1%	5.0%
Call IV 25d	28.5%	24.9%	33.0%	30.4%	33.0%
Put IV 25d	35.1%	24.9%	71.9%	33.1%	36.3%
Bid-Ask Spread %	30.34	8.49	99.86	13.76	99.49
Gamma HHI	0.75	0.51	0.91	0.88	0.52
Net GEX	13.6K	3.5K	27.1K	18.8K	4.0K
Net DEX	-138.3K	-205.3K	-88.2K	-205.3K	-112.5K
Net VEX	-654	-764	-608	-608	-671
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	1.11	0.00	0.00
Total Volume	14	0	87	2	0
Total OI	338.476	226	449	351	252

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
2013-01-02	$17.32	$12.50	33.2%	9.5%	22.2%	31.7%	33.2%	2.8%	0.8%	18.8K	-205.3K	-608	0.00	13.76	N/A	N/A	2	0	262	89
2013-01-03	$17.20	$12.50	28.0%	8.0%	22.2%	19.7%	28.0%	-0.5%	5.9%	22.3K	-191.8K	-613	0.00	73.76	N/A	N/A	23	0	264	89
2013-01-04	$17.06	$0.00	26.7%	9.7%	22.5%	16.5%	0.0%	11.2%	0.0%	25.3K	-181.9K	-611	0.00	17.67	N/A	N/A	82	0	287	89
2013-01-07	$16.91	$0.00	25.9%	9.5%	22.8%	14.8%	0.0%	8.9%	1.0%	27.1K	-195.8K	-764	0.00	78.58	N/A	N/A	0	0	350	89
2013-01-08	$16.56	$0.00	19.1%	10.0%	24.4%	0.0%	37.0%	6.3%	-0.6%	15.5K	-116.2K	-652	0.00	13.53	N/A	N/A	10	0	350	89
2013-01-09	$16.63	$15.00	21.1%	9.9%	24.4%	4.5%	0.0%	8.6%	-1.0%	18.2K	-137.2K	-668	0.00	10.17	N/A	N/A	0	0	360	89
2013-01-10	$16.78	$15.00	34.8%	10.0%	24.4%	36.1%	0.0%	9.2%	-0.1%	23.4K	-155.5K	-680	0.00	11.83	N/A	N/A	87	0	360	89
2013-01-11	$16.84	$15.00	33.9%	9.7%	24.2%	34.0%	38.3%	5.9%	0.2%	16.5K	-144.1K	-631	1.10	9.81	N/A	N/A	10	11	273	89
2013-01-14	$16.79	$15.00	34.6%	9.9%	24.1%	35.6%	0.0%	6.1%	-0.5%	13.9K	-121.1K	-631	0.00	14.88	N/A	N/A	0	0	273	100
2013-01-15	$16.75	$15.00	35.2%	10.1%	23.9%	37.0%	0.0%	6.1%	-0.8%	13.7K	-124.4K	-620	0.00	13.48	N/A	N/A	25	0	273	100
2013-01-16	$16.89	$15.00	34.2%	9.8%	22.5%	34.6%	0.0%	9.2%	0.2%	16.9K	-136.3K	-672	0.00	13.36	N/A	N/A	0	0	298	100
2013-01-17	$17.01	$15.00	33.4%	9.6%	21.8%	32.9%	0.0%	-3.1%	-0.2%	19.5K	-138.6K	-666	0.00	8.49	N/A	N/A	0	0	298	100
2013-01-18	$17.05	$15.00	32.2%	9.2%	21.7%	30.1%	0.0%	-3.3%	0.9%	23.4K	-152.9K	-659	0.20	13.25	N/A	N/A	5	1	298	100
2013-01-22	$17.17	$15.00	32.7%	9.4%	21.5%	31.3%	32.7%	-1.1%	-1.5%	3.5K	-88.2K	-613	0.00	85.10	N/A	N/A	3	0	149	77
2013-01-23	$17.41	$15.00	32.7%	9.4%	21.9%	31.3%	32.7%	2.4%	-0.9%	3.8K	-99.9K	-614	0.00	9.39	N/A	N/A	5	0	152	77
2013-01-24	$18.05	$15.00	32.5%	9.3%	24.2%	30.9%	0.0%	46.1%	0.6%	4.2K	-137.4K	-623	1.11	99.86	N/A	N/A	9	10	157	77
2013-01-25	$17.73	$15.00	32.9%	9.4%	25.5%	31.8%	32.9%	5.3%	-0.7%	4.2K	-123.3K	-696	0.00	11.46	N/A	N/A	1	0	166	87
2013-01-28	$17.69	$15.00	36.2%	10.4%	25.6%	39.3%	0.0%	6.2%	-1.7%	4.0K	-119.3K	-688	0.00	13.61	N/A	N/A	0	0	165	87
2013-01-29	$17.57	$15.00	36.1%	10.4%	25.2%	39.1%	0.0%	4.9%	-1.8%	4.0K	-110.7K	-678	0.00	11.50	N/A	N/A	0	0	165	87
2013-01-30	$17.46	$15.00	33.0%	9.5%	24.2%	31.9%	0.0%	4.8%	0.2%	4.0K	-111.8K	-677	0.00	14.19	N/A	N/A	0	10	165	87
2013-01-31	$17.56	$15.00	35.8%	10.3%	19.5%	38.3%	0.0%	3.2%	-2.9%	4.0K	-112.5K	-671	0.00	99.49	N/A	N/A	0	0	165	87