BHE Options History — February 2013

In February 2013, BHE traded between $17.37 and $18.05. ATM implied volatility averaged 30.1%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.7% (HV 20d: 22.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.97.

Notable Days

2013-02-06: Highest Volume — 130 contracts
2013-02-07: Largest IV spike — 30.4% change
2013-02-01: Highest IV Rank — 38.8%
2013-02-04: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.76	$17.37	$18.05	$17.90	$17.42
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	30.1%	24.2%	36.0%	36.0%	30.8%
Expected Move	8.9%	7.9%	9.8%	9.7%	8.8%
HV 20d	22.4%	20.3%	24.3%	20.3%	21.0%
HV 60d	20.7%	20.1%	21.5%	21.3%	21.0%
IV Rank	25.3%	11.7%	38.8%	38.8%	26.7%
IV Percentile	19.6%	3.2%	63.9%	63.9%	22.6%
Term Structure	-0.1%	-2.6%	1.5%	0.2%	-1.5%
VWIV	31.9%	29.2%	34.1%	34.1%	31.4%
Skew 25d	5.0%	-3.7%	9.5%	-3.7%	3.7%
Skew 10d	5.8%	-3.6%	11.4%	-3.6%	6.0%
Call IV 25d	23.6%	19.2%	32.2%	32.2%	26.1%
Put IV 25d	28.6%	27.5%	29.8%	28.5%	29.8%
Bid-Ask Spread %	18.51	7.76	72.19	53.58	12.18
Gamma HHI	0.48	0.29	0.69	0.51	0.42
Net GEX	2.8K	-3.2K	9.6K	4.1K	3.4K
Net DEX	-132.9K	-227.0K	-12.2K	-127.9K	-29.8K
Net VEX	-1.2K	-1.4K	-662	-662	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.00	4.44	4.44	1.00
Total Volume	28.789	0	130	49	10
Total OI	536.421	252	658	252	658

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
2013-02-01	$17.90	$17.50	36.0%	9.7%	20.3%	38.8%	34.1%	-3.7%	0.2%	4.1K	-127.9K	-662	4.44	53.58	N/A	N/A	9	40	165	87
2013-02-04	$17.50	$17.50	26.6%	9.8%	21.9%	17.2%	34.1%	3.0%	0.6%	-483	-82.7K	-721	0.76	44.00	N/A	N/A	58	44	173	127
2013-02-05	$18.04	$17.50	31.0%	9.2%	23.8%	27.4%	32.2%	-2.9%	0.8%	2.7K	-193.2K	-834	0.60	15.36	N/A	N/A	58	35	223	128
2013-02-06	$17.81	$17.50	24.2%	9.3%	22.9%	11.7%	0.0%	7.5%	-2.4%	3.9K	-195.3K	-1.1K	0.00	9.71	N/A	N/A	0	130	281	163
2013-02-07	$17.70	$17.50	31.6%	9.1%	23.1%	28.7%	0.0%	5.9%	0.7%	-2.2K	-93.2K	-1.4K	0.00	9.20	N/A	N/A	0	0	281	282
2013-02-08	$17.84	$17.50	30.8%	8.8%	23.1%	26.8%	0.0%	6.5%	-0.1%	-2.3K	-124.0K	-1.4K	0.00	72.19	N/A	N/A	0	0	281	282
2013-02-11	$17.91	$17.50	30.1%	8.6%	23.1%	25.3%	0.0%	6.4%	1.1%	-2.9K	-137.7K	-1.3K	0.00	24.07	N/A	N/A	0	0	281	282
2013-02-12	$17.89	$17.50	30.6%	8.8%	23.0%	26.4%	0.0%	9.4%	0.0%	-3.2K	-138.1K	-1.3K	0.00	7.76	N/A	N/A	0	0	281	282
2013-02-13	$17.94	$17.50	29.2%	8.4%	22.9%	23.2%	29.2%	6.9%	1.5%	-1.7K	-148.8K	-1.3K	0.00	9.72	N/A	N/A	55	0	281	282
2013-02-14	$17.98	$17.50	29.1%	8.3%	22.9%	23.0%	0.0%	9.3%	0.7%	3.2K	-227.0K	-1.4K	0.00	11.16	N/A	N/A	0	0	336	282
2013-02-15	$17.92	$17.50	29.6%	8.5%	22.9%	24.0%	0.0%	9.5%	0.8%	2.2K	-223.5K	-1.4K	0.00	12.33	N/A	N/A	0	0	336	282
2013-02-19	$18.05	$17.50	30.0%	8.6%	23.0%	24.9%	0.0%	8.9%	0.2%	7.9K	-213.1K	-1.3K	0.00	10.84	N/A	N/A	7	0	316	242
2013-02-20	$17.70	$17.50	31.4%	9.0%	24.3%	28.2%	0.0%	5.6%	-0.7%	7.8K	-159.4K	-1.3K	0.00	10.15	N/A	N/A	0	0	316	242
2013-02-21	$17.66	$17.50	30.2%	8.7%	23.8%	25.6%	30.2%	4.3%	-0.8%	8.3K	-148.4K	-1.3K	0.00	9.59	N/A	N/A	1	0	316	242
2013-02-22	$17.87	$17.50	27.6%	7.9%	20.4%	19.5%	0.0%	5.5%	1.2%	9.6K	-178.8K	-1.3K	0.00	11.59	N/A	N/A	0	70	316	242
2013-02-25	$17.44	$17.50	31.1%	8.9%	21.2%	27.6%	0.0%	2.9%	-0.9%	4.5K	-49.3K	-1.4K	0.00	8.88	N/A	N/A	0	0	316	312
2013-02-26	$17.41	$17.50	31.4%	9.0%	21.2%	28.3%	31.4%	3.3%	-1.3%	4.7K	-42.3K	-1.4K	0.00	10.15	N/A	N/A	0	20	316	312
2013-02-27	$17.37	$17.50	30.6%	8.8%	21.1%	26.4%	0.0%	3.4%	-2.6%	2.8K	-12.2K	-1.4K	1.00	9.31	N/A	N/A	5	5	316	332
2013-02-28	$17.42	$17.50	30.8%	8.8%	21.0%	26.7%	0.0%	3.7%	-1.5%	3.4K	-29.8K	-1.4K	0.00	12.18	N/A	N/A	0	10	321	337