BHE Options History — March 2013

In March 2013, BHE traded between $17.29 and $18.29. ATM implied volatility averaged 28.4%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 11.9% (HV 20d: 16.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.27.

Notable Days

2013-03-08: Highest Volume — 149 contracts
2013-03-11: Largest IV drop — 25.1% change
2013-03-22: Highest IV Rank — 28.1%
2013-03-22: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.90	$17.29	$18.29	$17.43	$18.02
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	28.4%	20.7%	31.3%	29.9%	29.7%
Expected Move	8.4%	7.7%	9.0%	8.6%	8.5%
HV 20d	16.5%	14.7%	20.9%	20.9%	15.3%
HV 60d	20.8%	20.2%	21.1%	20.9%	20.2%
IV Rank	21.3%	3.6%	28.1%	24.7%	24.3%
IV Percentile	14.5%	1.2%	29.0%	15.9%	15.9%
Term Structure	2.3%	-0.3%	5.2%	-0.3%	2.9%
VWIV	26.2%	20.7%	30.3%	27.8%	20.7%
Skew 25d	9.4%	-0.9%	47.1%	3.5%	9.3%
Skew 10d	14.4%	-1.4%	109.3%	5.8%	13.1%
Call IV 25d	21.7%	17.8%	28.4%	26.4%	20.8%
Put IV 25d	31.2%	26.2%	67.1%	29.9%	30.1%
Bid-Ask Spread %	21.85	9.97	89.49	11.65	10.48
Gamma HHI	0.66	0.43	0.84	0.44	0.84
Net GEX	-1.1K	-12.0K	11.5K	3.6K	-12.0K
Net DEX	-158.2K	-399.3K	-8.6K	-14.1K	-116.8K
Net VEX	-1.6K	-1.9K	-1.3K	-1.4K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	1.63	0.00	0.00
Total Volume	16.4	0	149	6	0
Total OI	748.9	668	836	668	803

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
2013-03-01	$17.43	$17.50	29.9%	8.6%	20.9%	24.7%	0.0%	3.5%	-0.3%	3.6K	-14.1K	-1.4K	0.00	11.65	N/A	N/A	6	0	321	347
2013-03-04	$17.29	$17.50	30.2%	8.6%	19.7%	25.4%	0.0%	12.2%	1.4%	4.5K	-8.6K	-1.4K	0.00	13.84	N/A	N/A	0	0	327	347
2013-03-05	$17.48	$17.50	30.9%	8.5%	18.6%	27.1%	0.0%	13.9%	2.1%	5.0K	-46.4K	-1.3K	0.00	39.75	N/A	N/A	0	1	327	347
2013-03-06	$17.70	$17.50	30.5%	8.2%	15.5%	26.1%	0.0%	13.8%	2.5%	5.7K	-101.2K	-1.3K	0.00	89.49	N/A	N/A	0	10	327	348
2013-03-07	$17.75	$17.50	28.2%	8.3%	14.9%	20.8%	0.0%	5.3%	2.6%	7.5K	-97.7K	-1.3K	0.00	37.58	N/A	N/A	1	0	327	358
2013-03-08	$17.97	$17.50	27.6%	8.3%	15.4%	19.6%	0.0%	-0.3%	2.1%	6.4K	-169.3K	-1.3K	0.00	18.40	N/A	N/A	149	0	328	358
2013-03-11	$18.00	$17.50	20.7%	8.2%	15.2%	3.6%	0.0%	6.8%	2.3%	9.0K	-314.9K	-1.7K	0.00	26.61	N/A	N/A	0	20	430	358
2013-03-12	$17.93	$17.50	22.4%	8.4%	15.2%	7.4%	0.0%	-0.8%	1.8%	11.5K	-293.0K	-1.8K	0.00	16.20	N/A	N/A	5	0	430	378
2013-03-13	$17.93	$17.50	25.7%	8.0%	15.2%	15.0%	27.8%	8.4%	3.1%	11.3K	-305.2K	-1.8K	0.00	21.80	N/A	N/A	0	5	435	378
2013-03-14	$18.29	$17.50	26.7%	7.7%	16.7%	17.5%	26.8%	8.8%	3.7%	-1.4K	-399.3K	-1.7K	0.00	26.51	N/A	N/A	0	18	435	383
2013-03-15	$18.08	$17.50	28.1%	8.1%	17.3%	20.7%	28.4%	-0.9%	3.1%	4.1K	-337.0K	-1.8K	0.00	18.13	N/A	N/A	0	20	435	401
2013-03-18	$18.05	$17.50	30.3%	8.7%	17.2%	25.7%	30.3%	11.3%	0.9%	-9.0K	-115.3K	-1.7K	0.13	11.25	N/A	N/A	16	2	314	400
2013-03-19	$18.05	$17.50	28.0%	8.0%	17.0%	20.5%	28.0%	47.1%	5.2%	-10.1K	-115.8K	-1.7K	0.70	12.78	N/A	N/A	10	7	330	402
2013-03-20	$18.21	$17.50	28.1%	8.0%	15.6%	20.6%	0.0%	9.4%	3.2%	-8.8K	-166.8K	-1.8K	1.63	10.26	N/A	N/A	8	13	340	409
2013-03-21	$17.81	$17.50	30.1%	8.6%	17.7%	25.2%	0.0%	7.5%	3.2%	-9.6K	-79.4K	-1.9K	0.00	25.77	N/A	N/A	0	0	348	422
2013-03-22	$17.91	$17.50	31.3%	9.0%	17.3%	28.1%	21.3%	8.1%	1.6%	-9.2K	-99.5K	-1.8K	0.00	9.97	N/A	N/A	2	0	348	422
2013-03-25	$17.98	$17.50	30.8%	8.8%	14.7%	26.8%	0.0%	9.5%	2.4%	-9.8K	-118.2K	-1.8K	0.00	10.05	N/A	N/A	0	0	350	422
2013-03-26	$17.91	$17.50	29.4%	8.4%	14.8%	23.7%	20.7%	6.8%	2.0%	-10.5K	-116.8K	-1.7K	0.00	11.68	N/A	N/A	3	0	350	422
2013-03-27	$18.11	$17.50	29.4%	8.4%	15.1%	23.6%	0.0%	9.1%	0.6%	-10.0K	-148.4K	-1.7K	0.00	14.77	N/A	N/A	0	32	349	422
2013-03-28	$18.02	$17.50	29.7%	8.5%	15.3%	24.3%	0.0%	9.3%	2.9%	-12.0K	-116.8K	-1.8K	0.00	10.48	N/A	N/A	0	0	349	454