BHE Options History — April 2013

In April 2013, BHE traded between $16.30 and $17.92. ATM implied volatility averaged 31.0%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.0% (HV 20d: 28.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2013-04-25: Highest Volume — 242 contracts
  • 2013-04-25: Largest IV drop — 18.9% change
  • 2013-04-22: Highest IV Rank — 37.5%
  • 2013-04-22: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.23$16.30$17.92$17.52$17.84
Max Pain$18.30$17.50$20.00$17.50$17.50
ATM IV31.0%27.5%35.4%30.9%27.6%
Expected Move9.0%7.9%10.2%8.9%7.9%
HV 20d28.0%18.3%38.2%18.6%36.7%
HV 60d22.8%19.2%26.3%19.4%26.1%
IV Rank27.3%19.2%37.5%27.0%19.4%
IV Percentile30.5%8.7%67.5%27.4%9.1%
Term Structure-0.7%-4.3%2.1%-2.2%1.8%
VWIV32.2%27.6%38.4%38.4%27.6%
Skew 25d6.2%0.9%13.2%5.2%5.9%
Skew 10d13.9%1.2%49.8%8.0%8.3%
Call IV 25d26.4%21.6%33.3%25.8%21.6%
Put IV 25d32.6%26.2%41.0%31.0%27.6%
Bid-Ask Spread %17.927.7487.9313.957.92
Gamma HHI0.770.490.950.870.62
Net GEX-8.3K-28.5K5.1K-14.3K4.9K
Net DEX56.9K-204.0K406.6K-14.7K-186.7K
Net VEX-1.5K-1.9K-1.0K-1.7K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.003.500.000.00
Total Volume26.13602420116
Total OI741.909367883803643

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$17.52$17.5030.9%8.9%18.6%27.0%0.0%5.2%-2.2%-14.3K-14.7K-1.7K0.0013.95N/AN/A00349454
2013-04-02$17.25$17.5030.3%8.7%19.3%25.6%0.0%3.7%1.0%-15.3K88.3K-1.6K0.009.91N/AN/A150349454
2013-04-03$17.28$17.5029.5%8.5%18.8%23.9%0.0%3.9%1.1%-15.5K81.2K-1.7K0.009.65N/AN/A50364454
2013-04-04$17.37$17.5028.8%8.3%18.3%22.3%0.0%2.9%2.1%-16.2K67.4K-1.7K0.008.93N/AN/A150369454
2013-04-05$17.13$20.0032.4%9.0%18.8%30.6%38.4%12.3%-1.2%-13.1K130.0K-1.7K3.508.96N/AN/A621384454
2013-04-08$17.33$20.0030.4%9.6%18.8%26.1%33.4%13.1%-2.2%-18.0K93.7K-1.6K0.0013.69N/AN/A03384475
2013-04-09$17.12$20.0029.6%9.2%19.1%24.1%0.0%11.5%-1.2%-18.1K151.5K-1.6K0.0011.51N/AN/A00384478
2013-04-10$17.63$20.0027.5%9.0%22.2%19.2%31.4%13.2%-1.1%-22.3K-52.9K-1.6K1.5013.07N/AN/A23384478
2013-04-11$17.69$20.0031.7%9.1%22.2%29.0%0.0%5.3%-1.0%-28.5K-63.2K-1.6K0.0087.93N/AN/A00386481
2013-04-12$17.49$20.0031.9%9.1%21.1%29.4%0.0%0.9%-1.3%-25.9K25.9K-1.6K0.0022.81N/AN/A00386481
2013-04-15$16.43$20.0032.3%9.3%30.0%30.3%34.4%4.7%-1.1%-4.9K399.8K-1.1K0.3315.61N/AN/A124386481
2013-04-16$16.88$17.5031.9%9.1%32.0%29.4%0.0%7.0%-0.6%-15.6K326.6K-1.2K0.0037.56N/AN/A00398485
2013-04-17$16.37$17.5034.6%9.9%33.4%35.6%0.0%4.3%-2.6%-6.2K378.9K-1.1K0.0018.69N/AN/A10398485
2013-04-18$16.30$17.5032.8%9.4%33.0%31.4%0.0%6.1%-2.1%-2.7K406.6K-1.1K0.0012.27N/AN/A20393485
2013-04-19$16.65$17.5033.1%9.5%33.7%32.1%0.0%8.1%-0.3%3.0K315.2K-1.0K0.0020.22N/AN/A00394425
2013-04-22$16.73$17.5035.4%10.2%33.7%37.5%34.4%10.2%-3.2%3.0K-83.8K-1.0K1.3119.17N/AN/A2634254113
2013-04-23$17.34$17.5030.4%8.7%36.4%26.0%30.4%2.6%-0.8%2.8K-123.0K-1.2K0.5923.88N/AN/A1710270147
2013-04-24$17.61$17.5034.0%9.7%36.9%34.3%34.0%5.3%-4.3%5.1K-167.7K-1.2K1.277.74N/AN/A1114287137
2013-04-25$17.92$17.5027.6%7.9%37.2%19.4%27.6%4.8%1.9%5.0K-204.0K-1.2K1.2413.08N/AN/A108134295151
2013-04-26$17.49$17.5029.9%8.6%38.2%24.7%29.9%1.8%0.0%4.9K-150.9K-1.9K0.009.50N/AN/A08387257
2013-04-29$17.64$17.5028.7%8.2%37.0%22.0%0.0%3.3%1.8%4.9K-165.8K-1.9K0.008.13N/AN/A80387262
2013-04-30$17.84$17.5027.6%7.9%36.7%19.4%27.6%5.9%1.8%4.9K-186.7K-1.9K0.007.92N/AN/A1160381262