BHE Options History — May 2013

In May 2013, BHE traded between $17.19 and $19.76. ATM implied volatility averaged 25.7%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 4.8% (HV 20d: 30.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2013-05-03: Highest Volume — 200 contracts
  • 2013-05-09: Largest IV spike — 39.9% change
  • 2013-05-15: Highest IV Rank — 23.8%
  • 2013-05-09: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.94$17.19$19.76$17.19$19.50
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV25.7%17.9%28.8%27.9%27.8%
Expected Move7.7%6.2%8.3%8.0%8.0%
HV 20d30.5%20.0%40.5%39.2%20.0%
HV 60d27.2%26.5%27.8%26.8%27.8%
IV Rank17.0%0.0%23.8%20.1%22.1%
IV Percentile9.7%0.0%17.9%11.1%17.9%
Term Structure1.5%0.1%12.3%1.4%0.7%
VWIV27.0%25.8%27.9%27.9%27.4%
Skew 25d0.3%-8.3%11.7%0.7%-4.3%
Skew 10d3.3%-4.3%29.6%2.1%-4.3%
Call IV 25d23.9%15.3%26.6%26.1%25.9%
Put IV 25d24.2%18.3%29.5%26.8%21.6%
Bid-Ask Spread %14.457.8527.629.6811.10
Gamma HHI0.790.640.900.820.76
Net GEX18.8K11.7K27.5K11.7K15.6K
Net DEX-813.1K-1.1M-184.3K-184.3K-964.1K
Net VEX-1.9K-2.5K-1.4K-2.1K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.001.670.400.00
Total Volume17.0910200140
Total OI906.682758982758882

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$17.19$17.5027.9%8.0%39.2%20.1%27.9%0.7%1.4%11.7K-184.3K-2.1K0.409.68N/AN/A104496262
2013-05-02$17.60$17.5028.8%8.3%40.0%22.3%0.0%4.3%0.2%13.6K-267.2K-2.2K0.0010.82N/AN/A40506262
2013-05-03$18.03$17.5026.9%7.7%40.5%17.8%0.0%4.3%0.1%14.0K-377.4K-2.1K0.0011.78N/AN/A2000506262
2013-05-06$18.19$17.5025.0%8.0%40.4%13.4%0.0%-0.2%0.8%27.5K-652.9K-2.5K0.0012.73N/AN/A00706262
2013-05-07$18.37$17.5018.0%8.1%40.1%0.0%0.0%11.7%1.6%25.7K-711.1K-2.4K0.0024.79N/AN/A00706262
2013-05-08$18.50$17.5017.9%7.8%39.0%0.0%25.8%1.3%0.6%25.4K-755.7K-2.3K1.6713.74N/AN/A915706262
2013-05-09$18.66$17.5025.0%8.3%39.0%16.0%0.0%2.9%0.1%23.5K-793.5K-2.3K0.0014.20N/AN/A00715267
2013-05-10$18.88$17.5020.9%7.4%38.8%6.8%0.0%2.6%1.2%21.4K-856.3K-2.2K0.0012.07N/AN/A07715267
2013-05-13$18.85$17.5027.8%7.4%30.0%22.1%0.0%2.1%2.6%22.9K-848.1K-2.1K0.0010.31N/AN/A00715261
2013-05-14$19.14$17.5025.4%7.6%29.2%16.8%0.0%3.5%1.9%19.3K-916.5K-2.0K1.0013.96N/AN/A77715261
2013-05-15$19.42$17.5028.5%7.6%25.9%23.8%0.0%6.7%1.7%16.7K-994.8K-1.8K0.0019.75N/AN/A00721254
2013-05-16$19.26$17.5027.5%7.9%26.2%21.5%0.0%-5.4%0.3%19.1K-962.9K-1.9K0.0024.06N/AN/A00721254
2013-05-17$19.65$17.5026.4%7.6%26.1%19.0%0.0%-1.7%1.2%14.7K-1.1M-1.6K0.798.21N/AN/A5241721254
2013-05-20$19.60$17.5026.9%7.7%26.4%20.2%0.0%-2.1%1.3%16.9K-967.9K-1.6K0.008.17N/AN/A00668204
2013-05-21$19.76$17.5026.7%7.7%24.2%19.7%0.0%-0.2%1.1%15.7K-1.0M-1.5K0.007.85N/AN/A00668204
2013-05-22$19.38$17.5027.4%7.9%25.6%21.4%27.4%-4.4%0.3%18.1K-929.4K-1.7K0.009.04N/AN/A60668204
2013-05-23$19.14$17.5027.0%7.7%25.9%20.3%0.0%-6.0%0.8%20.4K-885.8K-1.7K0.0027.62N/AN/A00672204
2013-05-24$19.12$17.5027.2%7.8%23.8%20.8%0.0%-8.3%0.2%21.9K-877.9K-1.7K0.0010.05N/AN/A010672204
2013-05-28$19.55$17.5026.9%7.7%24.6%20.1%0.0%-0.9%1.0%15.6K-973.8K-1.5K0.0025.75N/AN/A00672214
2013-05-29$19.29$17.5021.6%6.2%25.3%8.3%0.0%3.8%12.3%17.8K-917.0K-1.6K0.0023.37N/AN/A00672214
2013-05-30$19.62$17.5027.8%8.0%20.6%22.1%0.0%-3.1%0.7%15.1K-987.7K-1.5K0.008.80N/AN/A04672214
2013-05-31$19.50$17.5027.8%8.0%20.0%22.1%0.0%-4.3%0.7%15.6K-964.1K-1.4K0.0011.10N/AN/A00672210