BHE Options History — June 2013 In June 2013, BHE traded between $19.31 and $20.16. ATM implied volatility averaged 26.7%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 7.1% (HV 20d: 19.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-06-05 : Highest Volume — 55 contracts2013-06-13 : Largest IV spike — 28.9% change2013-06-20 : Highest IV Rank — 23.8%2013-06-13 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $19.75 $19.31 $20.16 $19.76 $20.10 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 26.7% 22.0% 28.3% 27.0% 24.9% Expected Move 7.8% 7.2% 8.1% 7.7% 7.2% HV 20d 19.6% 18.5% 20.9% 19.0% 18.5% HV 60d 27.9% 27.5% 28.3% 27.9% 27.7% IV Rank 20.2% 9.2% 23.8% 20.5% 16.5% IV Percentile 14.6% 3.6% 25.8% 13.5% 6.0% Term Structure 2.2% 0.6% 5.3% 1.2% 5.3% VWIV 25.8% 19.3% 28.3% 25.6% 25.0% Skew 25d 1.4% -3.0% 10.2% -1.0% 3.5% Skew 10d 3.0% -2.9% 16.3% -0.8% 4.7% Call IV 25d 22.9% 20.6% 26.4% 24.9% 20.6% Put IV 25d 24.2% 20.4% 31.7% 23.9% 24.1% Bid-Ask Spread % 11.41 7.03 22.65 12.41 9.53 Gamma HHI 0.41 0.29 0.68 0.67 0.29 Net GEX 10.2K 5.9K 14.9K 11.9K 6.9K Net DEX -907.8K -1.1M -431.5K -1.0M -500.8K Net VEX -1.0K -1.3K -762 -1.3K -784 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 12.2 0 55 0 0 Total OI 823.35 548 923 882 600
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 2013-06-03 $19.76 $17.50 27.0% 7.7% 19.0% 20.5% 0.0% -1.0% 1.2% 11.9K -1.0M -1.3K 0.00 12.41 N/A N/A 0 0 672 210 2013-06-04 $19.73 $17.50 27.8% 8.0% 19.0% 22.1% 25.6% -1.1% 1.3% 11.8K -1.0M -1.3K 0.00 10.35 N/A N/A 13 0 672 210 2013-06-05 $19.54 $17.50 26.6% 7.6% 19.5% 19.5% 0.0% -2.5% 1.5% 12.8K -1.0M -1.3K 0.00 11.98 N/A N/A 55 0 675 210 2013-06-06 $19.69 $17.50 27.7% 7.9% 19.5% 21.9% 0.0% -1.4% 0.6% 14.9K -1.1M -1.3K 0.00 9.59 N/A N/A 0 0 713 210 2013-06-07 $19.70 $17.50 27.0% 8.1% 19.4% 20.3% 0.0% 9.0% 1.4% 13.9K -1.1M -1.3K 0.00 11.71 N/A N/A 0 0 713 210 2013-06-10 $19.75 $17.50 26.9% 8.1% 19.1% 20.1% 0.0% -0.1% 1.2% 11.6K -1.1M -1.2K 0.00 22.02 N/A N/A 10 0 713 210 2013-06-11 $19.65 $17.50 27.2% 8.0% 19.3% 20.7% 0.0% 10.2% 1.9% 11.4K -1.1M -1.2K 0.00 11.64 N/A N/A 0 0 703 210 2013-06-12 $19.31 $17.50 22.0% 8.1% 19.8% 9.2% 0.0% 7.3% 1.7% 13.3K -991.6K -1.2K 0.00 9.46 N/A N/A 10 0 703 210 2013-06-13 $19.68 $17.50 28.3% 8.1% 20.3% 23.4% 28.3% 0.4% 1.1% 11.0K -1.1M -1.1K 0.00 22.65 N/A N/A 13 0 711 210 2013-06-14 $19.43 $17.50 27.9% 8.0% 20.6% 22.5% 27.9% -2.8% 1.7% 10.4K -1.0M -1.1K 0.00 21.60 N/A N/A 55 0 711 210 2013-06-17 $19.53 $17.50 27.1% 7.8% 19.3% 21.5% 0.0% -3.0% 2.2% 7.3K -1.0M -976 0.00 8.22 N/A N/A 20 0 684 210 2013-06-18 $19.95 $17.50 27.5% 7.9% 20.8% 22.4% 27.5% 2.5% 2.2% 8.1K -1.1M -910 0.00 8.47 N/A N/A 6 0 684 210 2013-06-19 $19.77 $17.50 26.8% 7.7% 20.9% 20.7% 0.0% 0.7% 2.3% 9.3K -1.1M -900 0.00 8.52 N/A N/A 0 0 687 210 2013-06-20 $19.71 $17.50 28.1% 8.1% 19.6% 23.8% 19.3% -0.6% 0.9% 8.6K -1.1M -890 0.00 8.51 N/A N/A 0 10 687 210 2013-06-21 $19.92 $17.50 27.1% 7.8% 19.3% 21.6% 0.0% 1.7% 2.2% 13.3K -1.1M -788 0.00 7.03 N/A N/A 0 0 687 205 2013-06-24 $19.57 $17.50 27.9% 8.0% 20.5% 23.3% 27.1% -1.9% 2.4% 6.5K -431.5K -861 0.00 8.65 N/A N/A 0 18 353 195 2013-06-25 $19.95 $17.50 26.3% 7.5% 20.1% 19.7% 0.0% 1.1% 4.1% 5.9K -452.6K -762 0.00 8.55 N/A N/A 27 0 353 213 2013-06-26 $20.01 $17.50 25.0% 7.2% 19.4% 16.6% 25.0% 1.8% 4.8% 7.8K -491.0K -809 0.00 7.76 N/A N/A 0 7 380 213 2013-06-27 $20.16 $17.50 25.2% 7.2% 18.7% 17.1% 0.0% 3.3% 4.6% 6.9K -500.7K -804 0.00 9.47 N/A N/A 0 0 380 220 2013-06-28 $20.10 $17.50 24.9% 7.2% 18.5% 16.5% 0.0% 3.5% 5.3% 6.9K -500.8K -784 0.00 9.53 N/A N/A 0 0 380 220
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