BHE Options History — July 2013

In July 2013, BHE traded between $20.12 and $22.25. ATM implied volatility averaged 25.8%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.6% (HV 20d: 19.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2013-07-24: Highest Volume — 136 contracts
  • 2013-07-11: Largest IV spike — 79.7% change
  • 2013-07-18: Highest IV Rank — 38.6%
  • 2013-07-18: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.15$20.12$22.25$20.12$22.12
Max Pain$17.73$17.50$20.00$17.50$17.50
ATM IV25.8%15.0%32.7%22.4%24.1%
Expected Move8.0%5.8%9.4%6.4%6.9%
HV 20d19.2%16.7%22.4%18.0%18.3%
HV 60d22.9%18.3%27.7%27.5%18.3%
IV Rank22.9%0.0%38.6%10.5%19.8%
IV Percentile23.5%0.0%62.3%4.4%8.3%
Term Structure0.6%-3.4%10.6%7.8%1.9%
VWIV28.8%22.5%31.9%22.5%28.7%
Skew 25d1.6%-4.5%5.7%2.2%-0.4%
Skew 10d7.1%-5.2%69.3%3.6%-0.0%
Call IV 25d25.7%16.1%30.6%20.9%23.3%
Put IV 25d27.3%21.6%33.0%23.2%22.8%
Bid-Ask Spread %14.888.9036.5110.1210.86
Gamma HHI0.400.260.840.310.84
Net GEX10.1K4.3K27.2K7.3K27.2K
Net DEX-510.3K-674.0K-273.3K-502.2K-436.6K
Net VEX-604-876-430-705-876
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.006.670.000.00
Total Volume11.818013610
Total OI519.682254621600462

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$20.12$17.5022.4%6.4%18.0%10.5%0.0%2.2%7.8%7.3K-502.2K-7050.0010.12N/AN/A10380220
2013-07-02$20.25$17.5022.5%6.5%18.1%10.8%22.5%1.7%7.1%7.4K-515.8K-6930.0010.80N/AN/A10381220
2013-07-03$20.54$17.5024.4%7.0%18.1%15.1%0.0%4.1%6.6%7.2K-549.1K-6570.0012.26N/AN/A00380220
2013-07-05$20.82$20.0015.0%9.0%18.5%0.0%0.0%0.4%-1.9%6.4K-591.7K-5640.0023.22N/AN/A00380220
2013-07-08$20.19$20.0019.4%8.9%22.0%9.7%31.9%-4.5%-1.5%7.4K-511.1K-6450.0036.51N/AN/A100380220
2013-07-09$20.45$17.5023.6%8.8%22.4%18.8%30.4%-1.4%-1.4%7.9K-560.4K-6070.0023.16N/AN/A01390220
2013-07-10$20.67$17.5017.7%8.9%22.4%6.0%0.0%-0.7%-1.7%7.0K-599.4K-5500.0012.21N/AN/A50390221
2013-07-11$21.00$17.5031.9%9.1%21.6%36.8%0.0%2.4%-2.8%5.8K-630.3K-5150.009.36N/AN/A100390221
2013-07-12$20.93$17.5031.7%9.1%21.0%36.6%0.0%1.9%-2.6%6.0K-631.0K-5550.0013.64N/AN/A00400221
2013-07-15$20.91$17.5032.4%9.3%20.2%37.9%0.0%2.2%-2.9%5.9K-621.4K-5800.0011.23N/AN/A01400221
2013-07-16$20.84$17.5030.9%8.9%20.4%34.7%0.0%-0.8%-1.1%5.9K-619.0K-5720.0013.55N/AN/A00400220
2013-07-17$21.00$17.5032.5%9.3%19.3%38.3%0.0%3.1%-3.4%5.7K-658.7K-4920.0010.98N/AN/A00400211
2013-07-18$21.21$17.5032.7%9.4%19.0%38.6%0.0%3.6%-2.5%5.3K-671.7K-4820.0010.69N/AN/A00400211
2013-07-19$21.21$17.5030.6%8.8%18.9%34.1%30.3%4.4%-1.5%5.2K-674.0K-4810.0015.23N/AN/A01400211
2013-07-22$21.54$17.5026.1%7.5%19.2%24.2%0.0%3.9%0.1%4.9K-282.7K-4300.0013.84N/AN/A01918371
2013-07-23$21.53$17.5027.1%7.8%17.5%26.4%0.0%5.3%1.2%4.3K-275.6K-4990.0014.19N/AN/A0018381
2013-07-24$21.54$17.5028.7%8.2%16.7%29.8%28.7%5.5%-1.0%4.4K-273.3K-5000.0012.27N/AN/A136018381
2013-07-25$21.95$17.5020.2%5.8%17.5%11.4%0.0%5.7%10.6%21.0K-407.0K-7110.0034.73N/AN/A01031981
2013-07-26$22.25$17.5024.4%7.0%17.8%20.5%0.0%-0.4%1.5%23.4K-421.5K-7156.678.90N/AN/A32031991
2013-07-29$22.05$17.5025.6%7.3%18.3%23.1%0.0%-1.8%0.5%22.3K-390.9K-7311.679.65N/AN/A35322101
2013-07-30$22.14$17.5024.7%7.1%18.2%21.2%0.0%-0.7%0.8%24.1K-402.7K-7340.0010.06N/AN/A340325103
2013-07-31$22.12$17.5024.1%6.9%18.3%19.8%0.0%-0.4%1.9%27.2K-436.6K-8760.0010.86N/AN/A00359103