BHE Options History — August 2013

In August 2013, BHE traded between $21.97 and $23.03. ATM implied volatility averaged 23.9%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 7.1% (HV 20d: 16.8%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-08-22: Highest Volume — 15 contracts
  • 2013-08-15: Largest IV spike — 54.6% change
  • 2013-08-27: Highest IV Rank — 47.5%
  • 2013-08-27: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.49$21.97$23.03$22.21$21.97
Max Pain$20.83$17.50$22.50$17.50$22.50
ATM IV23.9%16.9%28.7%23.4%26.0%
Expected Move7.3%6.7%8.2%6.7%7.5%
HV 20d16.8%11.1%24.8%17.9%24.8%
HV 60d18.5%17.7%20.4%18.2%20.4%
IV Rank25.2%4.1%47.5%18.3%38.1%
IV Percentile13.9%0.4%42.5%7.5%21.0%
Term Structure0.9%-3.2%4.2%3.5%1.3%
VWIV24.2%24.2%24.2%24.2%24.2%
Skew 25d3.7%-2.7%11.8%0.9%-2.1%
Skew 10d4.4%-6.1%16.8%1.6%-1.4%
Call IV 25d20.1%16.4%25.1%22.7%23.5%
Put IV 25d23.8%20.0%30.1%23.5%21.4%
Bid-Ask Spread %21.8210.1148.1111.1120.36
Gamma HHI0.660.360.950.850.39
Net GEX24.2K3.8K83.8K29.1K6.0K
Net DEX-401.8K-621.0K-270.1K-456.0K-288.8K
Net VEX-722-866-550-858-723
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume5.04501500
Total OI412.091318477462356

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$22.21$17.5023.4%6.7%17.9%18.3%0.0%0.9%3.5%29.1K-456.0K-8580.0011.11N/AN/A00359103
2013-08-02$22.13$17.5023.6%6.8%17.7%18.8%0.0%-1.4%1.7%29.2K-431.7K-8660.0010.90N/AN/A014359103
2013-08-05$22.14$0.0024.5%7.3%12.6%20.8%0.0%10.6%0.3%29.1K-406.5K-8510.0019.02N/AN/A02359117
2013-08-06$22.30$0.0022.8%7.2%12.2%17.1%0.0%8.6%0.9%33.8K-448.4K-8310.0017.48N/AN/A50359117
2013-08-07$22.45$0.0022.6%7.3%12.0%16.6%0.0%11.8%0.7%36.4K-470.9K-8300.0019.71N/AN/A120359117
2013-08-08$22.46$0.0023.0%7.1%11.3%17.5%0.0%9.3%1.0%35.3K-470.9K-8220.0040.46N/AN/A100353117
2013-08-09$22.43$0.0023.4%7.3%11.1%18.3%0.0%9.2%1.0%36.7K-470.7K-8050.0021.42N/AN/A03353117
2013-08-12$22.86$0.0017.6%7.5%12.3%5.6%0.0%5.6%0.0%44.3K-581.7K-7110.0048.11N/AN/A00353120
2013-08-13$23.00$0.0018.1%7.4%11.9%6.7%0.0%-2.7%0.1%33.8K-621.0K-6340.0019.12N/AN/A00353120
2013-08-14$22.91$0.0016.9%7.4%12.3%4.1%0.0%-1.9%0.3%40.2K-613.8K-6500.0021.95N/AN/A40353120
2013-08-15$22.18$0.0026.1%7.5%17.7%24.3%0.0%-0.5%0.9%50.6K-358.3K-6600.0031.70N/AN/A00357120
2013-08-16$22.48$0.0024.8%7.1%18.1%21.4%0.0%0.8%1.3%83.8K-470.8K-6700.0011.71N/AN/A10357120
2013-08-19$22.36$0.0024.5%7.0%17.7%20.8%0.0%1.6%1.7%3.8K-270.1K-5840.0032.37N/AN/A00202116
2013-08-20$22.73$0.0025.5%7.3%18.4%36.5%0.0%4.4%1.2%3.9K-291.9K-5500.0033.32N/AN/A120202116
2013-08-21$22.56$0.0025.2%7.2%18.8%35.5%0.0%2.2%1.0%4.2K-293.4K-6430.0010.11N/AN/A40214116
2013-08-22$23.03$0.0026.8%7.7%19.0%40.9%0.0%8.5%0.6%4.5K-323.5K-6650.0014.04N/AN/A150218116
2013-08-23$22.89$0.0025.4%7.3%18.7%36.1%0.0%6.3%0.8%5.2K-337.3K-7430.0010.61N/AN/A10233116
2013-08-26$22.58$0.0024.2%6.9%19.1%31.8%24.2%3.0%1.1%5.3K-320.4K-7150.0022.42N/AN/A10233116
2013-08-27$22.05$22.5028.7%8.2%21.0%47.5%0.0%0.3%-3.2%5.2K-284.8K-6950.0021.28N/AN/A010234116
2013-08-28$22.31$22.5026.4%7.6%21.5%39.5%0.0%0.2%0.2%5.6K-300.5K-6830.0016.48N/AN/A150234109
2013-08-29$22.66$22.5025.8%7.4%22.1%37.5%0.0%7.2%4.2%5.7K-328.0K-6940.0026.42N/AN/A20245109
2013-08-30$21.97$22.5026.0%7.5%24.8%38.1%0.0%-2.1%1.3%6.0K-288.8K-7230.0020.36N/AN/A00247109