BHE Options History — September 2013

In September 2013, BHE traded between $22.00 and $23.14. ATM implied volatility averaged 25.5%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.6% (HV 20d: 22.9%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.08.

Notable Days

2013-09-10: Highest Volume — 15 contracts
2013-09-26: Largest IV drop — 10.2% change
2013-09-12: Highest IV Rank — 41.4%
2013-09-12: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.82	$22.00	$23.14	$22.00	$22.89
Max Pain	$18.25	$17.50	$22.50	$22.50	$17.50
ATM IV	25.5%	22.4%	26.9%	26.2%	26.3%
Expected Move	7.3%	6.4%	7.7%	7.5%	7.5%
HV 20d	22.9%	13.6%	26.8%	24.8%	13.6%
HV 60d	19.9%	19.1%	20.8%	20.4%	19.1%
IV Rank	36.4%	25.8%	41.4%	38.7%	39.2%
IV Percentile	20.5%	7.5%	30.6%	22.6%	28.6%
Term Structure	2.3%	-0.8%	6.5%	-0.8%	2.3%
VWIV	24.8%	22.0%	26.4%	24.8%	22.0%
Skew 25d	5.1%	-3.0%	32.5%	-1.8%	6.5%
Skew 10d	5.9%	-6.2%	51.0%	-1.1%	9.2%
Call IV 25d	20.5%	15.6%	26.6%	25.2%	19.8%
Put IV 25d	25.6%	22.0%	56.5%	23.5%	26.3%
Bid-Ask Spread %	17.31	7.53	33.88	30.69	10.95
Gamma HHI	0.51	0.44	0.57	0.44	0.56
Net GEX	7.5K	6.0K	8.6K	6.2K	8.4K
Net DEX	-358.1K	-386.4K	-299.6K	-299.6K	-356.7K
Net VEX	-671	-754	-580	-686	-580
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.50	0.00	0.50
Total Volume	2.45	0	15	0	0
Total OI	366.8	356	373	356	370

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
2013-09-03	$22.00	$22.50	26.2%	7.5%	24.8%	38.7%	0.0%	-1.8%	-0.8%	6.2K	-299.6K	-686	0.00	30.69	N/A	N/A	0	0	247	109
2013-09-04	$22.49	$22.50	25.6%	7.3%	25.9%	36.6%	0.0%	32.5%	0.9%	6.0K	-318.5K	-659	0.00	25.00	N/A	N/A	0	0	247	109
2013-09-05	$22.58	$22.50	25.8%	7.4%	25.9%	37.5%	0.0%	2.1%	0.2%	6.6K	-329.1K	-682	0.00	11.18	N/A	N/A	3	0	247	109
2013-09-06	$22.39	$17.50	26.0%	7.4%	26.1%	38.2%	0.0%	1.9%	2.0%	6.1K	-315.8K	-645	0.00	20.82	N/A	N/A	0	0	247	109
2013-09-09	$22.80	$17.50	25.7%	7.6%	26.8%	37.1%	0.0%	5.7%	2.0%	6.6K	-343.5K	-655	0.00	33.88	N/A	N/A	0	0	247	109
2013-09-10	$23.14	$17.50	25.8%	7.7%	26.5%	37.5%	0.0%	-0.3%	1.6%	6.8K	-370.9K	-649	0.00	25.04	N/A	N/A	15	0	247	109
2013-09-11	$23.02	$17.50	25.0%	7.4%	26.5%	34.8%	0.0%	-1.1%	2.2%	7.7K	-377.6K	-754	0.00	24.15	N/A	N/A	0	0	262	109
2013-09-12	$22.81	$17.50	26.9%	7.7%	26.7%	41.4%	0.0%	-3.0%	1.1%	7.5K	-361.4K	-742	0.00	23.67	N/A	N/A	0	0	262	109
2013-09-13	$22.85	$17.50	26.3%	7.5%	23.8%	39.1%	0.0%	-1.4%	1.6%	7.7K	-364.0K	-733	0.00	28.58	N/A	N/A	0	0	262	109
2013-09-16	$22.82	$17.50	24.8%	7.1%	23.4%	34.0%	24.8%	5.8%	5.5%	7.9K	-360.5K	-705	0.00	20.80	N/A	N/A	3	0	262	109
2013-09-17	$22.71	$17.50	25.1%	7.2%	23.4%	34.9%	25.1%	3.8%	2.6%	7.9K	-353.1K	-692	0.00	7.53	N/A	N/A	4	0	263	109
2013-09-18	$22.96	$17.50	25.9%	7.4%	23.0%	37.9%	25.9%	7.1%	2.7%	8.0K	-372.7K	-698	0.00	9.62	N/A	N/A	1	0	263	109
2013-09-19	$22.90	$17.50	25.6%	7.3%	22.8%	36.8%	0.0%	6.3%	1.9%	8.3K	-370.7K	-690	0.00	8.25	N/A	N/A	0	0	264	109
2013-09-20	$22.90	$17.50	24.8%	7.1%	21.6%	33.9%	24.8%	6.4%	2.9%	8.4K	-374.6K	-684	0.00	7.97	N/A	N/A	0	2	264	109
2013-09-23	$23.01	$17.50	26.2%	7.5%	21.5%	39.0%	0.0%	6.9%	0.4%	8.5K	-381.7K	-663	0.00	10.27	N/A	N/A	0	0	264	109
2013-09-24	$23.04	$17.50	26.4%	7.6%	20.9%	39.4%	26.4%	6.5%	2.5%	8.6K	-380.8K	-667	0.50	8.99	N/A	N/A	10	5	264	109
2013-09-25	$23.03	$17.50	25.0%	7.2%	18.8%	34.7%	0.0%	6.0%	2.8%	7.7K	-373.7K	-627	0.00	11.43	N/A	N/A	0	1	256	114
2013-09-26	$23.12	$17.50	22.4%	6.4%	18.4%	25.8%	22.0%	6.6%	6.5%	8.1K	-386.4K	-606	0.00	17.39	N/A	N/A	0	5	256	114
2013-09-27	$22.99	$17.50	24.1%	6.9%	17.9%	31.6%	0.0%	6.2%	4.8%	8.1K	-370.9K	-607	0.00	10.05	N/A	N/A	0	0	256	114
2013-09-30	$22.89	$17.50	26.3%	7.5%	13.6%	39.2%	0.0%	6.5%	2.3%	8.4K	-356.7K	-580	0.00	10.95	N/A	N/A	0	0	256	114