BHE Options History — October 2013 In October 2013, BHE traded between $22.12 and $23.52. ATM implied volatility averaged 27.1%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 10.5% (HV 20d: 16.6%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.72.
Notable Days 2013-10-24 : Highest Volume — 118 contracts2013-10-30 : Largest IV spike — 28.5% change2013-10-31 : Highest IV Rank — 57.4%2013-10-31 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $22.84 $22.12 $23.52 $23.05 $22.73 Max Pain $21.70 $17.50 $22.50 $17.50 $22.50 ATM IV 27.1% 21.3% 31.6% 26.5% 31.6% Expected Move 7.9% 6.1% 9.0% 7.6% 9.0% HV 20d 16.6% 10.4% 26.6% 13.7% 26.4% HV 60d 19.2% 17.8% 22.2% 17.9% 22.2% IV Rank 41.8% 21.9% 57.4% 39.9% 57.4% IV Percentile 39.1% 6.0% 75.8% 30.6% 75.8% Term Structure -0.1% -5.9% 6.3% 1.9% -5.9% VWIV 29.6% 25.1% 33.4% 25.1% 28.1% Skew 25d 5.7% -1.6% 16.8% 7.5% 2.4% Skew 10d 8.9% -4.7% 42.6% 10.2% 5.9% Call IV 25d 22.0% 16.3% 28.3% 19.0% 28.0% Put IV 25d 27.7% 22.9% 34.4% 26.5% 30.4% Bid-Ask Spread % 27.36 8.26 124.54 9.82 124.54 Gamma HHI 0.58 0.46 0.68 0.55 0.57 Net GEX 6.7K -336 13.4K 8.4K 2.8K Net DEX -255.3K -443.6K 2.1K -372.0K -116.6K Net VEX -711 -1.7K -371 -574 -1.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.00 3.09 0.00 0.33 Total Volume 17.913 0 118 0 40 Total OI 323.783 81 404 370 404
Daily Data (23 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 2013-10-01 $23.05 $17.50 26.5% 7.6% 13.7% 39.9% 0.0% 7.5% 1.9% 8.4K -372.0K -574 0.00 9.82 N/A N/A 0 0 256 114 2013-10-02 $22.81 $17.50 25.0% 7.2% 12.3% 34.6% 0.0% 4.4% 3.2% 8.8K -349.7K -555 0.00 8.26 N/A N/A 5 0 256 114 2013-10-03 $22.63 $17.50 25.1% 7.2% 12.6% 34.8% 25.1% 2.3% 3.7% 8.9K -336.2K -564 1.00 9.79 N/A N/A 3 3 261 114 2013-10-04 $22.82 $0.00 24.7% 8.3% 12.5% 33.6% 33.4% 3.8% -0.9% 9.1K -359.4K -566 0.00 20.30 N/A N/A 0 2 261 114 2013-10-07 $22.65 $20.00 26.2% 8.3% 11.0% 38.7% 28.8% 4.0% -0.8% 9.3K -344.7K -538 0.00 21.25 N/A N/A 0 1 261 116 2013-10-08 $22.36 $22.50 25.5% 8.6% 10.4% 36.4% 0.0% 3.5% -1.7% 9.3K -310.4K -523 0.00 30.54 N/A N/A 0 0 261 117 2013-10-09 $22.12 $22.50 27.0% 8.5% 10.8% 41.7% 0.0% 9.9% -1.0% 8.7K -282.5K -490 0.00 15.60 N/A N/A 0 0 261 117 2013-10-10 $22.68 $22.50 29.5% 8.5% 14.1% 50.4% 0.0% 14.4% -1.4% 10.9K -339.6K -503 0.00 14.82 N/A N/A 0 0 261 117 2013-10-11 $22.74 $22.50 27.6% 7.9% 14.1% 43.7% 32.4% 12.2% 0.1% 11.4K -345.2K -502 0.00 25.10 N/A N/A 0 2 261 117 2013-10-14 $22.95 $22.50 30.1% 8.6% 14.5% 52.5% 0.0% 7.8% -1.3% 13.4K -389.7K -449 0.00 54.70 N/A N/A 0 0 261 115 2013-10-15 $22.75 $22.50 28.2% 8.1% 14.7% 45.8% 0.0% -1.6% -0.4% 12.7K -359.9K -454 0.00 37.25 N/A N/A 0 0 261 115 2013-10-16 $23.00 $22.50 27.7% 7.9% 14.7% 43.9% 0.0% -0.6% -0.1% 10.8K -417.0K -412 0.00 21.00 N/A N/A 1 0 261 115 2013-10-17 $23.28 $22.50 27.2% 7.8% 15.3% 42.4% 0.0% -0.0% -0.2% 6.2K -443.6K -396 0.00 17.21 N/A N/A 0 0 262 115 2013-10-18 $23.26 $22.50 26.6% 7.6% 15.3% 40.2% 0.0% 9.3% 1.1% 6.0K -443.4K -388 0.00 34.09 N/A N/A 4 0 262 115 2013-10-21 $23.05 $22.50 28.1% 8.1% 15.6% 45.4% 0.0% -0.5% -0.5% 3.9K -79.3K -371 1.91 25.42 N/A N/A 23 44 77 4 2013-10-22 $22.90 $22.50 28.5% 8.2% 15.8% 46.7% 0.0% 7.4% -0.4% 2.0K -44.6K -632 0.00 13.13 N/A N/A 0 0 90 48 2013-10-23 $22.60 $22.50 28.1% 8.1% 16.4% 45.4% 28.1% 2.9% -0.5% 1.8K -31.7K -610 0.00 13.12 N/A N/A 0 20 90 48 2013-10-24 $22.17 $22.50 25.6% 7.3% 17.5% 36.7% 0.0% 0.4% 1.0% -336 2.1K -618 0.27 33.83 N/A N/A 93 25 90 68 2013-10-25 $23.31 $22.50 27.3% 7.8% 25.4% 42.7% 0.0% 16.8% -3.6% 4.3K -150.4K -1.2K 0.00 20.27 N/A N/A 6 0 180 93 2013-10-28 $23.52 $22.50 27.7% 7.9% 25.5% 44.0% 0.0% 10.9% -0.8% 4.7K -174.7K -1.2K 3.09 16.40 N/A N/A 22 68 183 93 2013-10-29 $23.14 $22.50 21.3% 6.1% 26.2% 21.9% 0.0% 8.8% 6.3% 634 -106.2K -1.5K 1.00 32.09 N/A N/A 5 5 200 154 2013-10-30 $22.77 $22.50 27.4% 7.8% 26.6% 42.9% 0.0% 5.3% -0.8% 766 -77.6K -1.6K 0.33 30.65 N/A N/A 30 10 205 159 2013-10-31 $22.73 $22.50 31.6% 9.0% 26.4% 57.4% 0.0% 2.4% -5.9% 2.8K -116.6K -1.7K 0.33 124.54 N/A N/A 30 10 235 169
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