BHE Options History — November 2013

In November 2013, BHE traded between $22.50 and $23.02. ATM implied volatility averaged 24.7%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.7% (HV 20d: 21.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2013-11-18: Highest Volume — 42 contracts
  • 2013-11-12: Largest IV drop — 8.9% change
  • 2013-11-11: Highest IV Rank — 51.6%
  • 2013-11-06: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.83$22.50$23.02$22.63$22.98
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV24.7%23.3%26.3%25.1%25.3%
Expected Move7.2%6.7%7.6%7.2%7.3%
HV 20d21.9%12.5%26.4%26.3%12.5%
HV 60d20.4%18.1%22.3%22.2%18.1%
IV Rank43.6%36.1%51.6%40.3%48.5%
IV Percentile19.3%10.3%32.5%21.0%27.0%
Term Structure0.8%-0.9%2.0%1.4%0.3%
VWIV24.4%23.8%24.8%24.7%24.8%
Skew 25d5.3%-2.9%30.6%30.6%5.3%
Skew 10d6.7%-7.0%52.5%52.5%6.0%
Call IV 25d21.2%17.4%26.8%25.1%18.9%
Put IV 25d26.5%21.7%55.7%55.7%24.2%
Bid-Ask Spread %52.2412.54102.4558.8214.88
Gamma HHI0.570.460.820.510.82
Net GEX2.8K-1.2K6.3K2.7K6.3K
Net DEX-107.6K-171.3K-54.0K-84.2K-171.3K
Net VEX-1.8K-2.0K-1.7K-1.9K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.003.330.000.00
Total Volume11.25042410
Total OI492.45439580444574

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$22.63$22.5025.1%7.2%26.3%40.3%0.0%30.6%1.4%2.7K-84.2K-1.9K0.0058.82N/AN/A410265179
2013-11-04$22.88$22.5024.1%7.5%26.4%36.1%0.0%2.2%1.4%3.1K-116.4K-1.8K0.0049.95N/AN/A00265179
2013-11-05$22.88$22.5025.7%7.3%26.0%42.6%0.0%6.7%1.2%3.3K-116.9K-1.8K0.00102.28N/AN/A00265179
2013-11-06$22.83$22.5026.3%7.6%25.6%44.9%0.0%-2.9%0.2%3.2K-113.8K-1.8K0.00102.45N/AN/A00265179
2013-11-07$22.51$22.5025.7%7.6%24.6%42.5%0.0%1.9%-0.2%2.6K-81.4K-1.8K0.0043.34N/AN/A50265179
2013-11-08$22.58$22.5023.9%7.1%24.6%41.9%24.7%3.0%1.5%1.5K-67.0K-1.7K0.0039.02N/AN/A025260179
2013-11-11$22.65$22.5026.0%7.5%24.4%51.6%0.0%3.8%-0.9%-1.1K-54.0K-1.8K0.0056.31N/AN/A00260203
2013-11-12$22.87$22.5023.7%7.1%24.5%40.8%0.0%20.5%1.1%-726-73.0K-1.8K0.0058.41N/AN/A00260203
2013-11-13$23.02$22.5024.0%7.1%24.3%42.1%0.0%6.1%1.5%550-108.1K-1.8K0.0054.70N/AN/A00260203
2013-11-14$22.95$22.5023.9%6.9%23.9%42.0%23.8%-2.5%1.8%134-101.1K-1.8K0.0048.26N/AN/A012260203
2013-11-15$22.99$22.5023.3%6.7%23.9%38.8%0.0%-2.6%2.0%-1.2K-96.8K-1.8K0.0045.71N/AN/A02260214
2013-11-18$22.84$22.5024.8%7.1%23.8%46.0%24.8%3.6%0.5%1.5K-87.6K-1.7K0.0098.35N/AN/A420260203
2013-11-19$22.50$22.5024.9%7.1%24.2%46.6%0.0%1.8%0.2%5.7K-86.0K-1.8K0.0067.53N/AN/A032302203
2013-11-20$22.58$22.5024.8%7.1%23.8%45.8%0.0%2.0%0.8%3.6K-66.2K-1.9K0.0095.99N/AN/A00302232
2013-11-21$23.00$22.5024.3%7.0%23.6%43.9%0.0%5.8%1.2%4.8K-137.8K-1.9K0.0054.35N/AN/A00302232
2013-11-22$22.87$22.5023.6%6.8%15.3%40.6%0.0%4.3%1.1%4.4K-123.9K-1.9K3.3312.54N/AN/A620302232
2013-11-25$22.96$22.5024.0%6.9%14.9%42.2%0.0%4.9%1.3%4.1K-130.7K-1.9K0.0013.08N/AN/A200308252
2013-11-26$23.01$22.5024.9%7.1%13.8%46.4%0.0%5.5%0.1%6.1K-169.0K-2.0K0.0012.60N/AN/A00328252
2013-11-27$23.00$22.5025.4%7.3%12.5%48.9%0.0%5.5%0.2%6.0K-166.3K-2.0K0.0016.24N/AN/A020328252
2013-11-29$22.98$22.5025.3%7.3%12.5%48.5%0.0%5.3%0.3%6.3K-171.3K-1.9K0.0014.88N/AN/A00328246