BHE Options History — December 2013

In December 2013, BHE traded between $21.76 and $23.08. ATM implied volatility averaged 25.4%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 10.1% (HV 20d: 15.3%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-12-06: Highest Volume — 20 contracts
  • 2013-12-16: Largest IV spike — 28.5% change
  • 2013-12-17: Highest IV Rank — 73.4%
  • 2013-12-17: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.44$21.76$23.08$22.84$23.08
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV25.4%21.6%30.6%25.2%25.1%
Expected Move7.4%6.2%8.8%7.2%7.2%
HV 20d15.3%12.6%16.7%12.6%16.6%
HV 60d18.6%17.6%19.3%18.0%19.1%
IV Rank49.0%31.2%73.4%48.0%47.5%
IV Percentile32.0%6.3%79.0%26.2%27.4%
Term Structure1.6%-4.5%9.2%0.2%2.4%
VWIV24.7%24.7%24.7%24.7%24.7%
Skew 25d8.3%-7.1%78.1%4.6%4.5%
Skew 10d18.8%-9.1%131.5%5.8%6.8%
Call IV 25d22.9%17.7%26.9%19.6%21.1%
Put IV 25d31.2%17.4%98.7%24.2%25.6%
Bid-Ask Spread %85.5113.47113.3913.4732.41
Gamma HHI0.620.470.820.820.66
Net GEX6.2K3.6K9.1K6.0K7.7K
Net DEX-99.8K-294.4K62.4K-137.9K-294.4K
Net VEX-1.7K-1.9K-1.5K-1.9K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume5.524020100
Total OI608.524571655574591

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$22.84$22.5025.2%7.2%12.6%48.0%0.0%4.6%0.2%6.0K-137.9K-1.9K0.0013.47N/AN/A010328246
2013-12-03$22.56$22.5025.6%7.3%12.7%49.7%0.0%1.8%-2.2%4.5K-96.9K-1.9K0.00107.28N/AN/A00328256
2013-12-04$22.39$22.5025.7%7.4%13.0%50.5%0.0%1.9%0.1%3.7K-33.8K-1.8K0.0037.41N/AN/A00328256
2013-12-05$22.35$22.5025.1%7.2%13.0%47.6%0.0%1.5%0.2%3.6K-23.1K-1.8K0.0024.01N/AN/A00328256
2013-12-06$22.86$22.5022.1%8.1%14.5%33.6%0.0%6.6%0.5%5.1K-113.1K-1.8K0.00104.23N/AN/A200328256
2013-12-09$22.79$22.5024.9%7.1%14.5%46.7%24.7%-3.1%3.3%5.8K-161.2K-1.8K0.00100.41N/AN/A200348256
2013-12-10$22.49$22.5028.2%7.3%15.3%61.9%0.0%3.5%3.3%7.9K-173.5K-1.8K0.00105.63N/AN/A100368256
2013-12-11$22.12$22.5024.1%8.2%15.8%43.0%0.0%-4.5%-1.6%7.9K-128.4K-1.8K0.00106.18N/AN/A010378256
2013-12-12$21.76$22.5025.7%7.4%16.4%50.2%0.0%-4.3%1.8%6.5K-28.1K-1.8K0.00108.77N/AN/A010378256
2013-12-13$21.82$22.5022.9%6.6%16.5%37.1%0.0%-4.9%2.7%4.7K62.4K-1.7K0.00113.39N/AN/A10378265
2013-12-16$21.96$22.5029.4%8.4%16.7%67.8%0.0%-4.2%-3.3%7.1K-9.3K-1.7K0.00109.38N/AN/A10379265
2013-12-17$22.02$22.5030.6%8.8%16.7%73.4%0.0%-5.8%-4.5%6.6K-1.9K-1.7K0.00105.89N/AN/A00380265
2013-12-18$22.03$22.5024.9%7.1%16.0%46.5%0.0%-7.1%-0.4%6.0K34.9K-1.6K0.00107.37N/AN/A100380265
2013-12-19$22.00$22.5026.3%7.6%15.9%53.5%0.0%-3.1%-0.3%7.8K-40.3K-1.7K0.00111.14N/AN/A00390265
2013-12-20$22.15$22.5025.2%7.2%14.5%48.3%0.0%-3.6%1.7%9.1K-3.1K-1.6K0.0092.38N/AN/A40390265
2013-12-23$22.30$22.5024.6%7.1%14.7%45.4%0.0%-1.5%2.4%4.1K-57.5K-1.6K0.00109.19N/AN/A00347224
2013-12-24$22.76$22.5021.6%6.2%16.5%31.2%0.0%78.1%9.2%4.9K-129.5K-1.5K0.00107.73N/AN/A00347224
2013-12-26$22.92$22.5025.5%7.3%16.7%49.4%0.0%-0.4%7.3%7.7K-243.7K-1.6K0.0036.58N/AN/A200347224
2013-12-27$22.98$22.5028.7%8.2%16.7%64.7%0.0%66.9%4.8%7.9K-255.4K-1.6K0.00112.97N/AN/A00367224
2013-12-30$22.99$22.5021.9%6.3%16.7%32.6%0.0%46.5%5.7%6.5K-261.9K-1.5K0.0049.84N/AN/A00367224
2013-12-31$23.08$22.5025.1%7.2%16.6%47.5%0.0%4.5%2.4%7.7K-294.4K-1.5K0.0032.41N/AN/A00367224