BHE Options History — January 2014

In January 2014, BHE traded between $22.42 and $24.50. ATM implied volatility averaged 29.4%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.4% (HV 20d: 22.0%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 123.77.

Notable Days

  • 2014-01-22: Highest Volume — 1,111 contracts
  • 2014-01-24: Largest IV spike — 47.2% change
  • 2014-01-31: Highest IV Rank — 99.5%
  • 2014-01-31: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.23$22.42$24.50$22.68$22.73
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV29.4%22.9%35.9%32.9%35.9%
Expected Move8.1%6.6%10.3%9.4%10.3%
HV 20d22.0%11.9%28.6%17.2%28.2%
HV 60d20.0%18.2%22.4%19.3%20.1%
IV Rank67.9%37.4%99.5%84.3%99.5%
IV Percentile64.9%9.5%99.6%93.3%99.6%
Term Structure-0.0%-13.6%13.4%-3.2%-2.5%
VWIV31.9%16.3%43.6%16.3%35.9%
Skew 25d3.1%-5.9%22.6%5.0%6.0%
Skew 10d3.1%-8.6%36.0%7.2%-1.0%
Call IV 25d25.2%20.1%32.0%27.4%25.2%
Put IV 25d28.3%20.2%44.3%32.4%31.2%
Bid-Ask Spread %86.7133.51113.54109.65101.62
Gamma HHI0.660.380.940.670.94
Net GEX-28.0K-117.5K27.1K7.2K-107.9K
Net DEX23.2K-715.6K955.0K-228.4K955.0K
Net VEX-1.9K-3.6K-792-1.5K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio123.770.001110.000.001.92
Total Volume59.61901,111035
Total OI833.2382731,3875911,386

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$22.68$22.5032.9%9.4%17.2%84.3%0.0%5.0%-3.2%7.2K-228.4K-1.5K0.00109.65N/AN/A00367224
2014-01-03$22.80$22.5024.4%7.0%17.1%44.6%0.0%1.7%4.3%5.3K-207.9K-1.5K0.0033.51N/AN/A30367224
2014-01-06$22.62$0.0030.1%7.6%17.3%71.5%0.0%4.9%-2.6%5.6K-190.9K-1.4K0.00107.30N/AN/A00367224
2014-01-07$22.67$0.0025.9%7.3%15.3%51.4%0.0%-1.5%2.9%4.5K-195.7K-1.3K0.0096.40N/AN/A00367224
2014-01-08$22.59$0.0024.7%7.0%15.3%45.7%0.0%2.2%-0.3%3.8K-184.0K-1.3K0.00112.16N/AN/A10367224
2014-01-09$22.42$0.0025.5%7.2%14.8%49.5%0.0%-4.0%3.7%3.4K-126.2K-1.3K0.00105.83N/AN/A00368224
2014-01-10$22.51$0.0029.0%7.2%13.5%65.9%0.0%-1.6%2.1%3.2K-112.7K-1.3K0.00113.35N/AN/A00368224
2014-01-13$22.51$0.0031.7%7.8%11.9%78.8%0.0%9.8%-0.7%2.9K-110.4K-1.2K0.00104.49N/AN/A00368224
2014-01-14$23.20$0.0026.0%7.1%15.6%51.8%16.3%4.9%13.4%3.8K-407.4K-9870.00104.22N/AN/A380368224
2014-01-15$24.50$22.5034.1%6.6%24.1%89.9%0.0%6.0%2.3%27.1K-715.6K-7922.0074.56N/AN/A1224406224
2014-01-16$24.05$22.5026.0%7.5%25.5%51.9%0.0%0.9%-0.2%14.3K-637.3K-9560.0067.66N/AN/A010408248
2014-01-17$24.04$22.5027.2%7.8%25.5%57.7%0.0%-5.2%-1.3%16.4K-615.1K-1.0K0.00106.82N/AN/A40408244
2014-01-21$24.32$22.5026.1%7.5%25.6%52.4%0.0%-5.9%5.0%5.0K-279.3K-8870.00113.54N/AN/A0118588
2014-01-22$24.45$22.5027.9%8.0%25.6%61.0%32.0%3.7%1.5%5.1K-293.6K-8391110.0044.50N/AN/A11,11018589
2014-01-23$23.88$22.5022.9%6.6%27.5%37.4%0.0%1.7%1.1%-78.5K164.5K-2.8K0.0067.02N/AN/A0101861,189
2014-01-24$23.37$22.5033.7%9.7%28.1%88.4%0.0%0.8%-7.1%-90.8K577.7K-3.6K0.0047.55N/AN/A001861,199
2014-01-27$23.16$22.5034.7%9.9%28.2%92.9%43.6%1.7%-13.6%-79.2K777.6K-3.6K0.00112.31N/AN/A201861,199
2014-01-28$23.29$22.5030.4%8.7%28.3%72.9%0.0%22.6%2.2%-117.5K697.4K-3.4K0.0070.33N/AN/A101881,199
2014-01-29$23.00$22.5032.5%9.3%28.6%82.8%0.0%7.5%-3.8%-110.4K769.5K-3.5K0.0059.79N/AN/A001871,199
2014-01-30$22.98$22.5035.2%10.1%28.6%96.3%0.0%4.3%-3.7%-111.1K849.4K-3.4K0.0068.23N/AN/A001871,199
2014-01-31$22.73$22.5035.9%10.3%28.2%99.5%35.9%6.0%-2.5%-107.9K955.0K-3.4K1.92101.62N/AN/A12231871,199