BHE Options History — February 2014 In February 2014, BHE traded between $22.07 and $23.85. ATM implied volatility averaged 27.1%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.3% (HV 20d: 23.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.16.
Notable Days 2014-02-04 : Highest Volume — 112 contracts2014-02-12 : Largest IV drop — 39.4% change2014-02-03 : Highest IV Rank — 100.0%2014-02-03 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $23.15 $22.07 $23.85 $22.07 $23.84 Max Pain $22.50 $22.50 $22.50 $22.50 $22.50 ATM IV 27.1% 19.9% 40.1% 40.1% 19.9% Expected Move 7.6% 5.7% 11.5% 11.5% 5.7% HV 20d 23.8% 16.7% 31.1% 30.0% 16.7% HV 60d 21.2% 21.0% 21.4% 21.0% 21.1% IV Rank 48.3% 19.5% 100.0% 100.0% 19.5% IV Percentile 46.7% 3.2% 100.0% 100.0% 3.2% Term Structure 0.9% -7.0% 11.3% -6.5% 2.4% VWIV 26.4% 26.1% 26.6% 26.1% 26.6% Skew 25d 2.0% -6.7% 15.0% 15.0% 4.0% Skew 10d 5.6% -10.1% 29.2% 17.1% -1.2% Call IV 25d 26.0% 17.5% 32.2% 29.7% 21.8% Put IV 25d 28.0% 21.8% 44.7% 44.7% 25.7% Bid-Ask Spread % 80.85 30.45 113.25 94.67 101.44 Gamma HHI 0.81 0.43 0.99 0.93 0.44 Net GEX -119.5K -567.7K 13.1K -100.8K 12.8K Net DEX 203.4K -480.8K 1.0M 1.0M -480.8K Net VEX -2.5K -3.6K -1.4K -3.2K -1.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.16 0.00 0.85 0.00 0.00 Total Volume 15.842 0 112 0 9 Total OI 1,255.368 436 1,600 1,397 488
Daily Data (19 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 2014-02-03 $22.07 $22.50 40.1% 11.5% 30.0% 100.0% 0.0% 15.0% -6.5% -100.8K 1.0M -3.2K 0.00 94.67 N/A N/A 0 0 198 1,199 2014-02-04 $22.53 $22.50 30.3% 8.7% 30.9% 61.0% 0.0% -2.8% -7.0% -136.4K 811.2K -3.1K 0.00 109.45 N/A N/A 112 0 198 1,199 2014-02-05 $22.66 $22.50 27.4% 7.8% 30.9% 49.2% 0.0% -0.3% 4.1% -154.0K 760.4K -3.6K 0.00 102.38 N/A N/A 0 0 308 1,199 2014-02-06 $22.62 $22.50 32.4% 9.3% 30.9% 69.1% 0.0% 3.3% -2.2% -133.1K 842.9K -3.6K 0.00 102.51 N/A N/A 4 0 308 1,199 2014-02-07 $22.58 $22.50 34.1% 9.4% 30.8% 76.0% 0.0% 4.5% -6.9% -134.6K 906.0K -3.5K 0.00 110.61 N/A N/A 0 0 308 1,199 2014-02-10 $22.50 $22.50 29.1% 7.5% 30.8% 56.1% 26.1% 1.9% -0.6% -173.6K 902.4K -3.3K 0.85 97.25 N/A N/A 41 35 308 1,199 2014-02-11 $22.77 $22.50 35.8% 6.6% 31.1% 83.0% 0.0% 4.6% 4.9% -149.6K 807.9K -3.4K 0.00 58.10 N/A N/A 0 4 345 1,234 2014-02-12 $22.94 $22.50 21.7% 7.2% 29.2% 26.7% 0.0% -2.2% -1.5% -567.7K 106.1K -2.5K 0.00 58.45 N/A N/A 0 0 345 1,238 2014-02-13 $22.99 $22.50 28.2% 8.1% 20.8% 52.7% 0.0% -0.6% 0.9% -173.1K 452.9K -3.1K 0.00 53.98 N/A N/A 2 0 345 1,238 2014-02-14 $23.00 $22.50 27.4% 7.9% 20.0% 49.4% 0.0% -0.3% -1.5% -177.6K 431.6K -2.9K 0.00 53.86 N/A N/A 15 0 343 1,238 2014-02-18 $23.31 $22.50 27.1% 7.8% 20.8% 48.3% 0.0% 14.6% 0.7% -158.0K -63.1K -2.0K 0.00 107.21 N/A N/A 9 0 343 1,238 2014-02-19 $23.60 $22.50 23.3% 6.7% 20.8% 33.0% 0.0% -1.1% 5.7% -112.7K -170.7K -1.9K 0.00 63.02 N/A N/A 9 0 352 1,238 2014-02-20 $23.78 $22.50 22.4% 6.4% 21.0% 29.4% 26.6% 0.2% -0.5% -76.8K -358.2K -1.6K 0.00 30.45 N/A N/A 0 9 361 1,238 2014-02-21 $23.73 $22.50 25.4% 7.3% 19.3% 41.3% 0.0% 0.5% 3.8% -85.0K -335.9K -1.6K 0.00 100.48 N/A N/A 0 0 361 1,239 2014-02-24 $23.62 $22.50 23.2% 6.6% 17.6% 32.5% 0.0% -6.7% 2.9% 11.6K -422.3K -1.4K 0.00 113.25 N/A N/A 0 0 317 119 2014-02-25 $23.69 $22.50 24.5% 7.0% 17.3% 37.8% 0.0% 2.2% 8.1% 11.9K -426.7K -1.4K 0.55 95.05 N/A N/A 33 18 317 119 2014-02-26 $23.85 $22.50 22.3% 6.4% 17.3% 29.1% 0.0% 2.5% -0.3% 12.5K -479.3K -1.6K 0.00 47.39 N/A N/A 0 0 350 137 2014-02-27 $23.75 $22.50 21.0% 6.0% 16.7% 23.9% 0.0% -1.1% 11.3% 13.1K -465.9K -1.6K 0.00 36.64 N/A N/A 0 1 350 137 2014-02-28 $23.84 $22.50 19.9% 5.7% 16.7% 19.5% 0.0% 4.0% 2.4% 12.8K -480.8K -1.6K 0.00 101.44 N/A N/A 9 0 350 138
« Jan 2014 | All History | Mar 2014 » Home BHE History February 2014