BHE Options History — March 2014

In March 2014, BHE traded between $22.57 and $24.52. ATM implied volatility averaged 24.5%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.3% (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 17 of 21 days. Put/call ratio averaged 0.12.

Notable Days

  • 2014-03-18: Highest Volume — 87 contracts
  • 2014-03-12: Largest IV spike — 58.9% change
  • 2014-03-12: Highest IV Rank — 70.4%
  • 2014-03-03: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.60$22.57$24.52$23.62$22.65
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV24.5%18.7%32.7%30.6%25.9%
Expected Move6.9%5.4%8.8%8.8%7.4%
HV 20d15.3%11.9%18.2%16.5%18.0%
HV 60d21.1%20.6%21.6%21.0%21.3%
IV Rank38.0%14.8%70.4%62.1%43.3%
IV Percentile32.2%2.8%94.0%86.1%47.2%
Term Structure2.0%-5.5%6.5%-0.5%-0.1%
VWIV22.9%15.2%31.7%22.3%31.7%
Skew 25d1.4%-6.7%13.5%13.5%-0.4%
Skew 10d-1.4%-15.4%39.3%39.3%-1.3%
Call IV 25d23.5%15.3%33.6%19.8%24.4%
Put IV 25d24.9%17.0%33.4%33.3%23.9%
Bid-Ask Spread %90.3729.55117.56110.5065.29
Gamma HHI0.480.420.570.420.47
Net GEX17.0K13.8K22.2K14.5K18.9K
Net DEX-515.2K-644.2K-303.4K-436.7K-366.8K
Net VEX-1.6K-1.8K-1.3K-1.6K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.001.000.000.00
Total Volume10.23808702
Total OI544.143497613497602

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$23.62$22.5030.6%8.8%16.5%62.1%0.0%13.5%-0.5%14.5K-436.7K-1.6K0.00110.50N/AN/A00359138
2014-03-04$24.18$22.5022.9%6.6%13.6%31.5%22.3%4.3%1.9%13.9K-556.7K-1.5K0.00104.97N/AN/A330359138
2014-03-05$24.30$22.5027.5%7.9%12.2%49.7%0.0%-0.8%2.0%13.9K-588.6K-1.6K0.00114.44N/AN/A20379138
2014-03-06$24.36$22.5025.3%7.3%12.2%41.0%0.0%-1.2%0.0%14.4K-619.9K-1.5K0.00117.56N/AN/A00381138
2014-03-07$24.49$22.5030.6%7.6%12.1%62.4%0.0%3.1%1.9%14.4K-628.7K-1.4K0.0095.03N/AN/A00381138
2014-03-10$24.52$22.5023.8%7.4%11.9%35.1%18.6%0.6%2.1%13.8K-644.2K-1.3K0.0094.12N/AN/A210381138
2014-03-11$23.93$22.5020.6%5.4%15.5%22.1%0.0%0.5%4.9%15.7K-607.6K-1.3K0.0058.20N/AN/A00381138
2014-03-12$23.87$22.5032.7%7.9%15.2%70.4%0.0%-2.1%-5.5%15.3K-524.6K-1.5K0.00107.49N/AN/A00381138
2014-03-13$23.51$22.5023.5%6.7%16.3%33.8%0.0%2.7%6.5%16.9K-519.0K-1.5K0.0091.33N/AN/A00381138
2014-03-14$23.50$22.5026.4%7.6%16.3%45.6%0.0%0.9%0.4%16.7K-495.8K-1.5K0.0032.90N/AN/A00381138
2014-03-17$23.51$22.5025.1%7.2%16.3%40.0%26.7%10.9%3.9%16.5K-506.0K-1.4K1.00104.33N/AN/A11381138
2014-03-18$23.56$22.5020.6%5.9%15.7%22.3%0.0%-6.7%4.9%16.7K-515.2K-1.4K0.00114.42N/AN/A870382138
2014-03-19$23.47$22.5024.7%7.1%15.1%38.5%0.0%5.7%1.9%22.0K-579.7K-1.8K0.00113.67N/AN/A01469138
2014-03-20$23.49$22.5026.1%7.5%14.8%44.1%0.0%2.0%0.4%21.1K-578.3K-1.8K0.0029.55N/AN/A07467139
2014-03-21$23.56$22.5020.6%5.9%14.8%22.2%15.2%2.0%1.9%22.2K-605.9K-1.7K0.00112.49N/AN/A50467146
2014-03-24$23.47$22.5019.9%5.7%14.8%19.4%0.0%1.3%5.7%18.2K-497.0K-1.7K0.00110.69N/AN/A00422129
2014-03-25$23.57$22.5018.7%5.4%14.9%14.8%0.0%1.9%5.8%19.0K-508.6K-1.6K0.06109.14N/AN/A181422129
2014-03-26$22.89$22.5023.2%6.6%17.8%32.5%31.7%-6.4%-4.8%17.8K-386.8K-1.8K0.0078.78N/AN/A60440130
2014-03-27$22.60$22.5022.5%6.4%18.2%29.8%0.0%-1.0%3.5%17.0K-350.8K-1.7K0.0068.59N/AN/A00442130
2014-03-28$22.57$22.5024.3%7.0%18.1%37.0%0.0%-1.2%4.9%17.5K-303.4K-1.7K0.0064.37N/AN/A300442130
2014-03-31$22.65$22.5025.9%7.4%18.0%43.3%0.0%-0.4%-0.1%18.9K-366.8K-1.8K0.0065.29N/AN/A02472130