BHE Options History — April 2014

In April 2014, BHE traded between $22.07 and $24.21. ATM implied volatility averaged 27.0%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.8% (HV 20d: 21.3%). 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 6 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2014-04-15: Highest Volume — 1,644 contracts
  • 2014-04-10: Largest IV spike — 63.3% change
  • 2014-04-11: Highest IV Rank — 81.8%
  • 2014-04-11: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.16$22.07$24.21$22.77$23.18
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV27.0%18.6%35.5%25.6%23.8%
Expected Move7.9%5.3%10.2%7.3%6.8%
HV 20d21.3%14.4%29.3%15.6%28.7%
HV 60d20.5%18.5%21.6%21.3%20.7%
IV Rank48.0%14.2%81.8%42.3%34.9%
IV Percentile54.7%2.8%98.8%44.0%20.6%
Term Structure-1.6%-8.2%5.3%1.8%-0.2%
VWIV25.8%18.9%34.6%34.6%23.2%
Skew 25d5.9%-8.0%20.0%20.0%10.0%
Skew 10d12.6%-8.1%48.2%39.3%46.1%
Call IV 25d25.1%19.7%41.9%29.6%20.6%
Put IV 25d31.0%17.0%49.7%49.7%30.6%
Bid-Ask Spread %75.5912.34116.9765.6036.84
Gamma HHI0.540.430.870.490.49
Net GEX60.4K18.0K305.5K18.4K68.2K
Net DEX-815.6K-2.5M-294.8K-370.9K-816.6K
Net VEX-2.8K-4.0K-1.8K-1.8K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.0010.000.000.70
Total Volume108.04801,6446034
Total OI973.8576042,2206041,194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$22.77$22.5025.6%7.3%15.6%42.3%0.0%20.0%1.8%18.4K-370.9K-1.8K0.0065.60N/AN/A600472132
2014-04-02$23.01$22.5027.4%7.8%16.1%49.3%0.0%19.7%-0.1%22.8K-473.4K-2.1K0.0050.50N/AN/A02532132
2014-04-03$23.20$22.5027.9%8.0%16.5%51.3%0.0%13.3%-1.7%24.1K-527.6K-2.1K0.0062.57N/AN/A10532134
2014-04-04$23.22$22.5024.4%8.1%16.3%37.6%0.0%1.5%-3.0%23.4K-533.7K-2.1K0.00114.57N/AN/A020533134
2014-04-07$23.39$22.5018.9%7.7%16.6%15.4%0.0%2.2%4.3%22.1K-581.6K-2.1K0.00108.24N/AN/A20533154
2014-04-08$23.36$22.5024.9%7.1%14.4%39.6%0.0%-4.0%3.6%23.4K-569.3K-2.1K0.00102.83N/AN/A00533154
2014-04-09$23.63$22.5021.3%6.7%15.1%25.1%0.0%5.2%5.3%24.3K-634.8K-2.0K0.0098.03N/AN/A70533154
2014-04-10$23.07$22.5034.8%10.0%16.5%78.9%34.6%7.6%-6.9%23.0K-532.5K-2.1K0.00102.61N/AN/A04540154
2014-04-11$22.49$22.5035.5%10.2%18.6%81.8%0.0%9.0%-8.2%20.1K-429.7K-2.1K0.00116.97N/AN/A00540158
2014-04-14$22.07$22.5032.1%9.2%19.5%68.2%0.0%-1.2%-6.4%18.0K-294.8K-1.9K0.00115.96N/AN/A50540158
2014-04-15$22.34$22.5031.8%9.1%20.2%66.8%31.8%2.2%-4.4%18.9K-298.4K-1.8K0.1258.99N/AN/A1,468176545158
2014-04-16$22.45$22.5032.0%9.2%20.3%67.8%0.0%3.5%-5.3%246.3K-1.5M-4.0K0.0099.75N/AN/A001,906314
2014-04-17$22.88$22.5032.3%9.3%21.7%69.0%0.0%7.0%-5.2%305.5K-2.5M-3.8K0.2696.20N/AN/A69181,906314
2014-04-21$22.98$22.5031.6%9.1%21.7%66.3%0.0%7.0%-3.6%52.4K-695.3K-3.1K2.5097.62N/AN/A410766100
2014-04-22$24.21$22.5028.2%8.1%28.8%52.4%21.9%2.9%-1.8%48.2K-1.1M-3.2K0.0087.99N/AN/A1210768110
2014-04-23$23.88$22.5027.3%7.8%29.3%49.1%31.8%4.7%-0.8%56.8K-1.1M-3.6K1.2412.34N/AN/A5568882110
2014-04-24$24.03$22.5018.6%5.3%27.1%14.2%19.7%4.2%1.1%58.4K-1.2M-3.7K1.0638.54N/AN/A3537936178
2014-04-25$23.87$22.5021.0%6.0%26.7%23.9%24.9%-8.0%-0.8%59.1K-1.2M-3.9K0.1740.70N/AN/A234963197
2014-04-28$23.26$22.5026.8%7.7%28.6%46.9%18.9%14.7%-3.3%65.4K-862.4K-3.8K0.8435.53N/AN/A1916968201
2014-04-29$23.08$22.5021.6%6.2%28.7%26.1%0.0%2.3%1.7%68.8K-835.6K-3.7K10.0045.06N/AN/A110966217
2014-04-30$23.18$22.5023.8%6.8%28.7%34.9%23.2%10.0%-0.2%68.2K-816.6K-3.7K0.7036.84N/AN/A2014967227