BHE Options History — May 2014

In May 2014, BHE traded between $22.37 and $23.48. ATM implied volatility averaged 24.9%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 2.5% (HV 20d: 27.5%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.23.

Notable Days

  • 2014-05-15: Highest Volume — 136 contracts
  • 2014-05-12: Largest IV spike — 37.8% change
  • 2014-05-12: Highest IV Rank — 76.9%
  • 2014-05-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.96$22.37$23.48$22.91$23.19
Max Pain$23.93$22.50$25.00$22.50$22.50
ATM IV24.9%21.2%34.3%24.3%21.2%
Expected Move6.5%6.1%7.3%7.0%6.1%
HV 20d27.5%23.8%30.6%28.8%23.8%
HV 60d22.2%20.4%23.8%20.4%23.2%
IV Rank39.6%24.7%76.9%36.9%24.7%
IV Percentile34.7%6.7%97.2%25.0%6.7%
Term Structure1.0%-2.2%4.6%-1.4%4.6%
VWIV22.0%20.0%23.7%22.4%20.0%
Skew 25d6.6%-3.6%23.5%23.5%4.9%
Skew 10d10.1%-6.5%54.2%54.2%6.3%
Call IV 25d18.9%15.4%24.0%22.9%17.7%
Put IV 25d25.5%19.9%46.3%46.3%22.6%
Bid-Ask Spread %69.4637.32107.8698.21107.86
Gamma HHI0.590.480.730.500.65
Net GEX61.0K26.9K145.1K68.0K31.0K
Net DEX-553.9K-971.4K-306.1K-666.2K-430.7K
Net VEX-3.2K-3.7K-2.8K-3.7K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.230.0030.000.000.00
Total Volume21.857013615
Total OI1,063.3338161,3261,207816

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$22.91$22.5024.3%7.0%28.8%36.9%0.0%23.5%-1.4%68.0K-666.2K-3.7K0.0098.21N/AN/A10967240
2014-05-02$23.16$22.5024.5%7.0%28.9%37.9%0.0%3.5%-1.9%66.7K-799.5K-3.7K0.0091.97N/AN/A00968240
2014-05-05$23.10$25.0026.2%6.5%28.9%44.7%0.0%0.9%1.5%69.1K-759.2K-3.6K0.0088.46N/AN/A00968240
2014-05-06$22.60$25.0023.6%6.5%29.8%34.3%0.0%-3.6%1.4%76.5K-538.5K-3.4K5.0089.21N/AN/A15968240
2014-05-07$22.75$25.0026.0%6.5%29.9%43.9%0.0%3.0%2.0%75.4K-559.4K-3.3K0.0093.64N/AN/A20967245
2014-05-08$22.65$25.0025.7%6.4%29.6%42.7%0.0%3.2%1.8%76.6K-551.9K-3.3K0.0093.87N/AN/A01965245
2014-05-09$23.00$25.0024.9%6.4%29.0%39.4%0.0%5.7%1.5%77.5K-731.2K-3.3K0.0093.53N/AN/A00965245
2014-05-12$23.48$25.0034.3%6.6%28.3%76.9%0.0%1.3%0.5%65.5K-971.4K-3.3K5.2545.06N/AN/A421965245
2014-05-13$23.14$25.0032.3%6.2%27.9%69.1%0.0%-0.1%2.8%68.4K-803.1K-3.2K0.0046.10N/AN/A1010969264
2014-05-14$22.45$25.0031.4%6.4%29.9%65.3%22.4%1.4%1.2%75.1K-515.4K-3.5K30.0055.08N/AN/A1301,062264
2014-05-15$22.37$25.0022.7%6.5%29.9%30.8%0.0%1.4%1.6%142.1K-341.0K-3.3K0.0038.11N/AN/A13601,021284
2014-05-16$22.71$25.0022.7%6.5%29.6%30.6%0.0%21.7%1.6%145.1K-765.1K-3.2K0.8038.13N/AN/A54993284
2014-05-19$23.21$25.0023.7%6.8%30.6%34.7%23.7%17.2%0.4%30.9K-414.3K-3.2K0.7356.11N/AN/A2619686189
2014-05-20$22.65$25.0021.7%6.2%25.0%26.6%20.0%3.0%1.4%26.9K-306.1K-2.9K0.4054.76N/AN/A104670172
2014-05-21$22.64$22.5021.6%6.2%24.7%26.4%0.0%3.7%1.4%27.0K-312.8K-2.8K0.0037.32N/AN/A00670170
2014-05-22$22.88$22.5023.5%6.7%24.9%33.7%0.0%21.5%-0.8%28.6K-353.5K-2.9K2.5079.25N/AN/A25670170
2014-05-23$23.14$22.5021.9%6.3%25.4%27.5%0.0%5.1%0.3%31.2K-403.0K-2.9K0.0096.72N/AN/A200668165
2014-05-27$23.47$22.5025.6%7.3%24.2%42.2%0.0%10.2%-2.2%34.3K-490.4K-2.8K0.5044.72N/AN/A2010657165
2014-05-28$23.38$22.5021.9%6.3%24.1%27.3%0.0%4.7%2.6%33.1K-464.8K-2.9K0.0048.95N/AN/A260657175
2014-05-29$23.37$22.5023.8%6.8%24.0%35.2%0.0%7.3%-0.2%32.2K-454.4K-2.8K0.0061.55N/AN/A00641175
2014-05-30$23.19$22.5021.2%6.1%23.8%24.7%0.0%4.9%4.6%31.0K-430.7K-2.8K0.00107.86N/AN/A05641175