BHE Options History — June 2014

In June 2014, BHE traded between $22.98 and $25.48. ATM implied volatility averaged 21.4%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.0% (HV 20d: 21.4%). 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 18 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2014-06-20: Highest Volume — 51 contracts
  • 2014-06-09: Largest IV spike — 50.5% change
  • 2014-06-02: Highest IV Rank — 37.7%
  • 2014-06-02: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.44$22.98$25.48$22.98$25.48
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV21.4%15.4%24.5%24.5%23.2%
Expected Move6.2%4.4%7.0%7.0%6.6%
HV 20d21.4%18.0%25.2%23.7%18.6%
HV 60d24.0%23.2%24.4%23.3%24.1%
IV Rank25.5%1.6%37.7%37.7%32.6%
IV Percentile13.6%0.4%30.6%30.6%24.6%
Term Structure2.0%-1.7%5.8%-1.7%1.0%
VWIV22.3%21.4%23.0%22.6%22.7%
Skew 25d3.9%-5.3%24.3%4.5%20.1%
Skew 10d9.4%-8.2%50.9%7.6%49.6%
Call IV 25d22.5%15.8%27.3%21.0%27.3%
Put IV 25d26.4%18.2%47.3%25.5%47.3%
Bid-Ask Spread %64.2915.6398.6958.7981.38
Gamma HHI0.740.600.810.630.81
Net GEX47.6K28.7K64.3K28.7K63.8K
Net DEX-767.7K-1.1M-349.0K-349.0K-1.1M
Net VEX-2.4K-2.7K-1.9K-2.6K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.003.670.000.00
Total Volume7.38105140
Total OI818.381789832815811

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$22.98$22.5024.5%7.0%23.7%37.7%0.0%4.5%-1.7%28.7K-349.0K-2.6K0.0058.79N/AN/A40641174
2014-06-03$23.03$22.5024.2%6.9%23.7%36.7%0.0%4.3%-1.2%29.2K-358.0K-2.6K0.0091.00N/AN/A240645177
2014-06-04$23.03$22.5022.9%6.6%22.3%31.3%0.0%16.4%-0.7%30.0K-359.7K-2.6K0.0092.88N/AN/A00655177
2014-06-05$23.81$22.5015.4%4.4%25.0%1.6%0.0%3.5%5.8%38.1K-573.6K-2.7K0.0098.69N/AN/A00655177
2014-06-06$23.83$22.5016.1%6.4%24.9%4.3%22.6%-0.9%1.6%40.2K-604.4K-2.7K0.0086.32N/AN/A10655177
2014-06-09$24.29$22.5024.2%6.2%25.2%36.7%23.0%0.9%2.0%45.0K-711.7K-2.6K3.6783.59N/AN/A311655177
2014-06-10$24.61$22.5018.3%6.0%24.6%13.2%0.0%1.7%3.8%47.8K-810.3K-2.6K0.0086.79N/AN/A00652176
2014-06-11$24.41$22.5019.4%6.0%24.2%17.6%0.0%1.2%3.3%47.3K-765.8K-2.6K0.0082.86N/AN/A00652176
2014-06-12$24.20$22.5022.4%6.4%21.3%29.3%0.0%-0.8%1.4%43.4K-694.5K-2.6K0.0083.23N/AN/A00652176
2014-06-13$24.41$22.5021.4%6.1%21.2%25.3%21.4%0.4%2.9%46.9K-739.5K-2.5K0.0083.12N/AN/A290652176
2014-06-16$24.16$22.5021.6%6.2%21.4%26.2%0.0%0.7%2.7%45.7K-698.8K-2.4K0.0082.03N/AN/A00640176
2014-06-17$24.47$22.5022.7%6.5%20.6%30.6%0.0%2.7%1.8%45.5K-751.7K-2.4K0.0043.60N/AN/A00640176
2014-06-18$24.66$22.5022.3%6.4%18.0%29.0%22.3%-5.0%2.0%46.9K-813.7K-2.3K0.0053.57N/AN/A100640176
2014-06-19$24.55$22.5022.5%6.5%18.2%29.9%0.0%-5.3%1.5%47.1K-793.4K-2.3K0.0055.17N/AN/A00638174
2014-06-20$25.22$22.5021.8%6.3%19.8%27.2%21.8%24.3%2.3%50.7K-992.8K-2.1K0.2415.63N/AN/A4110638174
2014-06-23$25.21$22.5021.8%6.2%19.7%26.9%0.0%-3.3%2.2%56.9K-981.4K-2.1K0.0096.29N/AN/A200627162
2014-06-24$25.20$22.5020.2%5.8%19.4%20.6%0.0%-3.1%3.9%61.6K-1.0M-2.2K0.0016.35N/AN/A00647162
2014-06-25$25.27$22.5020.5%5.9%19.2%22.0%0.0%24.3%4.1%64.3K-1.0M-2.0K0.0016.33N/AN/A00647162
2014-06-26$25.08$22.5021.4%6.1%19.6%25.4%0.0%-2.5%3.0%61.7K-964.5K-2.1K0.0021.32N/AN/A01647162
2014-06-27$25.33$22.5022.7%6.5%19.3%30.7%22.7%-2.8%1.2%59.2K-1.0M-2.0K0.0021.19N/AN/A10647163
2014-06-30$25.48$22.5023.2%6.6%18.6%32.6%0.0%20.1%1.0%63.8K-1.1M-1.9K0.0081.38N/AN/A00648163