BHE Options History — July 2014

In July 2014, BHE traded between $23.85 and $25.81. ATM implied volatility averaged 22.8%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.3% (HV 20d: 19.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-07-21: Highest Volume — 512 contracts
  • 2014-07-07: Largest IV drop — 25.9% change
  • 2014-07-22: Highest IV Rank — 44.1%
  • 2014-07-22: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.82$23.85$25.81$25.79$24.15
Max Pain$24.66$22.50$25.00$22.50$25.00
ATM IV22.8%17.5%26.3%20.5%19.2%
Expected Move6.8%5.5%7.5%5.9%5.5%
HV 20d19.6%16.0%27.9%18.7%27.9%
HV 60d22.8%20.6%24.3%24.2%23.6%
IV Rank30.3%10.1%44.1%21.8%15.5%
IV Percentile28.4%1.6%71.4%6.7%4.0%
Term Structure-0.3%-2.6%5.3%5.3%-0.2%
VWIV23.7%19.5%26.2%19.5%23.2%
Skew 25d-1.1%-6.1%39.3%-1.9%-1.8%
Skew 10d-0.2%-11.1%56.0%-1.2%-11.1%
Call IV 25d25.1%22.0%28.2%23.8%22.0%
Put IV 25d24.0%18.1%66.4%21.9%20.2%
Bid-Ask Spread %88.0248.21102.9362.2495.91
Gamma HHI0.820.410.900.790.87
Net GEX82.2K13.7K127.8K55.6K97.8K
Net DEX-860.3K-1.2M-358.6K-1.2M-607.8K
Net VEX-1.8K-2.5K-1.2K-1.7K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume27.8640512250
Total OI815.636368897811897

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$25.79$22.5020.5%5.9%18.7%21.8%19.5%-1.9%5.3%55.6K-1.2M-1.7K0.0062.24N/AN/A250648163
2014-07-02$25.59$22.5020.1%5.8%19.2%20.5%0.0%-4.5%4.1%62.1K-1.2M-1.8K0.0048.21N/AN/A00641163
2014-07-03$25.81$22.5023.7%6.8%16.2%34.6%0.0%-2.4%1.7%56.0K-1.2M-1.6K0.00102.93N/AN/A30641163
2014-07-07$25.56$25.0017.5%7.4%16.9%10.1%25.6%0.9%-2.2%75.7K-1.2M-1.6K0.0093.74N/AN/A130643163
2014-07-08$25.18$25.0020.9%7.1%17.1%22.3%0.0%-1.8%-1.3%82.6K-1.0M-1.7K0.0059.02N/AN/A10646163
2014-07-09$25.06$25.0020.7%7.1%16.7%21.3%0.0%-2.1%-1.0%87.2K-1.0M-1.7K0.0094.12N/AN/A00647163
2014-07-10$24.80$25.0024.4%7.0%16.8%36.3%0.0%-3.4%0.1%89.8K-894.7K-1.7K0.0095.42N/AN/A10647163
2014-07-11$24.78$25.0024.6%7.1%16.5%37.3%0.0%-4.1%-1.3%89.7K-849.8K-1.7K0.0096.27N/AN/A00646163
2014-07-14$24.75$25.0024.5%7.0%16.3%36.8%0.0%-3.2%-1.1%115.4K-882.7K-1.5K0.0096.70N/AN/A10646163
2014-07-15$24.50$25.0024.9%7.1%16.3%38.4%0.0%-5.0%-1.8%89.6K-675.0K-1.4K0.0095.35N/AN/A00645163
2014-07-16$24.27$25.0025.9%7.4%16.0%42.3%0.0%1.7%-2.6%60.7K-614.2K-1.3K0.0087.40N/AN/A00645163
2014-07-17$23.85$25.0023.3%6.7%16.8%31.8%0.0%2.3%1.7%29.9K-513.2K-1.3K0.0079.55N/AN/A170635163
2014-07-18$24.56$25.0023.7%6.8%20.0%33.4%23.6%-5.0%-0.1%92.9K-638.1K-1.3K0.0097.99N/AN/A110647160
2014-07-21$24.67$25.0025.6%7.3%17.4%41.1%25.6%-6.1%-1.9%13.7K-358.6K-1.2K0.0094.96N/AN/A512029474
2014-07-22$25.01$25.0026.3%7.5%18.2%44.1%0.0%-3.6%-2.0%87.2K-1.0M-2.5K0.0080.26N/AN/A5079574
2014-07-23$24.77$25.0026.2%7.5%18.5%43.6%26.2%-5.0%-2.1%88.0K-948.4K-2.5K0.0095.10N/AN/A0480074
2014-07-24$23.96$25.0022.9%6.6%21.7%30.5%22.5%-5.5%-0.9%81.1K-608.8K-2.2K0.0067.05N/AN/A0380078
2014-07-25$24.89$25.0020.4%5.8%25.9%20.1%0.0%-3.6%1.6%113.2K-974.6K-2.4K0.0094.83N/AN/A01180080
2014-07-28$24.62$25.0023.2%6.6%25.9%31.4%23.2%-4.5%-1.3%103.5K-822.8K-2.3K0.0099.55N/AN/A6080091
2014-07-29$24.52$25.0022.5%6.4%25.8%28.6%0.0%-4.2%-1.2%110.1K-845.9K-2.3K0.0099.83N/AN/A0080691
2014-07-30$24.90$25.0021.3%6.1%26.0%23.9%0.0%39.3%0.8%127.8K-920.9K-2.2K0.00100.00N/AN/A0080691
2014-07-31$24.15$25.0019.2%5.5%27.9%15.5%0.0%-1.8%-0.2%97.8K-607.8K-2.0K0.0095.91N/AN/A0080691