BHE Options History — August 2014

In August 2014, BHE traded between $23.91 and $24.86. ATM implied volatility averaged 19.9%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 6.2% (HV 20d: 26.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2014-08-21: Highest Volume — 73 contracts
  • 2014-08-12: Largest IV spike — 67.5% change
  • 2014-08-12: Highest IV Rank — 56.1%
  • 2014-08-29: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.34$23.91$24.86$23.91$24.63
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV19.9%13.7%28.5%16.7%18.7%
Expected Move6.5%4.8%7.1%4.8%7.1%
HV 20d26.1%19.2%29.7%27.7%19.2%
HV 60d22.6%21.9%23.7%23.7%21.9%
IV Rank22.6%0.0%56.1%5.3%19.0%
IV Percentile12.1%0.0%85.3%0.8%4.8%
Term Structure1.3%-0.6%5.5%5.5%2.6%
VWIV22.2%21.7%22.6%21.7%22.6%
Skew 25d2.0%-6.2%38.0%2.0%38.0%
Skew 10d2.4%-10.4%49.0%-3.8%49.0%
Call IV 25d22.5%17.3%25.0%17.3%23.5%
Put IV 25d24.5%16.1%61.5%19.3%61.5%
Bid-Ask Spread %80.1361.19100.08100.0872.61
Gamma HHI0.750.540.920.830.65
Net GEX65.0K20.3K149.5K78.0K34.0K
Net DEX-437.6K-579.7K-350.3K-420.4K-453.6K
Net VEX-1.3K-1.8K-1.0K-1.7K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.003.000.000.00
Total Volume12.381073050
Total OI692.952417931897482

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$23.91$25.0016.7%4.8%27.7%5.3%0.0%2.0%5.5%78.0K-420.4K-1.7K0.00100.08N/AN/A0080691
2014-08-04$24.04$25.0018.0%6.3%27.8%10.4%0.0%2.7%0.9%88.8K-443.9K-1.7K0.0086.94N/AN/A4080691
2014-08-05$24.28$25.0017.0%6.4%27.8%6.3%0.0%2.4%0.3%116.7K-534.0K-1.7K0.0085.93N/AN/A0081091
2014-08-06$24.46$25.0013.7%6.3%27.9%0.0%0.0%2.8%1.6%149.5K-579.7K-1.8K3.0091.56N/AN/A1381091
2014-08-07$24.06$25.0020.0%6.3%28.3%23.6%0.0%1.1%1.0%90.3K-443.3K-1.6K0.0086.77N/AN/A0081091
2014-08-08$23.94$25.0019.9%6.3%28.3%23.5%0.0%1.5%1.0%76.5K-394.7K-1.5K0.0081.57N/AN/A0081091
2014-08-11$24.36$25.0017.0%6.3%29.1%12.4%21.7%1.8%0.2%125.0K-457.1K-1.4K0.0092.60N/AN/A13081091
2014-08-12$23.96$25.0028.5%6.5%29.5%56.1%22.3%0.1%0.7%73.6K-370.5K-1.3K0.0094.79N/AN/A23081791
2014-08-13$24.29$25.0022.1%6.3%29.7%31.5%22.1%-5.6%0.4%109.6K-439.6K-1.4K0.0096.03N/AN/A3084091
2014-08-14$24.11$25.0022.6%6.5%29.2%33.7%22.6%-6.0%-0.6%91.4K-429.4K-1.3K0.0097.57N/AN/A0283791
2014-08-15$24.13$25.0020.9%6.0%27.1%27.2%0.0%1.3%0.6%94.2K-424.6K-1.2K0.0093.46N/AN/A3083793
2014-08-18$24.48$0.0019.9%6.8%27.6%23.4%0.0%-4.7%1.7%20.3K-370.9K-1.1K0.0068.22N/AN/A50033186
2014-08-19$24.53$0.0020.4%6.9%27.1%25.2%0.0%-3.7%1.4%20.6K-386.5K-1.1K0.0068.44N/AN/A0033386
2014-08-20$24.26$0.0020.6%6.6%27.2%25.9%0.0%-6.2%1.2%20.5K-350.3K-1.1K0.0070.42N/AN/A01033386
2014-08-21$24.86$0.0021.2%6.9%25.8%28.3%0.0%-2.6%0.5%20.9K-419.5K-1.0K0.1667.62N/AN/A631033396
2014-08-22$24.54$0.0020.2%6.9%22.4%24.4%0.0%-4.4%1.5%28.1K-425.1K-1.2K0.0064.67N/AN/A20037686
2014-08-25$24.57$0.0022.6%6.9%22.1%33.5%0.0%-4.0%-0.4%29.6K-460.6K-1.2K0.0068.44N/AN/A0039686
2014-08-26$24.83$0.0020.1%6.9%22.4%24.0%0.0%32.1%2.1%32.5K-497.4K-1.1K0.0069.21N/AN/A2039686
2014-08-27$24.55$0.0019.6%6.8%22.0%22.1%0.0%-4.6%2.1%32.5K-463.6K-1.1K0.0061.19N/AN/A3039686
2014-08-28$24.36$0.0018.4%7.0%19.3%17.6%0.0%-2.1%2.4%32.7K-424.0K-1.1K0.0064.50N/AN/A0039686
2014-08-29$24.63$0.0018.7%7.1%19.2%19.0%0.0%38.0%2.6%34.0K-453.6K-1.1K0.0072.61N/AN/A50039686