BHE Options History — September 2014 In September 2014, BHE traded between $22.21 and $24.73. ATM implied volatility averaged 22.0%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.5% (HV 20d: 16.5%). 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 19 of 21 days. Put/call ratio averaged 0.34.
Notable Days 2014-09-23 : Highest Volume — 60 contracts2014-09-11 : Largest IV spike — 16.1% change2014-09-16 : Highest IV Rank — 42.5%2014-09-30 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $23.53 $22.21 $24.73 $24.63 $22.21 Max Pain $24.86 $22.50 $25.00 $22.50 $25.00 ATM IV 22.0% 18.2% 24.9% 21.6% 24.6% Expected Move 7.0% 6.8% 7.1% 7.0% 7.1% HV 20d 16.5% 14.4% 19.1% 19.1% 16.0% HV 60d 21.3% 20.7% 21.9% 21.9% 21.6% IV Rank 31.2% 16.8% 42.5% 29.9% 41.1% IV Percentile 27.2% 3.2% 55.6% 19.0% 52.4% Term Structure 1.9% -1.0% 3.5% -0.1% 1.5% VWIV 24.3% 23.9% 24.6% 24.4% 24.5% Skew 25d 5.1% -4.0% 43.5% -3.8% 0.4% Skew 10d 9.2% -8.9% 56.8% -8.4% 0.8% Call IV 25d 21.4% 15.3% 26.4% 26.4% 24.5% Put IV 25d 26.5% 18.0% 69.1% 22.6% 24.9% Bid-Ask Spread % 70.30 63.10 74.63 69.00 71.41 Gamma HHI 0.64 0.49 0.78 0.73 0.78 Net GEX 29.9K 18.7K 42.5K 40.4K 22.7K Net DEX -315.1K -537.6K -146.4K -524.9K -146.4K Net VEX -1.0K -1.2K -794 -1.2K -836 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.34 0.00 2.33 0.00 0.21 Total Volume 9.667 0 60 0 41 Total OI 539.857 474 560 532 547
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-09-02 $24.63 $0.00 21.6% 7.0% 19.1% 29.9% 0.0% -3.8% -0.1% 40.4K -524.9K -1.2K 0.00 69.00 N/A N/A 0 0 446 86 2014-09-03 $24.73 $0.00 20.4% 6.9% 18.9% 25.5% 0.0% 43.5% 2.0% 42.5K -537.6K -1.2K 0.00 69.63 N/A N/A 0 0 446 86 2014-09-04 $24.62 $0.00 21.4% 6.9% 18.8% 29.0% 24.4% -3.3% 0.2% 41.9K -524.9K -1.1K 0.00 67.61 N/A N/A 0 7 446 86 2014-09-05 $24.40 $22.50 18.8% 6.9% 18.1% 19.1% 24.1% -4.0% 2.2% 40.7K -472.4K -1.2K 0.00 69.96 N/A N/A 0 10 446 93 2014-09-08 $24.37 $25.00 19.3% 6.9% 18.0% 21.1% 0.0% 1.1% 3.2% 41.0K -443.5K -1.2K 0.00 63.10 N/A N/A 2 0 446 103 2014-09-09 $24.04 $25.00 18.8% 6.9% 17.6% 19.1% 24.4% -0.5% 2.3% 36.1K -377.6K -1.1K 0.00 69.10 N/A N/A 2 0 448 103 2014-09-10 $24.08 $25.00 18.2% 6.9% 16.6% 16.8% 0.0% 1.4% 3.0% 36.8K -381.9K -1.1K 0.00 67.36 N/A N/A 14 0 450 103 2014-09-11 $24.13 $25.00 21.1% 6.8% 15.8% 27.9% 0.0% 3.1% 3.4% 37.7K -397.5K -1.1K 0.00 67.62 N/A N/A 0 0 454 103 2014-09-12 $23.97 $25.00 20.8% 6.9% 15.8% 26.8% 0.0% 3.6% 2.6% 34.7K -369.0K -1.1K 0.00 70.99 N/A N/A 0 0 454 103 2014-09-15 $23.53 $25.00 23.3% 7.1% 17.0% 36.1% 0.0% -1.1% -1.0% 26.4K -297.5K -997 0.00 69.85 N/A N/A 0 0 454 103 2014-09-16 $23.65 $25.00 24.9% 7.1% 16.2% 42.5% 23.9% 9.5% 0.1% 27.1K -298.7K -982 0.50 72.30 N/A N/A 2 1 454 103 2014-09-17 $23.51 $25.00 22.3% 7.1% 16.2% 32.6% 24.6% 6.5% 2.6% 25.3K -293.4K -945 0.00 72.58 N/A N/A 0 2 456 104 2014-09-18 $23.65 $25.00 23.7% 7.1% 16.1% 38.0% 0.0% 7.6% 1.3% 26.0K -308.7K -950 0.00 74.45 N/A N/A 5 0 454 106 2014-09-19 $23.04 $25.00 21.9% 6.9% 15.4% 30.8% 0.0% 4.5% 2.2% 21.2K -224.2K -882 0.00 68.19 N/A N/A 0 0 454 106 2014-09-22 $22.75 $25.00 24.0% 7.0% 15.3% 39.1% 0.0% 4.0% 2.1% 19.2K -183.8K -834 0.00 72.09 N/A N/A 15 0 370 104 2014-09-23 $22.72 $25.00 23.5% 7.0% 15.3% 37.0% 0.0% 3.9% 2.0% 18.7K -163.3K -794 2.33 72.28 N/A N/A 18 42 370 104 2014-09-24 $22.75 $25.00 22.9% 7.0% 14.4% 34.6% 0.0% 25.4% 3.3% 19.3K -158.2K -838 0.00 73.32 N/A N/A 42 0 380 125 2014-09-25 $22.31 $25.00 23.7% 7.0% 15.2% 37.9% 0.0% 0.5% 1.1% 22.1K -156.4K -920 0.00 69.86 N/A N/A 0 0 422 125 2014-09-26 $22.43 $25.00 22.6% 7.1% 15.6% 33.6% 0.0% 2.6% 3.5% 23.1K -157.4K -886 0.00 74.63 N/A N/A 0 0 422 125 2014-09-29 $22.62 $25.00 23.5% 7.1% 15.3% 36.9% 0.0% 1.8% 2.3% 24.9K -199.3K -880 0.00 71.01 N/A N/A 0 0 422 125 2014-09-30 $22.21 $25.00 24.6% 7.1% 16.0% 41.1% 24.5% 0.4% 1.5% 22.7K -146.4K -836 0.21 71.41 N/A N/A 34 7 422 125
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