BHE Options History — October 2014

In October 2014, BHE traded between $20.55 and $23.73. ATM implied volatility averaged 28.3%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.3% (HV 20d: 23.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.60.

Notable Days

  • 2014-10-23: Highest Volume — 380 contracts
  • 2014-10-29: Largest IV spike — 65.9% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-27: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.97$20.55$23.73$22.17$23.73
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV28.3%18.9%48.3%24.2%24.7%
Expected Move7.3%6.2%8.6%7.0%7.3%
HV 20d23.0%15.7%32.9%15.7%32.9%
HV 60d22.0%20.0%23.8%21.4%23.8%
IV Rank47.4%15.1%100.0%39.7%31.6%
IV Percentile60.9%6.7%100.0%47.6%58.3%
Term Structure-2.6%-30.9%4.1%2.6%2.1%
VWIV25.4%22.7%29.3%24.3%25.2%
Skew 25d4.7%-1.5%15.0%-0.5%3.1%
Skew 10d5.3%-3.1%22.5%-1.2%-0.6%
Call IV 25d24.4%15.5%31.9%25.0%24.4%
Put IV 25d29.1%21.1%35.4%24.5%27.5%
Bid-Ask Spread %83.2069.59114.7772.2180.44
Gamma HHI0.700.330.970.880.63
Net GEX22.0K7.4K37.8K24.2K28.7K
Net DEX-245.1K-820.4K6.9K-145.8K-820.4K
Net VEX-1.3K-2.5K-718-911-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.001.440.400.30
Total Volume171.73903807318
Total OI616.565293731578731

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$22.17$25.0024.2%7.0%15.7%39.7%0.0%-0.5%2.6%24.2K-145.8K-9110.4072.21N/AN/A52453125
2014-10-02$22.28$25.0025.0%7.1%16.1%42.7%0.0%0.6%2.2%25.9K-180.3K-9470.0073.14N/AN/A00458127
2014-10-03$22.28$25.0025.0%7.1%16.1%42.7%0.0%1.1%1.3%27.1K-195.0K-9350.0071.69N/AN/A00458127
2014-10-06$22.35$25.0025.9%7.2%16.3%46.3%0.0%8.5%-2.5%27.9K-188.3K-8740.6772.86N/AN/A64458127
2014-10-07$22.06$25.0022.5%7.2%16.3%33.4%0.0%-0.7%-1.8%27.1K-137.6K-8540.0072.01N/AN/A330464131
2014-10-08$22.17$25.0024.0%7.0%16.5%38.9%24.3%7.3%-3.3%31.7K-154.5K-9200.8570.50N/AN/A9379497131
2014-10-09$21.81$25.0023.8%7.2%16.8%38.3%25.1%4.2%-3.2%27.1K-114.7K-8960.9769.59N/AN/A9390505131
2014-10-10$20.99$25.0024.6%7.1%20.6%41.2%24.9%1.0%-4.0%13.5K1.1K-7900.9770.89N/AN/A9390511141
2014-10-13$20.55$25.0038.3%7.6%20.8%93.4%25.4%-1.5%-3.9%10.6K6.9K-7500.9171.45N/AN/A9990546140
2014-10-14$20.95$25.0040.0%8.0%22.4%99.7%26.3%2.5%-0.2%12.5K-21.2K-7501.3679.55N/AN/A6690510140
2014-10-15$20.88$25.0048.3%8.3%22.4%100.0%27.8%4.8%-3.6%8.3K-5.9K-7401.4483.77N/AN/A6695511144
2014-10-16$20.98$25.0036.2%8.1%22.4%64.9%0.0%4.7%-4.2%7.4K-30.0K-7860.0073.88N/AN/A70507140
2014-10-17$21.10$25.0031.5%7.8%21.4%51.3%0.0%3.1%-4.2%10.4K-51.3K-7970.0079.19N/AN/A00514140
2014-10-20$21.44$25.0023.6%7.5%22.3%28.5%22.7%8.5%-1.2%9.7K-52.6K-7180.4983.71N/AN/A1527420093
2014-10-21$21.54$25.0028.0%7.1%22.5%41.2%24.2%6.4%-4.0%11.8K-111.6K-1.3K0.6983.36N/AN/A10874307113
2014-10-22$21.28$25.0024.2%7.3%22.7%30.2%25.2%6.1%0.4%16.4K-205.8K-1.6K0.85106.17N/AN/A8774376113
2014-10-23$22.44$25.0022.5%6.8%29.4%25.4%23.8%7.9%-0.5%20.1K-258.2K-1.5K0.3391.67N/AN/A28694377113
2014-10-24$22.40$25.0021.6%6.9%29.4%22.8%23.1%8.6%-1.3%37.8K-474.7K-2.5K0.4090.79N/AN/A23594573143
2014-10-27$22.20$25.0021.4%8.6%29.4%22.1%26.9%-1.4%-3.4%36.0K-464.8K-2.4K0.4097.28N/AN/A23594573149
2014-10-28$23.18$25.0018.9%6.9%32.5%15.1%24.4%9.3%0.8%34.1K-637.2K-2.3K0.3197.66N/AN/A23573573149
2014-10-29$23.17$25.0031.4%6.7%32.5%51.1%27.3%10.2%4.1%29.2K-667.9K-2.4K0.31114.77N/AN/A23573573158
2014-10-30$23.31$25.0044.6%6.2%32.5%89.2%29.3%15.0%-30.9%28.8K-728.2K-2.4K0.31106.91N/AN/A23573573158
2014-10-31$23.73$25.0024.7%7.3%32.9%31.6%25.2%3.1%2.1%28.7K-820.4K-2.3K0.3080.44N/AN/A24573573158