BHE Options History — November 2014

In November 2014, BHE traded between $23.68 and $24.27. ATM implied volatility averaged 31.5%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.9% (HV 20d: 24.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.01.

Notable Days

2014-11-03: Highest Volume — 303 contracts
2014-11-07: Largest IV spike — 153.7% change
2014-11-21: Highest IV Rank — 100.0%
2014-11-19: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.95	$23.68	$24.27	$24.01	$23.78
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	31.5%	16.9%	49.1%	29.5%	37.4%
Expected Move	7.3%	6.4%	9.0%	7.0%	6.5%
HV 20d	24.6%	13.2%	33.1%	33.1%	13.5%
HV 60d	22.9%	22.5%	23.9%	23.9%	22.5%
IV Rank	50.9%	9.1%	100.0%	45.5%	66.8%
IV Percentile	67.4%	1.6%	100.0%	85.7%	96.0%
Term Structure	6.6%	-8.1%	58.6%	-7.8%	58.6%
VWIV	27.1%	21.9%	32.6%	21.9%	26.5%
Skew 25d	2.3%	-5.7%	7.5%	5.1%	1.9%
Skew 10d	8.6%	-18.5%	84.3%	16.7%	-0.3%
Call IV 25d	23.6%	16.9%	29.6%	25.4%	21.5%
Put IV 25d	25.9%	20.8%	33.2%	30.5%	23.3%
Bid-Ask Spread %	102.65	83.00	129.52	95.43	122.32
Gamma HHI	0.55	0.46	0.66	0.59	0.47
Net GEX	29.5K	21.0K	45.4K	28.3K	26.5K
Net DEX	-866.5K	-1.0M	-596.0K	-932.6K	-596.0K
Net VEX	-2.0K	-2.5K	-1.5K	-2.1K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.32	1.40	0.32	0.51
Total Volume	114.842	0	303	303	0
Total OI	751	649	793	741	689

Daily Data (19 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
2014-11-03	$24.01	$25.00	29.5%	7.0%	33.1%	45.5%	21.9%	5.1%	-7.8%	28.3K	-932.6K	-2.1K	0.32	95.43	N/A	N/A	230	73	583	158
2014-11-04	$23.96	$25.00	25.2%	7.1%	32.6%	33.1%	25.4%	5.6%	-2.3%	29.5K	-884.1K	-2.2K	1.40	92.08	N/A	N/A	52	73	583	158
2014-11-05	$23.93	$25.00	36.1%	6.9%	32.6%	64.6%	26.1%	-5.7%	-5.6%	29.7K	-900.7K	-2.1K	1.40	92.50	N/A	N/A	52	73	584	158
2014-11-06	$24.02	$25.00	16.9%	7.2%	31.7%	9.1%	24.2%	3.3%	6.0%	27.3K	-935.2K	-2.1K	1.00	86.12	N/A	N/A	72	72	584	158
2014-11-07	$23.96	$25.00	42.9%	7.1%	27.5%	84.2%	27.1%	2.3%	20.5%	30.0K	-893.8K	-2.3K	1.29	98.02	N/A	N/A	63	81	604	162
2014-11-10	$24.08	$25.00	25.1%	7.6%	25.5%	32.9%	27.2%	6.9%	10.3%	27.9K	-964.7K	-1.9K	1.14	92.20	N/A	N/A	63	72	604	180
2014-11-11	$24.09	$25.00	27.1%	7.3%	25.3%	38.6%	27.1%	0.4%	0.4%	31.8K	-920.0K	-2.0K	1.06	96.50	N/A	N/A	68	72	591	162
2014-11-12	$24.27	$25.00	43.9%	7.2%	25.0%	87.2%	28.6%	-0.2%	-0.4%	30.0K	-1.0M	-1.5K	1.06	101.48	N/A	N/A	68	72	604	189
2014-11-13	$23.87	$25.00	20.1%	6.9%	26.4%	18.3%	29.7%	4.4%	9.6%	27.7K	-907.3K	-2.0K	1.06	102.16	N/A	N/A	68	72	604	189
2014-11-14	$23.97	$25.00	34.1%	7.4%	26.4%	58.9%	0.0%	3.9%	11.6%	28.3K	-907.1K	-2.1K	0.00	112.04	N/A	N/A	0	0	604	189
2014-11-17	$23.68	$25.00	22.1%	8.7%	27.0%	24.3%	31.5%	-0.5%	-8.1%	30.6K	-880.8K	-2.0K	1.07	93.78	N/A	N/A	67	72	604	189
2014-11-18	$24.01	$25.00	22.1%	7.0%	27.2%	24.1%	24.8%	0.9%	-2.3%	30.3K	-950.8K	-1.9K	1.07	83.00	N/A	N/A	67	72	604	189
2014-11-19	$23.79	$25.00	45.7%	9.0%	26.9%	92.4%	0.0%	-0.5%	-2.4%	29.1K	-852.3K	-1.9K	0.00	115.28	N/A	N/A	0	0	604	189
2014-11-20	$23.90	$25.00	36.0%	7.1%	20.2%	64.4%	26.0%	-3.4%	-1.7%	45.4K	-921.8K	-1.7K	1.07	109.00	N/A	N/A	67	72	600	183
2014-11-21	$23.88	$25.00	49.1%	8.7%	20.2%	100.0%	32.6%	-1.5%	-2.1%	38.4K	-972.4K	-1.5K	0.63	109.90	N/A	N/A	114	72	600	183
2014-11-24	$24.01	$25.00	21.6%	7.0%	19.7%	22.1%	0.0%	5.1%	9.8%	21.0K	-737.1K	-1.8K	0.00	112.43	N/A	N/A	0	0	508	141
2014-11-25	$23.94	$25.00	20.6%	6.4%	13.3%	19.3%	26.5%	7.5%	1.7%	26.7K	-660.4K	-2.0K	0.51	106.54	N/A	N/A	121	62	508	141
2014-11-26	$23.96	$25.00	42.2%	7.4%	13.2%	80.4%	0.0%	7.5%	30.4%	22.5K	-610.0K	-2.5K	0.00	129.52	N/A	N/A	0	0	528	161
2014-11-28	$23.78	$25.00	37.4%	6.5%	13.5%	66.8%	0.0%	1.9%	58.6%	26.5K	-596.0K	-2.3K	0.00	122.32	N/A	N/A	0	0	528	161