BHE Options History — December 2014

In December 2014, BHE traded between $23.59 and $25.66. ATM implied volatility averaged 39.5%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 21.7% (HV 20d: 17.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2014-12-18: Highest Volume — 247 contracts
  • 2014-12-10: Largest IV spike — 158.6% change
  • 2014-12-10: Highest IV Rank — 100.0%
  • 2014-12-24: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.65$23.59$25.66$23.59$25.44
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV39.5%17.4%99.5%24.0%22.6%
Expected Move9.1%5.6%19.4%7.3%7.8%
HV 20d17.7%12.3%20.5%12.3%19.8%
HV 60d23.1%22.5%23.8%22.5%23.2%
IV Rank44.2%10.4%100.0%29.0%10.4%
IV Percentile62.5%2.8%100.0%48.8%36.1%
Term Structure-2.7%-41.1%62.7%1.5%4.4%
VWIV29.3%23.5%55.9%24.6%26.3%
Skew 25d5.6%-23.4%95.6%1.4%-5.0%
Skew 10d13.9%-10.6%141.5%1.8%-4.0%
Call IV 25d31.5%17.6%46.9%20.8%29.1%
Put IV 25d37.1%16.8%132.8%22.2%24.1%
Bid-Ask Spread %110.8485.28141.1785.2895.23
Gamma HHI0.630.440.850.500.80
Net GEX20.5K6.6K35.4K31.2K11.1K
Net DEX-675.4K-912.9K-383.4K-610.2K-490.1K
Net VEX-1.9K-2.3K-1.7K-2.1K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.001.350.500.07
Total Volume158.27302471860
Total OI657.864461752689491

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$23.59$25.0024.0%7.3%12.3%29.0%24.6%1.4%1.5%31.2K-610.2K-2.1K0.5085.28N/AN/A12462528161
2014-12-02$23.90$25.0018.7%7.3%12.5%13.9%25.8%2.4%4.8%27.3K-704.1K-2.0K0.5586.15N/AN/A13273531161
2014-12-03$24.37$25.0017.4%5.6%14.3%10.4%24.6%7.5%62.7%23.5K-772.2K-2.2K0.61118.02N/AN/A13582542172
2014-12-04$24.38$25.0019.2%6.9%14.3%15.5%0.0%0.4%3.1%26.3K-823.1K-2.0K0.0096.11N/AN/A00565183
2014-12-05$24.42$25.0018.7%7.1%14.2%14.0%25.4%2.5%1.7%24.9K-844.6K-2.0K0.6194.80N/AN/A13582565183
2014-12-08$24.16$25.0023.7%6.9%14.8%28.2%24.1%0.9%-0.6%26.6K-782.0K-2.0K0.61100.83N/AN/A13582565183
2014-12-09$24.85$25.0022.7%6.6%17.7%25.3%23.5%3.2%-1.6%27.5K-893.2K-1.8K0.6193.60N/AN/A13582565183
2014-12-10$24.59$25.0058.7%7.7%18.2%100.0%29.7%-5.4%0.4%20.1K-852.4K-1.8K0.61128.83N/AN/A13582565183
2014-12-11$24.31$25.0050.7%6.9%18.6%82.2%30.4%-23.4%-14.2%15.5K-821.3K-2.0K0.63133.35N/AN/A13082565183
2014-12-12$24.10$25.0060.4%8.2%17.8%100.0%29.5%-9.9%-32.2%27.8K-672.9K-2.3K0.63115.85N/AN/A13082569183
2014-12-15$23.92$25.0027.3%7.6%18.0%29.0%26.8%3.9%-1.0%26.9K-737.0K-1.9K0.6388.76N/AN/A13082569183
2014-12-16$23.79$25.0057.4%8.5%17.5%93.5%32.8%-8.8%-23.6%26.4K-666.0K-2.1K0.63127.43N/AN/A13082569182
2014-12-17$24.18$25.0081.5%12.7%17.8%100.0%55.9%71.5%-41.1%19.8K-660.0K-2.1K0.63141.17N/AN/A13082569182
2014-12-18$24.92$25.0047.4%10.6%20.3%49.7%35.2%27.1%-9.3%35.4K-905.9K-1.7K0.59123.57N/AN/A15592569182
2014-12-19$24.91$25.0027.1%8.0%20.3%19.8%28.3%-4.1%1.1%23.4K-912.9K-1.8K0.00111.11N/AN/A10559192
2014-12-22$25.07$0.0040.6%14.1%20.3%39.7%0.0%-7.3%8.3%8.4K-395.2K-1.9K1.35134.78N/AN/A5473328133
2014-12-23$25.30$0.0099.5%17.3%20.5%100.0%0.0%95.6%-31.3%6.6K-409.5K-2.0K1.18140.00N/AN/A6172328133
2014-12-24$25.50$0.0079.0%19.4%20.4%76.1%0.0%-19.8%0.1%9.3K-383.4K-2.1K1.18135.05N/AN/A6172348143
2014-12-26$25.66$0.0024.4%7.9%20.4%12.4%0.0%-1.4%3.4%10.4K-518.2K-1.8K1.0396.57N/AN/A7072348143
2014-12-29$25.48$0.0023.7%7.6%20.4%11.6%26.3%-3.5%2.2%9.9K-495.4K-1.8K0.9996.98N/AN/A7473348143
2014-12-30$25.52$25.0023.7%7.5%20.0%11.6%26.3%-4.0%2.5%11.5K-509.0K-1.7K0.0795.07N/AN/A151352144
2014-12-31$25.44$25.0022.6%7.8%19.8%10.4%0.0%-5.0%4.4%11.1K-490.1K-1.7K0.0095.23N/AN/A00347144