BHE Options History — January 2015

In January 2015, BHE traded between $24.12 and $25.13. ATM implied volatility averaged 27.4%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 9.6% (HV 20d: 17.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-01-08: Highest Volume — 219 contracts
  • 2015-01-12: Largest IV spike — 32.0% change
  • 2015-01-12: Highest IV Rank — 20.4%
  • 2015-01-08: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.48$24.12$25.13$25.13$24.26
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV27.4%22.7%31.3%26.2%29.1%
Expected Move8.2%7.6%8.6%8.2%8.3%
HV 20d17.8%14.9%21.7%19.5%17.6%
HV 60d20.2%16.8%23.5%23.1%17.0%
IV Rank15.9%10.5%20.4%14.5%17.9%
IV Percentile71.6%38.5%81.3%69.8%81.0%
Term Structure-1.3%-3.4%2.4%2.4%-1.5%
VWIV28.5%26.3%30.1%28.6%29.1%
Skew 25d0.2%-7.3%3.1%-5.0%-7.3%
Skew 10d2.1%-8.1%21.8%-6.9%-8.1%
Call IV 25d28.4%26.3%32.3%32.3%31.3%
Put IV 25d28.6%23.4%32.7%27.4%23.9%
Bid-Ask Spread %93.1286.6199.9092.3499.90
Gamma HHI0.820.700.860.830.85
Net GEX13.4K10.1K17.6K11.2K16.7K
Net DEX-280.7K-430.6K-159.2K-430.6K-196.1K
Net VEX-1.8K-1.9K-1.6K-1.7K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.001.391.070.79
Total Volume122.450219141179
Total OI496.4411586491435

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$25.13$25.0026.2%8.2%19.5%14.5%28.6%-5.0%2.4%11.2K-430.6K-1.7K1.0792.34N/AN/A6873347144
2015-01-05$24.82$25.0026.5%8.4%20.2%14.8%0.0%2.9%-2.5%10.8K-395.2K-1.7K0.0089.69N/AN/A100348144
2015-01-06$24.29$25.0022.7%8.3%21.7%10.5%29.0%2.3%-1.6%11.2K-333.1K-1.6K1.1286.61N/AN/A4955348144
2015-01-07$24.45$25.0024.1%8.6%21.4%12.0%0.0%0.9%-1.6%11.3K-311.5K-1.9K0.0089.17N/AN/A100385179
2015-01-08$24.69$25.0025.7%8.6%19.2%13.9%30.1%2.3%-3.4%10.1K-350.9K-1.9K1.1589.11N/AN/A102117385179
2015-01-09$24.52$25.0023.7%8.1%19.0%11.6%28.2%3.0%-0.9%10.6K-346.4K-1.9K1.1591.39N/AN/A102117385179
2015-01-12$24.49$25.0031.3%8.3%18.5%20.4%28.9%2.0%-1.5%10.7K-316.7K-1.8K1.3991.49N/AN/A84117385179
2015-01-13$24.43$25.0028.2%8.3%18.2%16.9%29.1%2.0%-2.5%12.3K-341.0K-1.9K1.3991.09N/AN/A84117405179
2015-01-14$24.56$25.0028.6%8.2%18.0%17.3%28.6%3.1%-1.4%12.0K-329.0K-1.8K1.2491.80N/AN/A94117405179
2015-01-15$24.43$25.0028.5%8.2%18.0%17.2%28.5%2.2%-0.6%12.2K-322.6K-1.8K1.2495.71N/AN/A94117407179
2015-01-16$24.83$25.0028.1%8.1%18.0%16.7%0.0%-3.3%-1.4%11.8K-382.8K-1.8K0.0095.94N/AN/A00407179
2015-01-20$24.58$25.0029.0%8.3%14.9%17.8%0.0%-4.5%-1.7%14.4K-226.1K-1.7K0.0096.05N/AN/A110295116
2015-01-21$24.12$25.0028.6%8.2%16.2%17.4%0.0%2.2%-2.2%14.7K-163.7K-1.7K0.0092.29N/AN/A00306116
2015-01-22$24.15$25.0026.4%7.6%16.0%14.7%26.3%2.2%0.8%15.1K-159.2K-1.7K0.8792.05N/AN/A10087306116
2015-01-23$24.33$25.0028.2%8.1%15.8%16.9%28.3%1.9%-1.3%15.7K-194.9K-1.8K0.8796.41N/AN/A10087317116
2015-01-26$24.49$25.0027.7%7.9%15.7%16.2%0.0%0.4%-0.9%17.1K-201.3K-1.7K0.0092.59N/AN/A00317116
2015-01-27$24.18$25.0029.0%8.3%15.8%17.8%0.0%-7.1%-1.4%15.9K-188.2K-1.7K0.0099.13N/AN/A00317116
2015-01-28$24.28$25.0028.8%8.3%16.0%17.5%28.8%1.0%-1.8%16.6K-202.2K-1.7K0.7994.34N/AN/A10079317116
2015-01-29$24.63$25.0027.4%7.8%17.0%15.9%27.4%2.9%-0.6%17.6K-221.6K-1.7K0.7995.33N/AN/A10079317118
2015-01-30$24.26$25.0029.1%8.3%17.6%17.9%29.1%-7.3%-1.5%16.7K-196.1K-1.7K0.7999.90N/AN/A10079317118