BHE Options History — February 2015 In February 2015, BHE traded between $22.49 and $24.74. ATM implied volatility averaged 27.2%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 2.5% (HV 20d: 29.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.08.
Notable Days 2015-02-04 : Highest Volume — 271 contracts2015-02-26 : Largest IV spike — 14.1% change2015-02-09 : Highest IV Rank — 19.5%2015-02-19 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $23.11 $22.49 $24.74 $24.74 $23.47 Max Pain $22.89 $22.50 $25.00 $25.00 $22.50 ATM IV 27.2% 23.8% 30.4% 26.3% 26.5% Expected Move 7.6% 6.8% 8.3% 7.5% 7.6% HV 20d 29.7% 18.8% 31.0% 18.8% 29.5% HV 60d 22.6% 17.5% 23.1% 17.5% 22.9% IV Rank 15.7% 11.7% 19.5% 14.6% 14.9% IV Percentile 72.3% 48.0% 83.7% 69.0% 70.2% Term Structure -0.6% -4.0% 2.6% 1.1% -3.2% VWIV 26.3% 22.9% 29.8% 26.3% 24.4% Skew 25d 1.9% -7.1% 11.4% -5.2% 8.0% Skew 10d 0.6% -9.3% 36.3% -9.3% 3.4% Call IV 25d 24.7% 15.2% 35.4% 30.6% 18.0% Put IV 25d 26.5% 23.4% 30.6% 25.4% 26.0% Bid-Ask Spread % 96.91 87.54 103.86 98.44 103.17 Gamma HHI 0.73 0.57 0.90 0.86 0.87 Net GEX 14.5K 9.6K 19.0K 18.9K 17.8K Net DEX -76.7K -238.4K 40.6K -238.4K -187.6K Net VEX -1.5K -1.7K -1.1K -1.7K -1.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.00 1.49 0.00 1.18 Total Volume 195.316 5 271 8 205 Total OI 551.158 433 607 435 560
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 2015-02-02 $24.74 $25.00 26.3% 7.5% 18.8% 14.6% 26.3% -5.2% 1.1% 18.9K -238.4K -1.7K 0.00 98.44 N/A N/A 8 0 317 118 2015-02-03 $23.12 $25.00 26.8% 7.7% 30.2% 15.3% 28.6% -7.1% 1.4% 12.0K -17.6K -1.4K 0.95 90.78 N/A N/A 83 79 315 118 2015-02-04 $22.49 $25.00 26.5% 7.6% 30.7% 14.9% 27.2% 1.7% -1.9% 9.6K 40.6K -1.1K 0.91 97.96 N/A N/A 142 129 320 118 2015-02-05 $22.63 $22.50 29.1% 8.0% 30.7% 17.9% 27.7% 3.1% -1.8% 11.9K -5.3K -1.5K 0.91 89.17 N/A N/A 142 129 387 170 2015-02-06 $22.77 $22.50 29.0% 7.7% 30.5% 17.8% 27.1% -3.3% 0.6% 12.4K -5.8K -1.5K 1.29 92.97 N/A N/A 100 129 387 170 2015-02-09 $22.64 $22.50 30.4% 7.0% 30.5% 19.5% 25.6% 2.5% 0.7% 12.5K -1.6K -1.5K 1.21 89.02 N/A N/A 107 129 390 170 2015-02-10 $22.53 $22.50 30.2% 8.0% 30.5% 19.2% 28.5% -3.8% -0.5% 12.2K 4.5K -1.5K 1.21 94.77 N/A N/A 107 129 400 170 2015-02-11 $22.57 $22.50 27.4% 7.9% 30.6% 15.9% 26.0% 3.3% -0.5% 12.7K -9.7K -1.5K 1.36 96.96 N/A N/A 107 145 400 170 2015-02-12 $22.85 $22.50 28.0% 8.0% 31.0% 16.6% 28.3% -2.3% -0.1% 12.8K -26.9K -1.6K 1.36 95.70 N/A N/A 107 145 400 186 2015-02-13 $22.89 $22.50 26.0% 7.4% 31.0% 14.3% 26.0% -2.6% 0.8% 13.2K -25.9K -1.6K 1.48 92.43 N/A N/A 98 145 400 186 2015-02-17 $22.96 $22.50 27.4% 7.9% 30.3% 15.9% 29.8% -6.2% 2.3% 13.8K -56.8K -1.6K 1.44 87.54 N/A N/A 101 145 401 186 2015-02-18 $22.96 $22.50 28.1% 8.0% 30.2% 16.7% 26.7% 5.1% -1.0% 14.0K -36.6K -1.6K 1.49 99.90 N/A N/A 97 145 415 186 2015-02-19 $23.14 $22.50 28.9% 8.3% 29.9% 17.7% 0.0% 6.7% -1.5% 15.0K -78.0K -1.6K 0.00 98.55 N/A N/A 5 0 421 186 2015-02-20 $23.39 $22.50 26.1% 7.5% 30.2% 14.4% 0.0% 7.7% -4.0% 16.6K -109.4K -1.6K 1.00 100.49 N/A N/A 18 18 416 180 2015-02-23 $23.27 $22.50 24.9% 7.1% 30.0% 13.0% 23.5% 7.0% -1.3% 15.8K -130.9K -1.6K 1.22 103.47 N/A N/A 91 111 374 178 2015-02-24 $23.54 $22.50 25.1% 7.2% 30.3% 13.2% 22.9% 9.3% -0.9% 17.5K -175.7K -1.6K 1.18 103.79 N/A N/A 94 111 379 178 2015-02-25 $23.56 $22.50 23.8% 6.8% 30.0% 11.7% 24.0% 0.3% 2.6% 17.9K -185.0K -1.6K 1.18 102.25 N/A N/A 94 111 382 178 2015-02-26 $23.66 $22.50 27.1% 7.8% 30.0% 15.6% 24.0% 11.4% -3.7% 19.0K -210.7K -1.6K 1.18 103.86 N/A N/A 94 111 382 178 2015-02-27 $23.47 $22.50 26.5% 7.6% 29.5% 14.9% 24.4% 8.0% -3.2% 17.8K -187.6K -1.6K 1.18 103.17 N/A N/A 94 111 382 178
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