BHE Options History — March 2015

In March 2015, BHE traded between $22.94 and $24.93. ATM implied volatility averaged 21.1%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.6% (HV 20d: 16.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2015-03-02: Highest Volume — 205 contracts
  • 2015-03-17: Largest IV spike — 57.7% change
  • 2015-03-30: Highest IV Rank — 15.3%
  • 2015-03-03: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.96$22.94$24.93$23.76$24.07
Max Pain$23.98$22.50$25.00$22.50$25.00
ATM IV21.1%12.3%26.0%17.3%23.2%
Expected Move6.0%3.5%7.5%5.0%6.7%
HV 20d16.4%10.0%29.5%29.5%20.1%
HV 60d22.1%21.3%22.8%22.8%22.6%
IV Rank9.4%0.0%15.3%4.2%12.5%
IV Percentile27.4%0.0%65.9%2.8%42.5%
Term Structure4.7%-2.6%51.3%3.4%20.5%
VWIV21.8%13.1%31.9%24.9%27.1%
Skew 25d9.8%0.0%33.9%10.9%8.2%
Skew 10d14.9%-2.0%49.1%34.9%24.5%
Call IV 25d21.4%14.2%38.2%17.2%25.3%
Put IV 25d31.2%20.7%58.6%28.1%33.4%
Bid-Ask Spread %92.6829.34138.80103.46138.80
Gamma HHI0.790.500.910.890.68
Net GEX21.9K15.0K36.3K19.6K16.9K
Net DEX-224.6K-404.5K-67.9K-210.6K-136.8K
Net VEX-1.2K-1.6K-991-1.5K-991
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.001.461.180.98
Total Volume65.2730205205119
Total OI551.455503585560510

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$23.76$22.5017.3%5.0%29.5%4.2%24.9%10.9%3.4%19.6K-210.6K-1.5K1.18103.46N/AN/A94111382178
2015-03-03$23.70$22.5026.0%7.5%28.5%14.3%25.8%11.4%0.8%20.4K-230.0K-1.6K1.4171.06N/AN/A79111382178
2015-03-04$23.72$22.5021.7%6.2%14.6%9.3%20.4%2.3%2.4%19.7K-233.1K-1.5K1.41107.08N/AN/A79111382178
2015-03-05$23.65$22.5022.1%7.0%10.0%9.8%22.4%3.8%-1.3%19.6K-228.9K-1.4K1.4193.13N/AN/A79111382178
2015-03-06$23.38$22.5023.3%6.2%11.1%11.2%19.9%0.2%0.9%18.2K-157.7K-1.4K1.4650.57N/AN/A76111382178
2015-03-09$23.35$22.5021.8%6.1%11.0%9.4%0.0%0.0%0.9%17.5K-150.9K-1.3K0.0092.44N/AN/A00382178
2015-03-10$22.94$22.5024.6%6.0%12.7%12.6%17.1%5.5%1.3%15.0K-67.9K-1.2K0.1393.85N/AN/A162382178
2015-03-11$23.04$25.0022.7%6.5%12.6%10.5%0.0%20.1%-0.1%18.1K-77.4K-1.2K0.0092.69N/AN/A00398180
2015-03-12$23.52$25.0023.8%6.8%14.4%11.7%14.2%12.2%0.3%17.7K-189.3K-1.3K0.25101.38N/AN/A82398180
2015-03-13$23.69$22.5023.7%6.8%14.0%11.7%0.0%7.6%0.0%19.1K-244.4K-1.3K0.00101.10N/AN/A120406178
2015-03-16$24.06$22.5012.3%3.5%14.8%0.0%13.1%10.6%10.3%19.0K-297.4K-1.2K0.00102.02N/AN/A010397178
2015-03-17$24.08$25.0019.3%5.5%14.8%8.1%0.0%5.0%3.0%21.2K-271.0K-1.2K0.0043.48N/AN/A00397188
2015-03-18$24.35$25.0020.8%6.0%15.1%9.8%21.3%3.9%0.4%24.1K-333.7K-1.2K0.0092.40N/AN/A100397188
2015-03-19$24.41$25.0018.4%5.3%15.0%7.0%0.0%5.4%3.0%26.8K-336.1K-1.1K0.0096.84N/AN/A00387188
2015-03-20$24.82$25.0019.4%5.6%15.6%8.1%19.3%29.1%2.3%25.8K-404.5K-1.1K0.0229.34N/AN/A491387188
2015-03-23$24.93$25.0019.3%5.5%15.3%8.1%0.0%32.2%3.0%36.3K-314.9K-1.2K0.0097.47N/AN/A10340163
2015-03-24$24.88$25.0019.6%5.6%15.1%8.4%19.6%33.9%2.3%36.2K-301.9K-1.2K0.0096.04N/AN/A90340163
2015-03-25$24.11$25.0019.6%5.6%19.4%8.4%0.0%0.1%1.6%24.7K-192.7K-1.2K0.0060.62N/AN/A30349163
2015-03-26$23.99$25.0020.3%5.8%19.4%9.2%20.5%1.4%-0.0%22.8K-152.2K-1.2K1.18100.50N/AN/A5059356163
2015-03-27$24.20$25.0019.0%5.5%19.4%7.8%29.4%5.7%-2.6%16.0K-180.6K-1.2K0.00137.69N/AN/A140357163
2015-03-30$24.45$25.0025.6%7.3%19.2%15.3%31.9%6.3%51.3%26.0K-229.3K-1.2K1.18136.99N/AN/A5059347163
2015-03-31$24.07$25.0023.2%6.7%20.1%12.5%27.1%8.2%20.5%16.9K-136.8K-9910.98138.80N/AN/A6059347163