BHE Options History — April 2015

In April 2015, BHE traded between $23.55 and $24.93. ATM implied volatility averaged 35.2%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 16.5% (HV 20d: 18.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2015-04-20: Highest Volume — 129 contracts
  • 2015-04-28: Largest IV spike — 119.5% change
  • 2015-04-29: Highest IV Rank — 60.1%
  • 2015-04-02: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.46$23.55$24.93$24.33$23.55
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV35.2%19.5%64.7%52.9%36.6%
Expected Move10.9%5.6%23.0%15.2%10.5%
HV 20d18.8%16.7%20.6%20.4%18.4%
HV 60d22.1%17.8%22.7%22.6%17.8%
IV Rank26.3%8.3%60.1%46.6%27.9%
IV Percentile69.4%12.3%98.8%97.6%89.7%
Term Structure5.5%-41.3%46.1%39.9%25.4%
VWIV31.9%17.0%96.9%50.4%31.7%
Skew 25d7.3%-45.5%50.7%17.9%2.9%
Skew 10d-2.8%-89.3%37.7%-1.7%0.8%
Call IV 25d50.1%21.9%110.4%29.4%32.3%
Put IV 25d57.4%21.6%156.9%47.3%35.1%
Bid-Ask Spread %128.0875.90147.54133.97129.40
Gamma HHI0.780.560.960.750.65
Net GEX26.1K4.4K113.6K21.2K7.4K
Net DEX-175.5K-329.6K-55.5K-216.1K-55.5K
Net VEX-820-1.2K-553-1.1K-638
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.421.400.980.50
Total Volume110.3810129119114
Total OI395.714186539521234

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$24.33$25.0052.9%15.2%20.4%46.6%50.4%17.9%39.9%21.2K-216.1K-1.1K0.98133.97N/AN/A6059358163
2015-04-02$24.46$25.0021.2%23.0%20.4%10.2%96.9%0.0%-41.3%30.5K-242.8K-1.2K0.98141.12N/AN/A6059358163
2015-04-06$24.48$25.0028.5%6.5%19.8%18.7%25.5%4.3%-5.4%36.4K-243.3K-9900.98119.91N/AN/A6059358163
2015-04-07$24.34$25.0021.5%6.8%20.0%10.6%26.8%2.8%-3.8%35.5K-180.8K-9240.98116.94N/AN/A6059358163
2015-04-08$24.51$25.0027.3%7.8%18.6%17.2%0.0%-6.3%-4.4%37.3K-228.2K-9340.00126.67N/AN/A00354163
2015-04-09$24.41$25.0026.3%7.6%18.8%16.1%25.9%2.9%-2.4%38.2K-198.6K-8800.9875.90N/AN/A6059358163
2015-04-10$24.74$25.0019.8%5.7%18.1%8.7%19.8%6.7%1.5%50.5K-255.7K-8560.98101.37N/AN/A6059358163
2015-04-13$24.51$25.0023.1%6.6%18.4%12.4%23.2%-4.7%-1.1%48.2K-202.7K-7531.40124.00N/AN/A4259358163
2015-04-14$24.50$25.0049.0%14.1%17.7%42.1%43.4%16.6%-0.1%38.4K-229.1K-8231.40140.15N/AN/A4259358158
2015-04-15$24.93$25.0054.0%15.5%18.7%47.9%37.1%8.5%4.6%13.1K-329.6K-8311.37138.91N/AN/A4359358158
2015-04-16$24.79$25.0024.9%7.2%18.5%14.5%25.2%8.8%0.8%113.6K-219.3K-6940.94130.27N/AN/A6359362158
2015-04-17$24.29$25.0027.4%7.9%19.9%17.4%27.4%3.1%-5.5%4.4K-61.7K-6380.93117.39N/AN/A6056381158
2015-04-20$24.80$25.0059.4%17.0%20.5%54.0%41.1%30.4%27.3%4.5K-87.2K-5530.42131.23N/AN/A913812759
2015-04-21$24.75$25.0019.5%5.6%20.4%8.3%19.2%-3.1%46.1%12.2K-147.8K-8110.48132.62N/AN/A793817259
2015-04-22$24.54$25.0026.8%7.7%20.6%16.7%26.0%30.3%-1.6%10.3K-109.3K-7500.48135.78N/AN/A793817559
2015-04-23$24.50$25.0023.8%6.8%17.1%13.2%24.6%-45.5%-1.5%12.5K-162.6K-7450.48131.68N/AN/A793817559
2015-04-24$24.30$25.0042.6%12.2%17.3%34.7%33.9%-22.1%-15.2%10.3K-125.2K-7360.48137.97N/AN/A793817559
2015-04-27$24.29$25.0028.3%8.1%17.0%18.4%18.4%4.6%3.3%10.0K-114.5K-7600.48134.22N/AN/A793817559
2015-04-28$24.49$25.0062.2%17.8%16.9%57.3%17.0%44.9%4.9%7.2K-133.8K-7520.48142.55N/AN/A793817559
2015-04-29$24.14$25.0064.7%18.5%16.7%60.1%24.9%50.7%44.4%7.3K-141.4K-8080.48147.54N/AN/A793817559
2015-04-30$23.55$25.0036.6%10.5%18.4%27.9%31.7%2.9%25.4%7.4K-55.5K-6380.50129.40N/AN/A763817559