BHE Options History — May 2015

In May 2015, BHE traded between $23.28 and $24.40. ATM implied volatility averaged 50.3%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 31.2% (HV 20d: 19.1%). 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 15 of 20 days. Put/call ratio averaged 0.49.

Notable Days

2015-05-26: Highest Volume — 202 contracts
2015-05-26: Largest IV spike — 425.6% change
2015-05-05: Highest IV Rank — 100.0%
2015-05-26: Largest Expected Move — 27.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.89	$23.28	$24.40	$23.97	$23.28
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	50.3%	18.1%	159.2%	20.8%	75.8%
Expected Move	9.4%	4.7%	27.4%	6.0%	21.7%
HV 20d	19.1%	17.0%	20.7%	19.5%	17.0%
HV 60d	17.8%	17.1%	18.4%	17.2%	18.4%
IV Rank	27.6%	4.0%	100.0%	9.8%	43.2%
IV Percentile	70.1%	4.8%	100.0%	21.0%	97.6%
Term Structure	5.3%	-18.9%	27.3%	2.9%	10.3%
VWIV	25.0%	13.6%	51.7%	19.7%	51.7%
Skew 25d	19.2%	-5.7%	69.4%	3.5%	5.2%
Skew 10d	4.4%	-17.2%	27.3%	-17.2%	16.6%
Call IV 25d	31.6%	13.9%	87.1%	20.6%	51.7%
Put IV 25d	50.8%	17.7%	137.6%	24.1%	57.0%
Bid-Ask Spread %	126.48	82.06	144.34	117.05	139.88
Gamma HHI	0.57	0.39	0.76	0.69	0.47
Net GEX	5.2K	189	11.2K	8.3K	189
Net DEX	-52.2K	-88.1K	14.2K	-65.0K	14.2K
Net VEX	-757	-1.3K	-489	-612	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.21	0.76	0.49	0.76
Total Volume	109.7	0	202	115	185
Total OI	244.6	204	346	216	346

Daily Data (20 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
2015-05-01	$23.97	$25.00	20.8%	6.0%	19.5%	9.8%	19.7%	3.5%	2.9%	8.3K	-65.0K	-612	0.49	117.05	N/A	N/A	77	38	157	59
2015-05-04	$24.00	$0.00	75.4%	7.7%	19.5%	72.4%	0.0%	50.3%	-10.7%	4.9K	-82.2K	-605	0.00	140.01	N/A	N/A	0	2	153	59
2015-05-05	$23.51	$0.00	159.2%	9.5%	20.7%	100.0%	0.0%	8.5%	5.9%	3.3K	-67.2K	-527	0.29	131.17	N/A	N/A	77	22	149	59
2015-05-06	$23.53	$0.00	41.7%	5.3%	20.5%	20.0%	0.0%	-0.4%	6.0%	5.0K	-44.7K	-536	0.29	113.12	N/A	N/A	77	22	149	59
2015-05-07	$23.68	$0.00	85.8%	6.9%	20.7%	50.0%	0.0%	8.3%	-3.2%	4.5K	-50.2K	-505	0.29	133.52	N/A	N/A	77	22	149	59
2015-05-08	$24.00	$0.00	65.5%	5.3%	20.7%	36.2%	0.0%	2.2%	6.0%	6.1K	-50.9K	-498	0.00	82.06	N/A	N/A	0	0	145	59
2015-05-11	$23.94	$0.00	32.7%	4.7%	20.5%	13.9%	0.0%	-3.2%	4.2%	7.0K	-47.7K	-490	0.00	119.43	N/A	N/A	0	0	145	59
2015-05-12	$23.93	$0.00	45.2%	5.0%	20.5%	22.4%	0.0%	69.4%	5.7%	6.7K	-48.9K	-489	0.29	132.70	N/A	N/A	77	22	149	59
2015-05-13	$24.08	$0.00	40.0%	11.5%	19.5%	18.9%	0.0%	36.1%	8.0%	7.9K	-88.1K	-626	0.29	135.23	N/A	N/A	77	22	149	59
2015-05-14	$24.40	$0.00	19.7%	5.6%	20.1%	5.0%	21.5%	-5.7%	0.3%	11.2K	-76.6K	-504	0.21	112.35	N/A	N/A	105	22	149	59
2015-05-15	$24.19	$25.00	19.9%	5.7%	19.0%	5.2%	19.7%	-3.2%	-0.5%	6.3K	-69.9K	-547	0.42	112.69	N/A	N/A	105	44	177	59
2015-05-18	$24.36	$25.00	34.4%	9.9%	17.5%	15.1%	0.0%	34.0%	14.9%	3.4K	-71.4K	-731	0.33	144.34	N/A	N/A	21	7	136	81
2015-05-19	$24.23	$25.00	31.3%	9.0%	17.6%	12.9%	0.0%	0.4%	12.9%	4.0K	-65.3K	-825	0.48	142.27	N/A	N/A	21	10	157	88
2015-05-20	$24.14	$25.00	52.8%	15.1%	17.4%	27.6%	36.6%	46.1%	27.1%	4.5K	-70.5K	-1.0K	0.64	139.70	N/A	N/A	95	61	172	98
2015-05-21	$23.92	$25.00	51.7%	14.8%	17.7%	26.8%	33.4%	61.1%	-15.3%	4.3K	-50.8K	-949	0.76	137.94	N/A	N/A	95	72	172	98
2015-05-22	$23.89	$25.00	18.1%	5.2%	17.5%	4.0%	17.0%	2.8%	1.6%	5.7K	-28.0K	-975	0.76	128.62	N/A	N/A	95	72	172	109
2015-05-26	$23.42	$25.00	95.4%	27.4%	18.7%	56.6%	18.9%	50.5%	-18.9%	1.6K	-20.4K	-980	0.55	141.73	N/A	N/A	130	72	172	109
2015-05-27	$23.68	$25.00	20.2%	5.8%	19.0%	5.4%	13.6%	10.1%	21.1%	5.3K	-38.9K	-1.1K	0.76	128.66	N/A	N/A	105	80	207	109
2015-05-28	$23.63	$25.00	21.1%	6.1%	18.4%	6.0%	18.2%	8.5%	27.3%	3.7K	-21.9K	-1.3K	0.76	97.14	N/A	N/A	105	80	207	139
2015-05-29	$23.28	$25.00	75.8%	21.7%	17.0%	43.2%	51.7%	5.2%	10.3%	189	14.2K	-1.3K	0.76	139.88	N/A	N/A	105	80	207	139