BHE Options History — June 2015

In June 2015, BHE traded between $21.47 and $23.43. ATM implied volatility averaged 44.5%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 29.4% (HV 20d: 15.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-06-24: Highest Volume — 208 contracts
  • 2015-06-22: Largest IV spike — 420.5% change
  • 2015-06-01: Highest IV Rank — 72.1%
  • 2015-06-01: Largest Expected Move — 33.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.77$21.47$23.43$23.25$21.82
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV44.5%15.6%118.2%118.2%68.5%
Expected Move13.8%4.5%33.9%33.9%19.6%
HV 20d15.1%12.8%20.2%15.5%20.2%
HV 60d17.5%16.2%18.5%18.4%18.3%
IV Rank21.9%2.3%72.1%72.1%38.3%
IV Percentile53.7%0.8%99.6%99.6%94.8%
Term Structure-19.5%-84.9%37.1%-75.7%-24.0%
VWIV39.7%19.0%93.8%39.4%56.1%
Skew 25d18.6%-71.6%104.3%48.4%50.8%
Skew 10d30.9%-67.5%114.7%-13.4%58.5%
Call IV 25d38.1%16.0%110.6%110.6%48.4%
Put IV 25d56.7%19.5%158.9%158.9%99.1%
Bid-Ask Spread %132.60106.56150.90143.99129.59
Gamma HHI0.460.380.560.410.47
Net GEX-1.1K-4.5K2.6K1.6K-3.9K
Net DEX47.3K-18.1K142.7K-18.1K142.7K
Net VEX-1.1K-1.4K-887-1.4K-989
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.621.390.760.93
Total Volume168.6820208185193
Total OI340.955312346346345

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$23.25$25.00118.2%33.9%15.5%72.1%39.4%48.4%-75.7%1.6K-18.1K-1.4K0.76143.99N/AN/A10580207139
2015-06-02$23.15$25.0075.1%21.5%15.5%42.8%0.0%-8.4%-72.4%1.9K-12.1K-1.3K0.00138.69N/AN/A00203139
2015-06-03$23.43$25.0020.6%5.9%14.6%5.7%19.8%2.1%-2.8%2.0K11.0K-1.2K0.76123.84N/AN/A10580207139
2015-06-04$23.12$25.0024.4%13.1%15.3%8.2%26.5%13.8%-8.4%2.6K-1.2K-1.3K0.76131.33N/AN/A10580207139
2015-06-05$23.13$25.0021.3%12.7%15.1%6.2%29.5%17.3%-15.2%59830.7K-1.2K0.76132.85N/AN/A10580207139
2015-06-08$23.03$25.0022.0%18.3%14.1%6.6%40.4%10.0%-27.8%1.2K30.6K-1.2K0.62127.34N/AN/A10565207139
2015-06-09$22.87$25.0030.1%6.1%14.2%12.2%19.7%30.2%-0.2%-1.1K61.9K-1.1K0.62141.56N/AN/A10565207139
2015-06-10$23.16$25.0061.4%17.6%15.1%33.4%28.8%-17.1%-21.8%31911.4K-1.1K0.62131.98N/AN/A10565207139
2015-06-11$23.10$25.0026.1%7.5%14.8%9.4%24.7%-0.4%-5.7%14411.3K-1.1K0.62134.59N/AN/A10565207139
2015-06-12$22.98$25.0016.3%4.7%13.7%2.7%19.5%1.9%6.3%-2.1K50.7K-1.1K0.62122.58N/AN/A10565207139
2015-06-15$22.65$25.0017.7%5.1%14.2%3.7%19.9%41.0%8.0%-1.9K66.3K-1.0K0.62127.45N/AN/A10565207139
2015-06-16$22.81$25.0016.1%4.6%14.2%2.6%19.0%24.4%8.4%-3.5K72.5K-1.0K0.62122.27N/AN/A10565207139
2015-06-17$22.73$25.0023.4%6.7%14.2%7.6%31.4%39.5%-4.7%-1.9K58.2K-1.0K0.62138.24N/AN/A10565207139
2015-06-18$22.78$25.0015.6%4.5%14.3%2.3%21.0%22.8%9.3%-4.5K70.6K-9850.62124.48N/AN/A10565207139
2015-06-19$22.90$25.0020.1%5.8%14.4%5.3%24.0%20.5%2.8%-3.1K61.8K-1.0K0.62118.48N/AN/A10565207139
2015-06-22$22.91$25.00104.7%30.0%14.4%62.9%75.4%89.8%-37.0%-87929.2K-1.1K0.84146.21N/AN/A7765179139
2015-06-23$22.95$25.0022.3%6.4%12.8%6.8%41.2%26.2%37.1%-1.5K24.1K-1.1K1.16136.11N/AN/A87101179139
2015-06-24$22.24$25.0022.5%6.5%16.0%7.0%38.6%-9.4%3.1%-3.2K95.6K-8871.39106.56N/AN/A87121175137
2015-06-25$22.32$25.0050.3%14.4%16.2%25.9%93.5%-71.6%-48.4%-1.8K72.4K-1.1K1.07150.90N/AN/A8793175157
2015-06-26$22.18$25.0095.3%27.3%15.6%56.5%93.8%-27.5%-84.9%-2.4K60.0K-1.2K1.07142.83N/AN/A8793175170
2015-06-29$21.47$25.00107.3%30.8%18.9%64.7%71.8%104.3%-75.1%-2.6K110.0K-1.1K1.07145.22N/AN/A8793175170
2015-06-30$21.82$25.0068.5%19.6%20.2%38.3%56.1%50.8%-24.0%-3.9K142.7K-9890.93129.59N/AN/A10093175170