BHE Options History — July 2015

In July 2015, BHE traded between $20.58 and $22.05. ATM implied volatility averaged 67.5%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 44.3% (HV 20d: 23.2%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.47.

Notable Days

  • 2015-07-13: Highest Volume — 241 contracts
  • 2015-07-24: Largest IV spike — 288.1% change
  • 2015-07-10: Highest IV Rank — 100.0%
  • 2015-07-02: Largest Expected Move — 39.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.31$20.58$22.05$21.63$22.05
Max Pain$21.93$20.00$25.00$25.00$20.00
ATM IV67.5%18.9%192.9%114.5%18.9%
Expected Move14.9%5.4%39.3%32.8%5.4%
HV 20d23.2%18.7%29.2%19.5%25.9%
HV 60d19.2%18.0%21.8%18.3%20.5%
IV Rank33.6%3.7%100.0%69.6%3.7%
IV Percentile75.1%8.7%100.0%99.2%8.7%
Term Structure-18.9%-129.5%21.7%-129.5%3.1%
VWIV38.9%12.4%135.0%69.4%18.7%
Skew 25d-7.8%-85.2%32.4%27.3%-36.3%
Skew 10d7.0%-87.5%123.4%-30.8%-87.5%
Call IV 25d60.6%23.2%171.5%62.7%57.7%
Put IV 25d52.7%21.4%172.3%90.0%21.4%
Bid-Ask Spread %139.74101.95153.66141.44149.04
Gamma HHI0.380.320.570.360.34
Net GEX-4.1K-6.5K-1.9K-2.0K-3.7K
Net DEX154.4K66.5K229.6K75.0K100.0K
Net VEX-1.1K-1.3K-890-1.1K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.931.920.931.87
Total Volume224.364193241193227
Total OI359.545263413358338

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$21.63$25.00114.5%32.8%19.5%69.6%69.4%27.3%-129.5%-2.0K75.0K-1.1K0.93141.44N/AN/A10093188170
2015-07-02$21.65$25.00137.2%39.3%19.2%85.0%135.0%0.7%-107.5%-1.9K73.3K-1.1K1.12152.57N/AN/A100112188170
2015-07-06$21.49$22.5026.3%6.9%19.2%9.5%24.9%2.4%-1.2%-5.4K198.7K-1.1K1.12101.95N/AN/A100112188199
2015-07-07$21.30$22.5096.4%7.0%19.3%57.2%26.7%-1.2%-2.2%-2.9K163.5K-1.1K1.29112.60N/AN/A100129188188
2015-07-08$20.98$22.50112.9%25.6%19.7%68.5%33.1%26.7%-38.5%-3.7K162.5K-1.3K1.29144.16N/AN/A100129188213
2015-07-09$20.81$22.50111.6%6.3%18.7%67.6%27.5%-0.9%10.0%-3.8K188.4K-1.2K1.29130.01N/AN/A100129188213
2015-07-10$21.10$22.50192.9%11.9%19.9%100.0%92.1%-58.8%-2.6%-2.9K135.0K-1.3K1.29152.24N/AN/A100129188213
2015-07-13$20.63$22.5031.0%7.2%20.9%10.4%27.5%2.7%9.8%-2.7K209.8K-1.1K1.15118.77N/AN/A112129188213
2015-07-14$21.18$22.5054.0%15.5%23.4%23.1%12.4%-26.8%-23.7%-3.3K203.7K-1.1K1.15145.86N/AN/A112129200213
2015-07-15$21.04$22.5054.9%15.7%23.1%23.6%20.7%-5.3%-54.3%-3.5K229.6K-1.0K1.15142.34N/AN/A112129200213
2015-07-16$21.02$22.5097.3%27.9%23.1%47.1%19.9%32.4%-33.7%-3.5K175.1K-1.2K1.15147.49N/AN/A112129200213
2015-07-17$20.89$22.5065.1%18.7%23.0%29.2%29.5%-1.6%-63.4%-3.9K225.3K-1.0K1.03143.28N/AN/A112115200213
2015-07-20$20.61$22.5019.1%5.5%23.0%3.8%28.2%-4.5%3.6%-4.5K175.1K-8901.60128.41N/AN/A77123109154
2015-07-21$20.68$22.5021.4%6.1%23.1%5.1%23.5%-1.4%21.7%-5.9K204.3K-9451.60136.02N/AN/A77123109184
2015-07-22$20.58$22.5029.1%8.3%22.9%9.3%31.4%-50.6%-0.7%-6.5K208.8K-9561.92140.59N/AN/A77148109184
2015-07-23$21.71$20.0024.1%6.9%29.1%6.6%24.2%-3.8%4.3%-5.3K134.1K-1.1K1.92149.26N/AN/A77148109209
2015-07-24$21.70$20.0093.5%26.8%29.1%45.0%114.6%7.0%-17.1%-4.4K115.3K-1.3K1.87153.66N/AN/A79148109209
2015-07-27$21.88$20.0045.6%13.1%29.2%18.5%21.1%-4.8%-6.9%-5.6K128.2K-1.2K1.87146.49N/AN/A79148129209
2015-07-28$21.92$20.0023.9%6.8%26.7%6.4%22.1%-2.4%-3.5%-4.4K111.7K-1.1K1.87146.60N/AN/A79148129209
2015-07-29$21.98$20.0053.3%15.3%26.1%22.7%25.0%-85.2%10.5%-4.1K66.5K-1.3K1.87149.03N/AN/A79148129209
2015-07-30$21.94$20.0062.1%17.8%25.9%27.6%29.5%11.8%5.3%-5.6K113.2K-1.2K1.87142.54N/AN/A79148129209
2015-07-31$22.05$20.0018.9%5.4%25.9%3.7%18.7%-36.3%3.1%-3.7K100.0K-1.2K1.87149.04N/AN/A79148129209