BHE Options History — August 2015

In August 2015, BHE traded between $20.40 and $22.25. ATM implied volatility averaged 40.6%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 19.0% (HV 20d: 21.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2015-08-04: Highest Volume — 227 contracts
  • 2015-08-31: Largest IV spike — 226.8% change
  • 2015-08-25: Highest IV Rank — 47.0%
  • 2015-08-25: Largest Expected Move — 27.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.60$20.40$22.25$21.93$21.41
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV40.6%15.5%97.2%50.4%69.6%
Expected Move11.8%5.2%27.9%14.5%20.0%
HV 20d21.6%12.5%25.9%25.9%21.4%
HV 60d20.8%20.2%22.2%20.4%22.2%
IV Rank15.7%1.8%47.0%21.1%31.7%
IV Percentile60.6%0.8%95.6%84.1%90.9%
Term Structure-10.1%-110.9%30.2%7.1%0.6%
VWIV33.4%18.7%77.4%63.8%26.6%
Skew 25d-5.4%-91.1%53.5%-91.1%-38.2%
Skew 10d-3.8%-103.2%106.8%-103.2%10.6%
Call IV 25d46.2%20.1%170.0%112.3%170.0%
Put IV 25d40.7%16.3%133.2%21.1%131.8%
Bid-Ask Spread %132.8589.41155.11155.11140.12
Gamma HHI0.380.340.410.340.39
Net GEX-5.0K-7.2K991-5.0K-4.1K
Net DEX128.3K46.6K198.8K98.7K133.9K
Net VEX-973-1.2K-756-1.2K-981
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.001.951.871.86
Total Volume182.76202270189
Total OI328.571300348338300

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$21.93$20.0050.4%14.5%25.9%21.1%0.0%-91.1%7.1%-5.0K98.7K-1.2K0.00155.11N/AN/A00129209
2015-08-04$21.75$20.0076.7%22.0%25.8%35.7%63.8%-31.5%-110.9%-6.8K157.1K-1.1K1.8789.41N/AN/A79148129209
2015-08-05$21.94$20.0020.0%5.7%25.2%4.3%22.9%3.3%1.1%-4.0K112.7K-1.1K1.87114.21N/AN/A79148129209
2015-08-06$21.95$20.0015.5%14.5%24.9%1.8%70.0%53.5%30.2%-3.2K46.6K-1.2K1.95148.73N/AN/A76148129209
2015-08-07$21.94$20.0030.2%5.2%24.6%9.9%20.7%0.6%3.7%-4.2K117.0K-1.1K1.95135.04N/AN/A76148139209
2015-08-10$22.25$20.0028.8%5.3%23.2%9.2%18.7%31.0%4.7%99183.0K-9931.95137.58N/AN/A76148139209
2015-08-11$21.85$20.0022.1%5.3%22.8%5.4%0.0%-0.9%-0.1%-2.0K98.2K-1.0K0.00107.72N/AN/A100139209
2015-08-12$21.80$20.0028.5%8.2%22.6%9.0%24.0%3.5%-1.8%-5.3K110.6K-9691.95147.75N/AN/A76148129209
2015-08-13$21.62$20.0018.9%5.4%22.9%3.7%20.9%-1.5%0.3%-4.7K113.8K-9921.95116.74N/AN/A76148129209
2015-08-14$21.90$20.0040.7%11.7%23.1%15.7%25.3%-39.5%-15.9%-7.0K126.8K-1.0K1.95139.08N/AN/A76148129209
2015-08-17$21.93$20.0056.1%16.1%22.3%24.3%34.0%4.0%-9.2%-5.9K120.3K-9131.95148.03N/AN/A76148129209
2015-08-18$21.73$20.0057.1%16.4%22.7%24.8%33.0%-26.2%-14.9%-6.5K141.1K-9241.95151.43N/AN/A76148129209
2015-08-19$21.73$20.0050.4%14.4%22.6%21.1%0.0%12.9%-5.3%-5.1K116.7K-9930.00144.51N/AN/A00129209
2015-08-20$21.57$20.0058.4%16.8%12.5%25.6%31.5%-12.9%-14.0%-6.8K117.0K-9861.95153.09N/AN/A76148129209
2015-08-21$21.52$20.0022.2%6.4%12.6%5.5%21.0%2.3%3.3%-5.1K133.9K-9001.95112.97N/AN/A76148129209
2015-08-24$20.80$20.0031.8%9.1%16.9%10.8%31.0%10.4%-4.3%-6.2K180.2K-8551.86128.05N/AN/A66123116184
2015-08-25$20.40$20.0097.2%27.9%17.8%47.0%77.4%-3.4%-81.3%-5.2K185.3K-8241.86152.90N/AN/A66123116184
2015-08-26$20.92$20.0027.8%8.0%20.5%8.6%27.9%5.4%-5.4%-7.2K198.8K-7561.86130.17N/AN/A66123116184
2015-08-27$21.20$20.0028.6%8.2%21.2%9.0%27.8%4.6%-5.9%-6.8K157.6K-8631.86116.33N/AN/A66123116184
2015-08-28$21.40$20.0021.3%6.1%21.5%5.0%24.1%-0.1%5.2%-5.4K145.6K-8771.86120.80N/AN/A66123116184
2015-08-31$21.41$20.0069.6%20.0%21.4%31.7%26.6%-38.2%0.6%-4.1K133.9K-9811.86140.12N/AN/A66123116184