BHE Options History — September 2015

In September 2015, BHE traded between $20.59 and $21.82. ATM implied volatility averaged 34.7%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 11.9% (HV 20d: 22.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.02.

Notable Days

  • 2015-09-04: Highest Volume — 198 contracts
  • 2015-09-11: Largest IV spike — 193.6% change
  • 2015-09-11: Highest IV Rank — 31.8%
  • 2015-09-11: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.21$20.59$21.82$20.86$21.77
Max Pain$22.26$20.00$22.50$20.00$22.50
ATM IV34.7%22.8%69.8%67.0%38.3%
Expected Move10.2%6.5%20.0%19.2%11.0%
HV 20d22.8%20.7%24.6%23.1%20.7%
HV 60d22.8%22.4%23.4%22.7%23.1%
IV Rank12.4%5.8%31.8%30.3%14.4%
IV Percentile59.3%25.4%90.9%90.1%71.0%
Term Structure-2.2%-42.3%21.3%-5.4%15.9%
VWIV35.2%22.5%62.0%46.8%44.6%
Skew 25d7.2%-5.1%28.1%22.1%9.9%
Skew 10d8.6%-81.6%84.4%40.5%3.1%
Call IV 25d30.2%19.6%82.6%82.6%28.4%
Put IV 25d37.3%22.6%104.7%104.7%38.4%
Bid-Ask Spread %123.6971.85149.49142.37126.60
Gamma HHI0.450.330.600.330.52
Net GEX-5.0K-6.7K-2.3K-2.4K-6.1K
Net DEX145.9K83.7K203.8K106.8K153.6K
Net VEX-660-1.0K-411-1.0K-543
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.021.862.151.862.15
Total Volume158.810198189148
Total OI265.476232300300232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$20.86$20.0067.0%19.2%23.1%30.3%46.8%22.1%-5.4%-2.4K106.8K-1.0K1.86142.37N/AN/A66123116184
2015-09-02$20.95$20.0032.4%9.3%22.8%11.2%29.5%-5.1%14.6%-4.6K142.0K-9341.86139.88N/AN/A66123116184
2015-09-03$21.07$22.5033.6%16.1%23.0%11.8%44.7%28.1%-20.5%-4.4K151.3K-9031.86141.05N/AN/A66123116184
2015-09-04$20.87$22.5031.6%9.0%23.1%10.7%23.0%3.9%2.4%-5.5K159.6K-7071.9671.85N/AN/A67131116165
2015-09-08$21.28$22.5035.9%9.2%23.7%13.1%0.0%3.4%0.2%-4.1K129.6K-7510.00114.86N/AN/A00117165
2015-09-09$21.36$22.5024.1%6.9%23.0%6.5%23.4%3.7%-0.3%-5.2K135.9K-6971.96104.64N/AN/A67131117165
2015-09-10$21.41$22.5023.8%6.8%23.1%6.4%24.3%4.2%2.5%-5.6K146.2K-6761.96114.40N/AN/A67131117165
2015-09-11$21.23$22.5069.8%20.0%23.1%31.8%62.0%17.5%-42.3%-2.3K84.0K-8581.96149.49N/AN/A67131117165
2015-09-14$21.13$22.5025.6%7.3%22.5%7.4%23.5%4.0%13.8%-6.5K145.3K-6131.96115.29N/AN/A67131117165
2015-09-15$21.38$22.5026.5%7.6%23.0%7.9%0.0%2.5%-0.7%-5.6K145.3K-6400.00128.92N/AN/A00117165
2015-09-16$21.82$22.5040.2%11.5%24.0%15.5%40.3%1.7%-13.4%-3.4K97.9K-7101.96117.84N/AN/A67131117165
2015-09-17$21.75$22.5038.3%11.0%24.1%14.4%37.4%0.7%-19.4%-4.3K83.7K-6731.96147.97N/AN/A67131117165
2015-09-18$21.42$22.5023.0%6.6%24.6%5.9%24.4%3.0%6.1%-6.5K151.5K-5571.96127.19N/AN/A67131117165
2015-09-21$21.37$22.5022.8%6.5%24.6%5.8%22.5%-2.2%1.7%-6.7K163.7K-5602.15109.49N/AN/A4710197135
2015-09-22$20.80$22.5027.1%7.8%23.4%8.2%46.6%7.4%21.3%-5.7K181.3K-5022.15114.84N/AN/A4710197135
2015-09-23$20.59$22.5025.2%7.2%22.6%7.1%25.1%2.3%2.8%-4.9K203.8K-4112.15105.29N/AN/A4710197135
2015-09-24$20.86$22.5038.7%11.1%21.2%14.6%45.8%24.9%0.9%-4.2K170.3K-5192.15128.30N/AN/A4710197135
2015-09-25$21.12$22.5041.0%11.8%21.1%15.9%34.0%9.3%-10.8%-4.6K158.4K-5572.15132.02N/AN/A4710197135
2015-09-28$21.20$22.5026.3%7.5%20.9%7.7%31.9%3.0%1.3%-6.1K185.2K-4842.15130.65N/AN/A4710197135
2015-09-29$21.19$22.5037.1%10.6%20.9%13.7%38.3%6.6%-16.3%-5.4K168.2K-5202.15134.58N/AN/A4710197135
2015-09-30$21.77$22.5038.3%11.0%20.7%14.4%44.6%9.9%15.9%-6.1K153.6K-5432.15126.60N/AN/A4710197135