BHE Options History — October 2015

In October 2015, BHE traded between $19.65 and $23.53. ATM implied volatility averaged 30.3%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 0.5% (HV 20d: 30.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.84.

Notable Days

  • 2015-10-22: Highest Volume — 1,064 contracts
  • 2015-10-28: Largest IV spike — 80.1% change
  • 2015-10-13: Highest IV Rank — 19.7%
  • 2015-10-28: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.78$19.65$23.53$21.27$19.79
Max Pain$21.76$20.00$22.50$22.50$20.00
ATM IV30.3%22.9%47.9%30.7%26.4%
Expected Move8.3%6.6%12.1%8.8%7.6%
HV 20d30.8%22.6%44.8%22.6%44.6%
HV 60d25.5%21.7%31.5%23.4%31.5%
IV Rank10.0%5.9%19.7%10.2%7.8%
IV Percentile51.7%24.2%78.6%63.1%42.1%
Term Structure-2.5%-10.9%8.1%8.1%-1.9%
VWIV33.9%24.3%64.1%32.9%29.6%
Skew 25d6.9%-19.9%26.4%-5.9%6.3%
Skew 10d9.3%-14.2%44.4%2.7%9.4%
Call IV 25d26.6%12.8%47.0%30.9%30.4%
Put IV 25d33.4%24.3%53.0%25.0%36.7%
Bid-Ask Spread %115.1477.64152.21143.27121.32
Gamma HHI0.610.430.960.500.43
Net GEX-10.4K-49.4K-3.3K-5.0K-6.9K
Net DEX236.5K2.5K1.6M153.0K257.3K
Net VEX-874-2.1K-510-538-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.3412.342.150.38
Total Volume247.501,064148263
Total OI368.1822001,101232464

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$21.27$22.5030.7%8.8%22.6%10.2%32.9%-5.9%8.1%-5.0K153.0K-5382.15143.27N/AN/A4710197135
2015-10-02$21.53$22.5042.0%12.0%22.9%16.5%47.2%0.5%0.2%-5.7K156.8K-5362.15127.90N/AN/A4710197135
2015-10-05$22.25$0.0031.3%7.8%25.1%10.6%0.0%9.8%-1.2%-6.3K127.8K-5450.0096.07N/AN/A0097135
2015-10-06$22.19$0.0024.4%8.3%24.4%6.7%0.0%9.1%-4.6%-10.0K148.5K-5102.0277.64N/AN/A5010197135
2015-10-07$22.29$0.0024.3%7.3%24.5%6.6%0.0%6.8%-1.6%-10.6K129.0K-5351.91105.05N/AN/A53101100135
2015-10-08$22.50$0.0023.0%7.4%24.6%5.9%0.0%8.5%-6.6%-13.1K122.2K-5121.91101.07N/AN/A53101103135
2015-10-09$22.47$0.0033.5%8.5%24.3%11.8%0.0%3.4%-10.9%-9.4K107.1K-5141.91116.87N/AN/A53101103135
2015-10-12$23.01$22.5036.6%7.8%25.2%13.5%27.5%24.7%-7.3%-8.0K54.7K-7361.52106.98N/AN/A6396133161
2015-10-13$22.86$22.5047.9%7.7%25.3%19.7%26.7%2.7%-2.8%-10.3K66.9K-7661.11113.95N/AN/A6471133169
2015-10-14$22.87$22.5027.2%7.8%24.5%8.3%27.2%8.8%-4.5%-10.1K72.4K-7331.05118.42N/AN/A6265134169
2015-10-15$23.53$22.5031.2%8.9%26.1%10.5%31.2%19.5%-10.7%-8.8K10.7K-6701.0582.75N/AN/A6265135171
2015-10-16$23.24$22.5028.5%8.2%25.8%9.0%28.5%15.8%-2.5%-4.5K5.7K-7171.05118.46N/AN/A6265135171
2015-10-19$23.05$22.5027.4%7.9%26.1%8.4%26.9%15.8%-2.7%-3.9K8.8K-7160.53110.04N/AN/A623381119
2015-10-20$23.25$22.5026.7%7.7%23.5%8.0%26.7%8.5%-3.9%-3.9K2.5K-7850.53104.54N/AN/A623398119
2015-10-21$22.48$22.5038.9%11.1%26.8%14.7%41.8%-4.4%-4.7%-3.3K33.5K-80312.34114.54N/AN/A6276598119
2015-10-22$20.51$22.5027.3%7.8%43.1%8.3%54.5%-19.9%1.0%-49.4K1.3M-2.1K4.27125.66N/AN/A20286298881
2015-10-23$20.21$22.5024.6%7.0%43.1%6.8%26.6%1.1%-2.5%-31.4K1.6M-1.5K0.81129.12N/AN/A187151172929
2015-10-26$20.13$20.0022.9%6.6%43.0%5.9%25.2%26.4%2.9%-6.0K212.8K-1.2K0.89118.95N/AN/A187166175245
2015-10-27$19.69$20.0023.4%6.7%43.6%6.2%24.3%8.2%1.2%-7.4K261.2K-1.1K0.46116.23N/AN/A19991175264
2015-10-28$20.32$20.0042.1%12.1%44.0%16.5%64.1%2.2%-7.1%-7.5K170.5K-1.3K0.34152.21N/AN/A19968190262
2015-10-29$19.65$20.0027.4%7.8%44.8%8.4%35.8%3.5%7.0%-6.7K231.2K-1.2K0.34132.03N/AN/A20168190271
2015-10-30$19.79$20.0026.4%7.6%44.6%7.8%29.6%6.3%-1.9%-6.9K257.3K-1.2K0.38121.32N/AN/A19172193271