BHE Options History — November 2015

In November 2015, BHE traded between $19.56 and $21.49. ATM implied volatility averaged 29.2%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 8.5% (HV 20d: 37.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2015-11-19: Highest Volume — 441 contracts
  • 2015-11-30: Largest IV spike — 485.5% change
  • 2015-11-30: Highest IV Rank — 43.4%
  • 2015-11-30: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.60$19.56$21.49$20.22$21.46
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV29.2%15.5%90.7%27.3%90.7%
Expected Move8.3%4.4%26.0%7.8%26.0%
HV 20d37.7%22.2%44.8%43.5%22.3%
HV 60d32.1%31.6%33.0%31.8%31.6%
IV Rank9.4%1.8%43.4%8.3%43.4%
IV Percentile36.5%0.8%93.7%47.2%93.7%
Term Structure-5.2%-126.6%10.2%-1.4%-126.6%
VWIV27.0%21.0%47.6%28.4%21.0%
Skew 25d3.1%-45.9%23.2%5.5%-45.9%
Skew 10d11.4%-13.9%53.5%5.1%-0.6%
Call IV 25d26.1%14.5%84.6%26.6%84.6%
Put IV 25d29.1%15.7%43.6%32.1%38.7%
Bid-Ask Spread %109.7060.44144.90107.86130.49
Gamma HHI0.530.420.750.430.57
Net GEX-10.3K-14.4K-3.1K-9.2K-10.1K
Net DEX181.6K31.1K358.4K234.3K82.7K
Net VEX-1.6K-2.3K-1.1K-1.3K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.000.530.380.45
Total Volume242.904412630
Total OI589.65490732490732

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$20.22$20.0027.3%7.8%43.5%8.3%28.4%5.5%-1.4%-9.2K234.3K-1.3K0.38107.86N/AN/A19172193297
2015-11-03$20.75$20.0025.8%7.4%44.8%7.5%25.7%9.6%2.1%-9.9K182.0K-1.3K0.38110.23N/AN/A19172193297
2015-11-04$20.53$20.0029.1%8.3%44.8%9.3%33.7%1.8%8.3%-10.9K187.4K-1.3K0.38122.49N/AN/A19172193297
2015-11-05$20.55$20.0025.5%7.4%44.6%7.3%25.9%6.6%-6.8%-13.4K222.9K-1.2K0.3864.21N/AN/A19172193297
2015-11-06$20.66$20.0026.2%6.3%44.7%7.7%0.0%15.6%5.8%-10.3K205.5K-1.2K0.00106.58N/AN/A00193297
2015-11-09$20.33$20.0030.3%8.3%43.6%10.0%0.0%6.9%-3.1%-10.5K191.8K-1.3K0.00111.58N/AN/A00193297
2015-11-10$20.25$20.0026.9%8.0%43.6%8.1%27.9%4.9%-2.1%-11.8K236.3K-1.2K0.38104.94N/AN/A19172193297
2015-11-11$20.18$20.0022.1%6.3%43.6%5.4%22.0%5.4%1.2%-11.1K246.2K-1.1K0.38120.61N/AN/A19172193297
2015-11-12$19.91$20.0024.3%7.0%41.6%6.7%24.3%2.7%0.1%-13.8K327.2K-1.3K0.53105.26N/AN/A191102193337
2015-11-13$19.56$20.0063.1%18.1%41.8%28.2%47.6%-2.3%-13.5%-10.9K358.4K-1.3K0.53144.90N/AN/A191102193337
2015-11-16$20.20$20.0023.3%6.7%44.2%6.1%0.0%15.9%9.4%-4.7K293.4K-1.3K0.00120.40N/AN/A1240193337
2015-11-17$20.13$20.0021.3%6.1%43.9%5.0%21.3%1.4%6.9%-3.1K208.9K-1.8K0.34135.50N/AN/A303102314337
2015-11-18$20.51$20.0026.3%7.5%43.6%7.8%28.5%2.0%-7.8%-8.8K115.5K-1.9K0.37125.72N/AN/A303113317337
2015-11-19$20.56$20.0022.3%6.4%29.0%5.6%21.2%23.2%5.4%-10.7K154.2K-1.9K0.47109.31N/AN/A301140317367
2015-11-20$21.02$20.0023.2%6.7%29.5%6.1%23.0%3.4%-4.1%-8.5K89.8K-2.0K0.45122.92N/AN/A300135317407
2015-11-23$21.12$20.0018.6%5.3%29.4%3.5%0.0%-3.9%4.3%-9.8K76.7K-2.0K0.0090.03N/AN/A030305382
2015-11-24$21.21$20.0017.8%5.1%27.9%3.0%0.0%-0.4%-0.3%-12.2K97.0K-2.1K0.00111.28N/AN/A00305412
2015-11-25$21.36$20.0024.9%7.1%26.0%7.0%28.0%4.5%7.5%-14.4K91.0K-2.1K0.4089.19N/AN/A296118305412
2015-11-27$21.49$20.0015.5%4.4%22.2%1.8%21.0%4.5%10.2%-12.7K31.1K-2.1K0.4560.44N/AN/A296133305412
2015-11-30$21.46$20.0090.7%26.0%22.3%43.4%0.0%-45.9%-126.6%-10.1K82.7K-2.3K0.00130.49N/AN/A00305427