BHE Options History — December 2015

In December 2015, BHE traded between $20.55 and $21.60. ATM implied volatility averaged 33.1%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 10.7% (HV 20d: 22.3%). 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 11 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2015-12-02: Highest Volume — 429 contracts
  • 2015-12-28: Largest IV spike — 94.7% change
  • 2015-12-01: Highest IV Rank — 45.2%
  • 2015-12-01: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.07$20.55$21.60$21.60$20.76
Max Pain$22.27$20.00$22.50$20.00$22.50
ATM IV33.1%17.2%93.9%93.9%21.6%
Expected Move8.9%4.9%26.9%26.9%6.2%
HV 20d22.3%20.7%24.8%21.4%24.1%
HV 60d31.9%31.4%32.4%31.6%31.4%
IV Rank11.5%2.7%45.2%45.2%5.1%
IV Percentile48.3%2.4%94.0%94.0%16.7%
Term Structure-7.2%-121.4%12.7%-121.4%8.5%
VWIV28.7%22.4%40.3%36.3%22.4%
Skew 25d3.3%-50.4%21.5%-50.4%-3.2%
Skew 10d12.7%-11.1%39.9%-0.9%6.6%
Call IV 25d25.8%15.0%75.0%75.0%24.9%
Put IV 25d29.1%18.2%45.1%24.6%21.7%
Bid-Ask Spread %105.1179.61139.52139.52110.06
Gamma HHI0.620.480.820.500.71
Net GEX-14.3K-19.3K-8.1K-14.0K-14.1K
Net DEX169.1K75.6K280.2K89.0K279.0K
Net VEX-1.8K-2.2K-1.3K-2.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.330.450.450.33
Total Volume314.31804290226
Total OI688.136601738732601

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$21.60$20.0093.9%26.9%21.4%45.2%0.0%-50.4%-121.4%-14.0K89.0K-2.2K0.00139.52N/AN/A00305427
2015-12-02$21.19$20.0030.4%8.7%21.0%10.1%36.3%-1.7%-23.9%-13.3K88.0K-2.2K0.45111.42N/AN/A296133305427
2015-12-03$21.11$22.5048.4%9.4%20.7%20.0%32.8%5.3%-10.5%-10.2K85.6K-2.2K0.45120.19N/AN/A296133305427
2015-12-04$21.46$22.5021.3%5.8%21.3%5.0%24.4%0.6%0.5%-14.8K75.6K-2.0K0.4581.39N/AN/A295133305427
2015-12-07$21.19$22.5038.6%6.9%21.9%14.6%0.0%4.9%8.2%-12.7K108.2K-2.1K0.0090.68N/AN/A00303427
2015-12-08$21.49$22.5041.7%7.4%21.4%16.3%26.4%-3.8%-2.5%-15.8K87.6K-1.9K0.4588.44N/AN/A295133303427
2015-12-09$20.92$22.5023.9%6.8%23.7%6.4%25.9%4.2%4.4%-13.9K152.8K-1.9K0.4595.73N/AN/A295133303427
2015-12-10$20.75$22.5022.4%6.4%23.9%5.6%25.2%0.5%8.1%-14.0K205.8K-1.9K0.4581.19N/AN/A295133303427
2015-12-11$20.55$22.5027.7%7.9%23.7%8.5%26.9%5.6%0.9%-13.2K238.8K-1.9K0.45110.10N/AN/A295133303427
2015-12-14$20.55$22.5053.1%15.2%22.6%22.6%40.3%21.5%-15.5%-8.1K103.0K-2.0K0.39122.06N/AN/A295115303427
2015-12-15$21.09$22.5027.8%8.0%21.5%8.6%24.8%3.5%-8.3%-19.3K174.5K-1.7K0.39122.46N/AN/A295115303435
2015-12-16$20.66$22.5045.4%13.0%23.0%18.4%32.8%-5.5%-26.7%-12.9K184.6K-1.8K0.41134.94N/AN/A283115303435
2015-12-17$20.79$22.5025.3%7.3%22.1%7.2%25.0%5.1%1.8%-15.4K187.1K-1.7K0.41108.87N/AN/A283115303435
2015-12-18$20.92$22.5023.5%6.7%22.2%6.2%25.1%9.5%6.3%-18.7K169.7K-1.6K0.4183.69N/AN/A283115303435
2015-12-21$20.88$22.5025.2%7.2%20.7%7.2%27.1%10.7%11.7%-15.8K280.2K-1.6K0.44107.08N/AN/A17075242380
2015-12-22$21.08$22.5030.0%8.6%21.0%9.8%32.2%16.6%-1.6%-14.8K236.6K-1.7K0.4499.71N/AN/A17075242369
2015-12-23$21.56$22.5033.5%9.6%22.4%11.8%36.9%3.5%-8.6%-15.3K160.6K-1.7K0.44122.54N/AN/A17075242369
2015-12-24$21.37$22.5017.2%4.9%22.5%2.7%32.2%13.3%3.1%-12.8K165.7K-1.7K0.4495.33N/AN/A17075242369
2015-12-28$21.22$22.5033.5%9.6%22.6%11.8%31.4%18.1%-1.8%-15.1K211.0K-1.6K0.4479.61N/AN/A17075242369
2015-12-29$21.49$22.5019.5%5.6%23.0%4.0%23.4%16.1%12.7%-16.1K177.8K-1.6K0.3388.67N/AN/A17056242369
2015-12-30$20.91$22.5023.2%6.7%24.8%6.1%23.2%-1.5%-4.6%-14.1K259.4K-1.4K0.33118.80N/AN/A17056242359
2015-12-31$20.76$22.5021.6%6.2%24.1%5.1%22.4%-3.2%8.5%-14.1K279.0K-1.3K0.33110.06N/AN/A17056242359