BHE Options History — January 2016

In January 2016, BHE traded between $18.75 and $20.63. ATM implied volatility averaged 39.2%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 8.7% (HV 20d: 30.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.39.

Notable Days

2016-01-11: Highest Volume — 246 contracts
2016-01-27: Largest IV spike — 62.8% change
2016-01-27: Highest IV Rank — 26.5%
2016-01-27: Largest Expected Move — 17.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.59	$18.75	$20.63	$20.29	$20.63
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	39.2%	26.9%	60.2%	59.9%	39.0%
Expected Move	10.7%	8.7%	17.3%	9.5%	11.2%
HV 20d	30.5%	24.7%	35.3%	25.3%	35.0%
HV 60d	30.5%	27.1%	33.2%	31.7%	27.4%
IV Rank	14.9%	8.1%	26.5%	26.3%	14.8%
IV Percentile	70.7%	46.8%	86.9%	86.9%	73.0%
Term Structure	-7.9%	-47.9%	-1.4%	-5.6%	-7.2%
VWIV	39.4%	31.0%	59.6%	46.8%	39.5%
Skew 25d	9.1%	-0.8%	78.2%	5.5%	-0.1%
Skew 10d	11.1%	-3.2%	90.6%	10.9%	-3.2%
Call IV 25d	33.7%	27.3%	47.4%	31.7%	40.7%
Put IV 25d	42.8%	29.1%	125.6%	37.2%	40.6%
Bid-Ask Spread %	110.48	88.01	143.14	99.37	127.36
Gamma HHI	0.55	0.42	0.83	0.83	0.45
Net GEX	-4.6K	-17.5K	3.3K	-11.5K	866
Net DEX	194.0K	-12.3K	388.9K	328.4K	-12.3K
Net VEX	-986	-1.3K	-788	-1.3K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.19	0.52	0.33	0.46
Total Volume	220.632	176	246	226	218
Total OI	442.684	298	601	601	360

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$20.29	$0.00	59.9%	9.5%	25.3%	26.3%	0.0%	5.5%	-5.6%	-11.5K	328.4K	-1.3K	0.33	99.37	N/A	N/A	170	56	242	359
2016-01-05	$20.47	$0.00	26.9%	8.7%	24.7%	8.1%	0.0%	0.0%	-2.5%	-17.5K	338.3K	-1.2K	0.33	96.73	N/A	N/A	170	56	242	359
2016-01-06	$19.74	$0.00	29.4%	9.5%	27.3%	9.5%	0.0%	3.2%	-2.0%	-17.2K	388.9K	-1.2K	0.33	104.22	N/A	N/A	170	56	242	359
2016-01-07	$18.90	$0.00	29.9%	10.0%	29.9%	9.8%	0.0%	4.5%	-7.5%	-8.1K	355.6K	-953	0.33	102.83	N/A	N/A	170	56	242	284
2016-01-08	$18.75	$0.00	38.3%	17.0%	28.9%	14.4%	0.0%	7.8%	-47.9%	-7.3K	322.3K	-959	0.33	120.44	N/A	N/A	170	56	242	284
2016-01-11	$18.90	$0.00	51.4%	9.5%	29.3%	21.7%	0.0%	1.9%	-6.0%	-8.8K	376.4K	-828	0.45	104.93	N/A	N/A	170	76	242	284
2016-01-12	$19.01	$0.00	52.5%	9.2%	29.4%	22.3%	0.0%	2.8%	-6.3%	-7.2K	327.4K	-808	0.45	88.01	N/A	N/A	170	76	242	255
2016-01-13	$18.95	$0.00	34.8%	10.0%	29.4%	12.5%	0.0%	5.4%	-7.3%	-6.3K	316.0K	-853	0.45	102.71	N/A	N/A	170	76	242	255
2016-01-14	$19.42	$0.00	31.9%	9.1%	29.2%	10.9%	0.0%	6.0%	-4.5%	-11.3K	308.3K	-877	0.52	95.22	N/A	N/A	161	84	242	255
2016-01-15	$18.92	$0.00	47.8%	13.7%	29.7%	19.7%	0.0%	9.4%	-14.0%	232	310.4K	-831	0.52	125.98	N/A	N/A	161	84	243	246
2016-01-19	$19.20	$0.00	38.3%	11.0%	30.2%	14.4%	46.8%	78.2%	-2.9%	-258	88.1K	-788	0.19	126.67	N/A	N/A	148	28	179	119
2016-01-20	$19.26	$20.00	34.9%	10.0%	30.1%	12.5%	37.2%	7.6%	-3.5%	1.7K	57.6K	-878	0.19	104.74	N/A	N/A	148	28	199	119
2016-01-21	$19.58	$20.00	34.8%	10.0%	31.0%	12.5%	35.3%	8.4%	-4.2%	2.1K	39.7K	-923	0.19	104.17	N/A	N/A	148	28	199	119
2016-01-22	$20.11	$20.00	30.9%	8.9%	32.5%	10.3%	31.0%	3.9%	-1.4%	3.3K	11.9K	-945	0.46	106.82	N/A	N/A	148	68	199	119
2016-01-25	$19.58	$20.00	33.4%	9.6%	32.2%	11.7%	33.3%	-0.8%	-3.9%	-940	60.3K	-991	0.46	106.61	N/A	N/A	149	69	199	159
2016-01-26	$20.30	$20.00	37.0%	10.6%	35.3%	13.7%	39.3%	14.5%	-1.4%	-405	40.8K	-1.1K	0.46	126.85	N/A	N/A	149	69	200	160
2016-01-27	$20.19	$20.00	60.2%	17.3%	35.2%	26.5%	59.6%	11.7%	-19.3%	792	-9.7K	-1.2K	0.46	143.14	N/A	N/A	149	69	200	160
2016-01-28	$20.10	$20.00	33.0%	9.5%	34.8%	11.5%	32.6%	2.2%	-3.0%	-488	37.3K	-1.0K	0.46	112.31	N/A	N/A	149	69	200	160
2016-01-29	$20.63	$20.00	39.0%	11.2%	35.0%	14.8%	39.5%	-0.1%	-7.2%	866	-12.3K	-1.1K	0.46	127.36	N/A	N/A	149	69	200	160