BHE Options History — February 2016

In February 2016, BHE traded between $20.48 and $21.94. ATM implied volatility averaged 33.9%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 7.7% (HV 20d: 26.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.31.

Notable Days

2016-02-08: Highest Volume — 141 contracts
2016-02-29: Largest IV spike — 28.2% change
2016-02-01: Highest IV Rank — 17.8%
2016-02-01: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.37	$20.48	$21.94	$20.81	$21.69
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	33.9%	29.2%	44.4%	44.4%	40.5%
Expected Move	9.7%	8.4%	12.7%	12.7%	11.6%
HV 20d	26.2%	16.6%	35.1%	35.1%	16.6%
HV 60d	26.8%	26.3%	27.7%	27.0%	26.3%
IV Rank	12.0%	9.4%	17.8%	17.8%	15.6%
IV Percentile	62.0%	50.0%	76.6%	76.6%	73.4%
Term Structure	-5.6%	-16.6%	-0.1%	-16.6%	-12.5%
VWIV	33.5%	24.8%	44.4%	41.8%	40.6%
Skew 25d	3.1%	-9.7%	9.8%	0.3%	0.1%
Skew 10d	7.0%	-0.1%	16.1%	-0.1%	6.1%
Call IV 25d	31.1%	26.8%	41.0%	37.6%	32.7%
Put IV 25d	34.2%	23.5%	41.2%	37.9%	32.8%
Bid-Ask Spread %	112.31	94.85	130.10	126.83	130.10
Gamma HHI	0.49	0.43	0.59	0.44	0.57
Net GEX	4.3K	-2.3K	10.6K	957	8.8K
Net DEX	-95.2K	-184.4K	7.4K	-30.6K	-109.5K
Net VEX	-970	-1.1K	-776	-1.1K	-811
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.97	1.70	1.17	1.27
Total Volume	108.65	59	141	128	59
Total OI	368.1	342	402	361	342

Daily Data (20 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
2016-02-01	$20.81	$20.00	44.4%	12.7%	35.1%	17.8%	41.8%	0.3%	-16.6%	957	-30.6K	-1.1K	1.17	126.83	N/A	N/A	59	69	201	160
2016-02-02	$20.52	$20.00	35.4%	10.2%	34.5%	12.8%	35.4%	6.2%	-4.0%	383	1.2K	-1.0K	1.17	94.85	N/A	N/A	59	69	205	160
2016-02-03	$20.48	$20.00	34.3%	9.8%	34.3%	12.2%	34.3%	5.2%	-2.0%	7	7.4K	-1.0K	1.17	121.06	N/A	N/A	59	69	205	160
2016-02-04	$20.83	$20.00	30.2%	8.7%	32.0%	9.9%	30.4%	1.7%	-1.9%	-612	-19.3K	-998	1.17	101.72	N/A	N/A	59	69	205	160
2016-02-05	$20.75	$20.00	34.1%	9.6%	27.1%	12.1%	33.0%	-1.4%	-1.0%	1.3K	-32.6K	-1.1K	1.38	101.55	N/A	N/A	50	69	205	160
2016-02-08	$20.64	$20.00	34.3%	10.8%	27.0%	12.2%	38.6%	2.2%	-6.7%	-2.3K	-6.8K	-959	1.31	101.71	N/A	N/A	61	80	199	160
2016-02-09	$21.28	$20.00	37.7%	9.8%	28.5%	14.1%	34.1%	3.7%	-0.1%	2.0K	-88.9K	-1.1K	1.70	105.13	N/A	N/A	47	80	210	173
2016-02-10	$21.31	$20.00	34.7%	10.0%	28.5%	12.4%	36.1%	6.1%	-4.5%	3.4K	-126.2K	-1.1K	1.70	111.16	N/A	N/A	47	80	222	173
2016-02-11	$21.31	$20.00	33.2%	9.5%	28.4%	11.6%	34.9%	4.8%	-1.6%	2.1K	-89.3K	-1.1K	1.50	98.36	N/A	N/A	52	78	216	173
2016-02-12	$21.51	$20.00	39.2%	11.2%	27.6%	14.9%	34.9%	-9.7%	-1.4%	2.5K	-96.3K	-1.1K	1.50	126.79	N/A	N/A	52	78	216	173
2016-02-16	$21.89	$20.00	29.8%	8.5%	25.3%	9.7%	27.2%	6.1%	-2.5%	6.0K	-163.5K	-950	1.50	117.19	N/A	N/A	52	78	216	173
2016-02-17	$21.79	$20.00	34.7%	10.0%	25.5%	12.4%	31.9%	9.8%	-8.5%	5.5K	-153.3K	-952	1.40	111.14	N/A	N/A	52	73	216	173
2016-02-18	$21.93	$20.00	29.5%	8.5%	25.4%	9.6%	27.7%	9.1%	-4.1%	7.8K	-184.4K	-924	1.35	117.03	N/A	N/A	54	73	226	168
2016-02-19	$21.84	$20.00	33.9%	9.7%	25.4%	12.0%	24.8%	7.3%	-10.9%	8.0K	-179.0K	-927	1.35	112.08	N/A	N/A	54	73	229	173
2016-02-22	$21.94	$20.00	30.6%	8.8%	24.2%	10.2%	36.7%	4.5%	-12.1%	10.6K	-161.2K	-857	0.97	115.63	N/A	N/A	34	33	209	133
2016-02-23	$21.67	$20.00	30.7%	8.8%	22.2%	10.2%	44.4%	8.1%	-2.4%	7.5K	-148.2K	-927	0.97	122.88	N/A	N/A	34	33	209	133
2016-02-24	$21.71	$20.00	29.3%	8.4%	18.9%	9.4%	26.9%	6.3%	-2.7%	6.5K	-104.9K	-882	0.97	106.64	N/A	N/A	34	33	209	133
2016-02-25	$21.74	$20.00	29.2%	8.4%	18.6%	9.4%	25.9%	-1.3%	-4.3%	7.3K	-114.2K	-884	1.27	105.75	N/A	N/A	26	33	209	133
2016-02-26	$21.73	$20.00	31.6%	9.0%	18.5%	10.7%	29.8%	-7.1%	-12.5%	8.1K	-104.3K	-776	1.27	118.60	N/A	N/A	26	33	209	133
2016-02-29	$21.69	$20.00	40.5%	11.6%	16.6%	15.6%	40.6%	0.1%	-12.5%	8.8K	-109.5K	-811	1.27	130.10	N/A	N/A	26	33	209	133