BHE Options History — March 2016

In March 2016, BHE traded between $21.56 and $23.07. ATM implied volatility averaged 30.1%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 10.6% (HV 20d: 19.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2016-03-17: Highest Volume — 148 contracts
  • 2016-03-08: Largest IV spike — 117.1% change
  • 2016-03-08: Highest IV Rank — 28.4%
  • 2016-03-04: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.19$21.56$23.07$22.00$23.07
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV30.1%22.5%63.6%36.4%25.5%
Expected Move8.1%5.6%14.9%10.4%7.3%
HV 20d19.5%15.6%23.4%17.0%23.4%
HV 60d26.0%25.4%26.3%26.1%25.4%
IV Rank9.1%4.0%28.4%13.4%5.6%
IV Percentile41.6%17.1%88.5%66.7%30.2%
Term Structure0.5%-16.5%50.6%-15.5%-6.0%
VWIV28.4%20.6%44.5%41.8%24.9%
Skew 25d19.3%-16.1%89.9%2.7%-4.8%
Skew 10d34.0%-4.4%138.6%4.8%-4.4%
Call IV 25d26.1%19.7%37.6%32.3%27.3%
Put IV 25d45.3%21.4%113.9%35.1%22.5%
Bid-Ask Spread %122.1099.14142.06124.69132.03
Gamma HHI0.670.480.920.680.92
Net GEX17.1K4.9K39.7K14.2K39.7K
Net DEX-199.3K-361.1K-115.8K-162.9K-361.1K
Net VEX-922-1.2K-580-723-760
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.592.890.972.23
Total Volume113.2736714867113
Total OI422.045342460342441

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$22.00$20.0036.4%10.4%17.0%13.4%41.8%2.7%-15.5%14.2K-162.9K-7230.97124.69N/AN/A3433209133
2016-03-02$22.01$20.0025.1%7.2%15.8%7.1%24.7%0.4%-4.0%13.1K-159.0K-7570.71116.00N/AN/A4129219133
2016-03-03$22.13$20.0030.0%5.6%15.7%9.8%20.6%5.2%11.3%13.6K-182.4K-7310.69125.29N/AN/A4229236140
2016-03-04$21.91$20.0054.9%14.9%15.6%23.6%44.5%-16.1%-16.5%4.9K-115.8K-7960.69134.38N/AN/A4229237140
2016-03-07$22.43$20.0029.3%6.3%17.1%9.4%22.2%6.4%4.2%14.7K-218.4K-5800.59126.46N/AN/A4929237140
2016-03-08$21.94$20.0063.6%12.6%19.2%28.4%41.5%4.1%-14.4%6.8K-169.8K-1.0K1.45132.21N/AN/A5377244140
2016-03-09$22.13$20.0026.3%7.5%16.4%7.8%26.8%9.0%0.5%12.5K-201.4K-1.2K1.43111.80N/AN/A5477249198
2016-03-10$21.82$20.0028.3%8.1%17.4%8.9%28.6%5.0%-1.1%8.9K-131.3K-1.2K1.43108.54N/AN/A5477250198
2016-03-11$22.25$20.0024.1%6.9%18.5%6.5%24.4%6.3%2.9%13.1K-192.2K-1.1K1.4399.14N/AN/A5477250198
2016-03-14$22.05$20.0025.7%7.4%18.7%7.5%27.0%9.1%1.6%10.9K-166.8K-1.1K1.43104.94N/AN/A5477250190
2016-03-15$21.56$20.0030.2%8.7%19.5%10.0%31.3%1.2%1.4%8.4K-127.8K-1.1K1.43112.20N/AN/A5477250190
2016-03-16$21.91$20.0030.6%8.8%20.3%8.5%31.7%10.3%-4.1%7.7K-150.4K-8801.43142.06N/AN/A5477250190
2016-03-17$22.18$20.0022.8%6.5%20.6%4.1%23.2%75.0%-0.8%20.5K-188.9K-8421.08127.99N/AN/A7177250190
2016-03-18$22.40$20.0026.6%7.6%20.8%6.3%27.9%2.6%-2.1%15.9K-245.1K-1.1K1.08132.39N/AN/A7177270190
2016-03-21$22.39$20.0022.7%6.5%20.8%4.0%22.8%77.8%50.6%25.1K-209.6K-9451.53136.34N/AN/A5178250189
2016-03-22$22.20$20.0026.9%7.7%20.5%6.4%27.0%1.3%-2.5%16.9K-201.0K-1.0K1.70107.01N/AN/A4678250189
2016-03-23$21.82$20.0040.2%11.5%21.5%13.9%37.9%9.2%-12.3%10.2K-222.8K-1.1K2.89129.06N/AN/A2778250189
2016-03-24$22.18$20.0022.5%6.5%22.3%4.0%22.3%89.9%6.8%24.4K-180.0K-8642.23114.06N/AN/A3578249184
2016-03-28$22.18$20.0025.9%7.4%22.3%5.9%26.9%0.4%2.0%22.8K-202.4K-9022.23130.84N/AN/A3578257184
2016-03-29$22.67$20.0022.9%6.6%23.4%4.2%23.9%85.4%2.6%36.5K-265.7K-8382.23128.63N/AN/A3578257184
2016-03-30$22.98$20.0022.9%6.6%23.4%4.2%23.9%43.0%7.0%36.0K-328.9K-7982.23110.23N/AN/A3578257184
2016-03-31$23.07$20.0025.5%7.3%23.4%5.6%24.9%-4.8%-6.0%39.7K-361.1K-7602.23132.03N/AN/A3578257184