BHE Options History — April 2016

In April 2016, BHE traded between $19.17 and $23.10. ATM implied volatility averaged 35.4%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.9% (HV 20d: 33.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2016-04-26: Highest Volume — 355 contracts
2016-04-07: Largest IV spike — 547.1% change
2016-04-07: Highest IV Rank — 99.3%
2016-04-07: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.52	$19.17	$23.10	$23.10	$19.45
Max Pain	$21.31	$20.00	$22.50	$20.00	$20.00
ATM IV	35.4%	22.4%	191.7%	30.3%	24.4%
Expected Move	8.7%	6.4%	24.9%	8.7%	7.0%
HV 20d	33.5%	21.0%	56.9%	23.4%	56.9%
HV 60d	27.5%	21.5%	37.1%	25.3%	37.1%
IV Rank	11.2%	3.9%	99.3%	8.3%	5.0%
IV Percentile	40.6%	14.3%	99.6%	50.8%	25.0%
Term Structure	-2.7%	-33.7%	5.0%	1.1%	1.5%
VWIV	30.8%	22.2%	79.6%	34.4%	24.8%
Skew 25d	9.8%	-14.4%	92.3%	2.5%	92.3%
Skew 10d	14.8%	-19.4%	125.5%	-7.8%	125.5%
Call IV 25d	34.8%	23.2%	116.4%	36.0%	25.8%
Put IV 25d	44.5%	27.0%	131.0%	38.5%	118.1%
Bid-Ask Spread %	111.71	94.06	148.96	135.45	127.94
Gamma HHI	0.65	0.35	0.96	0.80	0.38
Net GEX	20.0K	1.3K	80.8K	22.2K	2.7K
Net DEX	-134.0K	-345.9K	73.6K	-333.5K	73.6K
Net VEX	-715	-1.2K	-340	-781	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.33	2.36	2.23	0.48
Total Volume	134.667	47	355	113	334
Total OI	369.905	140	503	441	503

Daily Data (21 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
2016-04-01	$23.10	$20.00	30.3%	8.7%	23.4%	8.3%	34.4%	2.5%	1.1%	22.2K	-333.5K	-781	2.23	135.45	N/A	N/A	35	78	257	184
2016-04-04	$22.85	$22.50	29.5%	7.7%	23.4%	7.9%	25.8%	2.6%	-0.4%	31.7K	-345.9K	-728	2.36	104.06	N/A	N/A	33	78	257	184
2016-04-05	$22.43	$22.50	26.7%	7.4%	23.1%	6.3%	24.9%	3.4%	0.4%	33.6K	-291.1K	-805	0.94	94.59	N/A	N/A	33	31	267	184
2016-04-06	$22.37	$22.50	29.6%	7.2%	21.6%	8.0%	25.1%	-1.8%	-0.4%	34.9K	-234.3K	-760	0.94	110.40	N/A	N/A	33	31	267	184
2016-04-07	$21.91	$22.50	191.7%	24.9%	22.7%	99.3%	79.6%	14.6%	-33.7%	3.4K	-207.9K	-954	0.94	144.77	N/A	N/A	33	31	267	184
2016-04-08	$22.06	$22.50	22.8%	8.2%	22.3%	4.1%	28.7%	-1.8%	-1.5%	55.6K	-236.7K	-761	0.86	96.76	N/A	N/A	36	31	267	184
2016-04-11	$22.14	$22.50	30.6%	8.6%	21.1%	8.5%	29.9%	1.6%	-1.8%	45.8K	-232.2K	-724	0.86	94.38	N/A	N/A	36	31	280	184
2016-04-12	$22.02	$22.50	25.2%	8.7%	21.0%	5.5%	30.0%	7.5%	-3.3%	41.9K	-139.5K	-656	0.86	105.10	N/A	N/A	36	31	280	184
2016-04-13	$22.72	$22.50	22.4%	6.4%	22.0%	3.9%	22.2%	1.4%	0.0%	31.8K	-327.0K	-633	0.82	125.82	N/A	N/A	38	31	280	184
2016-04-14	$22.58	$22.50	25.5%	7.3%	21.6%	5.6%	25.2%	1.4%	-0.3%	80.8K	-323.9K	-646	0.89	94.06	N/A	N/A	35	31	283	184
2016-04-15	$22.49	$22.50	24.4%	7.0%	21.3%	5.0%	24.1%	4.6%	-2.4%	5.2K	-120.3K	-533	0.86	104.19	N/A	N/A	36	31	283	184
2016-04-18	$22.85	$20.00	32.8%	9.4%	21.8%	9.8%	32.6%	7.1%	-15.8%	4.5K	-79.5K	-546	0.38	98.22	N/A	N/A	34	13	80	60
2016-04-19	$22.88	$20.00	29.2%	8.4%	21.8%	7.7%	28.6%	0.4%	-0.2%	5.4K	-103.4K	-645	0.33	99.98	N/A	N/A	40	13	100	60
2016-04-20	$22.57	$20.00	38.2%	10.9%	22.1%	12.8%	38.2%	-5.9%	-9.5%	5.4K	-106.2K	-669	0.72	130.51	N/A	N/A	40	29	108	60
2016-04-21	$19.49	$22.50	25.9%	7.4%	56.8%	5.9%	32.6%	-14.4%	5.0%	1.3K	27.4K	-568	0.87	116.46	N/A	N/A	85	74	108	77
2016-04-22	$19.45	$20.00	24.6%	7.1%	56.2%	5.2%	26.3%	16.2%	3.2%	3.1K	15.3K	-340	0.84	101.97	N/A	N/A	88	74	130	46
2016-04-25	$19.56	$20.00	31.9%	9.1%	56.3%	9.3%	32.8%	-2.4%	-2.9%	1.3K	42.9K	-441	0.84	105.24	N/A	N/A	88	74	133	76
2016-04-26	$20.00	$20.00	24.4%	7.0%	56.3%	5.1%	25.2%	-4.0%	-0.8%	1.9K	26.2K	-451	0.58	100.07	N/A	N/A	225	130	133	76
2016-04-27	$19.82	$20.00	26.6%	7.6%	55.9%	6.3%	28.2%	71.6%	0.9%	3.2K	34.8K	-1.2K	0.48	148.96	N/A	N/A	225	109	335	168
2016-04-28	$19.17	$20.00	26.3%	7.5%	56.4%	6.1%	26.7%	8.5%	4.7%	3.9K	46.8K	-1.1K	0.48	106.88	N/A	N/A	225	109	335	168
2016-04-29	$19.45	$20.00	24.4%	7.0%	56.9%	5.0%	24.8%	92.3%	1.5%	2.7K	73.6K	-1.1K	0.48	127.94	N/A	N/A	225	109	335	168