BHE Options History — May 2016

In May 2016, BHE traded between $19.27 and $20.73. ATM implied volatility averaged 38.9%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 5.9% (HV 20d: 44.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2016-05-02: Highest Volume — 334 contracts
  • 2016-05-05: Largest IV spike — 367.2% change
  • 2016-05-05: Highest IV Rank — 65.2%
  • 2016-05-05: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.97$19.27$20.73$19.67$20.73
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV38.9%23.5%131.2%34.4%78.3%
Expected Move10.2%6.1%27.4%9.9%22.4%
HV 20d44.8%22.5%57.8%57.4%22.5%
HV 60d37.3%36.5%38.2%37.0%38.1%
IV Rank13.2%4.5%65.2%10.7%35.4%
IV Percentile50.7%19.0%98.8%64.3%93.3%
Term Structure-16.9%-112.8%3.9%-10.5%-112.8%
VWIV37.8%21.4%95.7%35.4%77.5%
Skew 25d2.0%-118.8%102.7%83.8%-118.8%
Skew 10d19.9%-70.0%145.4%118.5%-34.9%
Call IV 25d41.5%19.4%150.0%36.9%150.0%
Put IV 25d43.5%22.2%127.3%120.7%31.3%
Bid-Ask Spread %126.3691.65147.39137.54134.91
Gamma HHI0.410.340.490.370.43
Net GEX3.4K-1.2K6.5K2.3K5.3K
Net DEX-32.6K-179.6K94.4K60.8K-146.3K
Net VEX-1.1K-1.4K-951-1.1K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.300.550.480.30
Total Volume289.857190334334206
Total OI491.714375576503405

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$19.67$20.0034.4%9.9%57.4%10.7%35.4%83.8%-10.5%2.3K60.8K-1.1K0.48137.54N/AN/A225109335168
2016-05-03$19.59$20.0025.5%7.3%57.2%5.6%26.5%7.2%-1.3%2.6K61.1K-1.1K0.48114.11N/AN/A225109335168
2016-05-04$19.40$20.0028.1%8.0%57.2%7.1%28.3%102.7%0.3%3.1K47.3K-1.1K0.48131.23N/AN/A225109335168
2016-05-05$19.27$20.00131.2%27.4%57.0%65.2%95.7%8.1%-67.6%3.6K-39.2K-1.2K0.48137.96N/AN/A225109335168
2016-05-06$19.57$20.0033.5%6.9%57.3%10.1%24.0%7.3%2.0%1.8K80.2K-9850.48130.21N/AN/A225109335168
2016-05-09$19.70$20.0036.2%7.4%57.4%11.7%26.0%2.6%3.9%2.6K48.7K-1.0K0.49112.31N/AN/A223109335168
2016-05-10$19.94$20.0035.2%6.1%57.8%11.1%21.4%2.8%0.7%2.9K25.4K-1.1K0.55145.91N/AN/A200109354168
2016-05-11$20.48$20.0059.5%17.1%57.4%24.8%61.9%-64.3%-41.8%6.5K-179.6K-1.4K0.50147.39N/AN/A220109356168
2016-05-12$19.99$20.0027.9%8.0%57.8%7.0%38.1%0.9%-1.7%6.3K-70.7K-1.2K0.50100.00N/AN/A220109376168
2016-05-13$19.97$20.0027.8%8.0%57.8%7.0%30.7%59.2%-4.3%4.8K-31.0K-1.1K0.50125.69N/AN/A220109376168
2016-05-16$20.07$20.0024.0%6.9%57.4%4.8%24.0%15.5%3.1%3.7K-44.8K-1.0K0.52131.97N/AN/A208109376168
2016-05-17$20.04$20.0024.6%7.0%57.4%5.1%25.5%4.8%1.1%5.2K-28.8K-1.0K0.52110.83N/AN/A208109392168
2016-05-18$19.75$20.0029.9%8.6%57.4%8.1%35.1%-0.8%-3.7%6.3K-9.4K-1.1K0.52127.44N/AN/A208109408168
2016-05-19$19.46$20.0026.8%7.7%24.2%6.4%37.2%9.8%-6.5%4.0K-6.0K-1.1K0.52136.44N/AN/A208109408168
2016-05-20$19.77$20.0024.8%7.1%24.8%5.3%27.0%1.2%0.9%92994.4K-9510.52123.44N/AN/A208109408168
2016-05-23$19.85$20.0026.3%7.5%24.8%6.1%27.7%2.2%-0.4%1.1K-51.4K-9690.3397.04N/AN/A14347273102
2016-05-24$20.50$20.0023.5%6.7%26.1%4.5%23.5%10.6%-7.4%-1.2K-107.8K-1.0K0.33135.57N/AN/A14347273102
2016-05-25$20.31$20.0026.6%7.6%26.1%6.3%32.3%3.8%-2.4%2.8K-100.9K-1.0K0.3091.65N/AN/A15947273102
2016-05-26$20.54$20.0024.4%7.0%22.9%5.0%24.4%7.6%-9.2%2.3K-126.3K-1.1K0.30134.78N/AN/A15947305102
2016-05-27$20.73$20.0069.1%19.8%22.7%30.2%70.8%-104.1%-97.4%4.5K-160.0K-1.2K0.30147.16N/AN/A15947303102
2016-05-31$20.73$20.0078.3%22.4%22.5%35.4%77.5%-118.8%-112.8%5.3K-146.3K-1.1K0.30134.91N/AN/A15947303102