BHE Options History — June 2016

In June 2016, BHE traded between $20.20 and $22.35. ATM implied volatility averaged 30.2%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 7.9% (HV 20d: 22.3%). 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 17 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2016-06-06: Highest Volume — 238 contracts
  • 2016-06-21: Largest IV spike — 142.9% change
  • 2016-06-01: Highest IV Rank — 34.7%
  • 2016-06-01: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.20$20.20$22.35$20.99$21.13
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV30.2%18.0%77.1%77.1%30.3%
Expected Move8.4%5.2%22.1%22.1%8.7%
HV 20d22.3%16.3%32.8%22.6%32.8%
HV 60d37.8%37.0%40.2%37.9%40.2%
IV Rank8.3%1.4%34.7%34.7%8.4%
IV Percentile39.0%2.0%93.3%93.3%55.6%
Term Structure1.1%-111.0%81.3%-111.0%2.4%
VWIV27.4%16.0%76.8%76.8%26.9%
Skew 25d0.1%-112.9%46.2%-112.9%20.0%
Skew 10d-14.5%-131.4%52.0%-131.4%-80.6%
Call IV 25d34.8%18.0%149.1%149.1%22.8%
Put IV 25d34.9%20.6%80.4%36.2%42.8%
Bid-Ask Spread %119.3753.54147.70139.16147.70
Gamma HHI0.550.420.760.430.64
Net GEX11.8K6.7K28.3K7.3K12.4K
Net DEX-180.7K-254.5K-99.9K-202.0K-152.0K
Net VEX-1.1K-1.2K-817-1.2K-890
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.250.260.260.26
Total Volume225.818211238229211
Total OI366.364327411405327

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$20.99$20.0077.1%22.1%22.6%34.7%76.8%-112.9%-111.0%7.3K-202.0K-1.2K0.26139.16N/AN/A18247303102
2016-06-02$21.09$20.0026.0%6.2%22.1%6.0%22.3%0.8%9.2%6.7K-176.7K-1.1K0.2653.54N/AN/A18248297102
2016-06-03$21.16$20.0027.5%6.6%21.7%6.8%23.8%0.5%8.8%7.7K-188.3K-1.2K0.26123.27N/AN/A18248297106
2016-06-06$21.23$20.0023.8%6.3%21.3%4.7%21.9%5.1%10.5%8.8K-207.5K-1.1K0.2599.34N/AN/A19048297106
2016-06-07$21.26$20.0033.4%6.0%21.3%10.1%22.1%2.5%4.0%8.9K-205.6K-1.2K0.25105.29N/AN/A19048305106
2016-06-08$21.47$20.0018.0%5.2%21.2%1.4%20.3%5.1%6.3%11.7K-186.5K-1.1K0.2566.94N/AN/A19048285102
2016-06-09$21.45$20.0019.6%5.6%19.4%2.3%20.3%3.5%3.9%11.1K-180.4K-1.2K0.2587.32N/AN/A19048285102
2016-06-10$21.14$20.0028.0%8.0%17.9%7.1%27.2%1.3%6.9%10.5K-154.1K-1.2K0.25129.66N/AN/A19048285102
2016-06-13$20.80$20.0024.7%7.1%19.1%5.2%23.5%3.4%7.2%7.6K-137.5K-1.1K0.2593.10N/AN/A19048285102
2016-06-14$21.07$20.0026.9%7.7%19.5%6.4%25.2%7.9%3.9%6.8K-142.1K-1.0K0.25129.59N/AN/A19048285102
2016-06-15$20.76$20.0034.3%9.8%20.4%10.6%26.6%11.7%-6.4%7.8K-179.5K-1.1K0.25144.72N/AN/A19048285102
2016-06-16$21.18$20.0047.3%13.6%20.4%17.9%32.2%-18.5%-28.4%11.9K-183.2K-1.1K0.25142.79N/AN/A19048285102
2016-06-17$21.33$20.0023.2%6.6%19.2%4.3%23.4%5.0%10.4%13.3K-188.6K-1.0K0.25117.62N/AN/A19048285102
2016-06-20$21.67$20.0018.7%5.4%19.2%1.8%16.9%2.6%81.3%20.7K-221.9K-1.0K0.26131.46N/AN/A1674428245
2016-06-21$21.79$20.0045.5%13.0%19.2%16.9%32.9%46.2%-2.8%15.9K-228.2K-1.0K0.26139.28N/AN/A1674428245
2016-06-22$21.90$20.0023.4%6.7%16.3%4.4%26.3%-46.5%4.1%18.8K-233.2K-1.1K0.26140.07N/AN/A1674428245
2016-06-23$22.35$20.0018.5%5.3%16.6%1.7%16.0%2.9%5.5%28.3K-254.5K-1.0K0.26136.15N/AN/A1674428245
2016-06-24$21.31$20.0022.9%6.6%24.7%4.2%29.6%13.3%9.7%14.4K-203.5K-1.1K0.26139.13N/AN/A1674428245
2016-06-27$20.20$20.0040.0%11.5%31.4%13.8%31.5%11.0%-4.9%11.0K-137.8K-8910.26115.45N/AN/A1674428245
2016-06-28$20.46$20.0030.1%8.6%31.8%8.3%30.6%23.4%2.5%9.0K-99.9K-8170.26118.45N/AN/A1674428245
2016-06-29$20.62$20.0025.2%7.2%31.6%5.5%25.7%13.4%1.6%9.3K-111.6K-8240.26126.03N/AN/A1674428245
2016-06-30$21.13$20.0030.3%8.7%32.8%8.4%26.9%20.0%2.4%12.4K-152.0K-8900.26147.70N/AN/A1674428245