BHE Options History — July 2016

In July 2016, BHE traded between $20.85 and $23.73. ATM implied volatility averaged 33.4%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.6% (HV 20d: 29.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.24.

Notable Days

2016-07-01: Highest Volume — 211 contracts
2016-07-29: Largest IV spike — 158.2% change
2016-07-07: Highest IV Rank — 29.3%
2016-07-29: Largest Expected Move — 18.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.48	$20.85	$23.73	$21.14	$23.47
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	33.4%	21.6%	67.5%	35.2%	64.7%
Expected Move	9.0%	6.2%	18.5%	10.1%	18.5%
HV 20d	29.8%	17.1%	35.0%	32.8%	17.1%
HV 60d	32.6%	24.7%	40.2%	39.9%	24.7%
IV Rank	10.1%	3.5%	29.3%	11.1%	27.9%
IV Percentile	52.3%	6.7%	94.8%	71.0%	94.8%
Term Structure	-1.3%	-26.2%	31.2%	31.2%	-26.2%
VWIV	54.3%	30.0%	78.5%	30.0%	78.5%
Skew 25d	11.9%	-68.7%	59.7%	7.2%	23.3%
Skew 10d	24.8%	-88.6%	104.9%	-88.6%	1.5%
Call IV 25d	37.2%	20.4%	99.6%	23.6%	29.2%
Put IV 25d	49.1%	21.5%	95.3%	30.9%	52.5%
Bid-Ask Spread %	123.63	74.44	147.37	147.37	142.59
Gamma HHI	0.59	0.48	0.77	0.63	0.48
Net GEX	15.9K	10.3K	31.8K	13.5K	15.1K
Net DEX	-218.0K	-347.6K	-132.0K	-168.8K	-233.2K
Net VEX	-839	-922	-724	-922	-823
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.13	0.37	0.26	0.13
Total Volume	131.05	50	211	211	87
Total OI	264	185	327	327	218

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
2016-07-01	$21.14	$20.00	35.2%	10.1%	32.8%	11.1%	30.0%	7.2%	31.2%	13.5K	-168.8K	-922	0.26	147.37	N/A	N/A	167	44	282	45
2016-07-05	$20.87	$0.00	30.6%	10.6%	33.0%	8.5%	0.0%	48.8%	0.3%	11.2K	-133.6K	-820	0.26	142.68	N/A	N/A	167	44	282	45
2016-07-06	$20.85	$0.00	38.6%	9.9%	33.0%	13.1%	0.0%	30.0%	-4.8%	11.5K	-132.0K	-822	0.26	135.27	N/A	N/A	167	44	282	45
2016-07-07	$21.28	$0.00	67.5%	7.5%	33.7%	29.3%	0.0%	2.5%	1.4%	14.4K	-161.3K	-833	0.26	125.00	N/A	N/A	167	44	282	45
2016-07-08	$21.84	$0.00	32.7%	8.7%	35.0%	9.7%	0.0%	1.1%	0.9%	20.2K	-213.7K	-894	0.37	121.71	N/A	N/A	119	44	282	45
2016-07-11	$21.91	$0.00	33.9%	8.9%	34.5%	10.4%	0.0%	-1.3%	-2.5%	23.0K	-226.2K	-898	0.37	111.35	N/A	N/A	119	44	282	45
2016-07-12	$22.21	$0.00	23.3%	8.7%	34.1%	4.4%	0.0%	53.1%	-3.7%	19.3K	-264.7K	-898	0.36	127.82	N/A	N/A	122	44	282	45
2016-07-13	$22.41	$0.00	32.1%	9.2%	33.9%	9.5%	0.0%	3.5%	-3.5%	30.2K	-279.5K	-900	0.36	102.82	N/A	N/A	122	44	278	45
2016-07-14	$22.50	$0.00	29.8%	8.6%	33.3%	8.2%	0.0%	4.3%	1.0%	31.8K	-303.9K	-888	0.27	99.78	N/A	N/A	163	44	278	45
2016-07-15	$22.61	$0.00	34.9%	10.0%	32.7%	11.0%	0.0%	59.7%	-4.6%	10.3K	-347.6K	-867	0.36	116.77	N/A	N/A	123	44	265	45
2016-07-18	$22.58	$0.00	30.4%	8.7%	32.7%	8.5%	0.0%	49.6%	-1.2%	12.2K	-182.7K	-830	0.14	131.34	N/A	N/A	70	10	189	11
2016-07-19	$22.44	$0.00	37.7%	10.8%	32.5%	12.6%	0.0%	-6.3%	-8.5%	11.0K	-172.5K	-823	0.14	138.21	N/A	N/A	70	10	189	11
2016-07-20	$22.79	$0.00	23.5%	6.7%	32.9%	4.5%	0.0%	15.2%	5.8%	11.4K	-180.2K	-820	0.25	74.44	N/A	N/A	40	10	189	11
2016-07-21	$22.85	$0.00	30.9%	8.9%	32.9%	8.8%	0.0%	47.5%	-0.6%	11.0K	-194.1K	-773	0.25	141.31	N/A	N/A	40	10	174	11
2016-07-22	$23.23	$0.00	21.6%	6.2%	32.6%	3.5%	0.0%	-41.0%	7.5%	12.0K	-194.4K	-760	0.25	140.00	N/A	N/A	40	10	174	11
2016-07-25	$23.70	$0.00	26.3%	7.5%	27.4%	6.1%	0.0%	3.3%	-8.8%	13.2K	-225.6K	-724	0.13	116.78	N/A	N/A	77	10	174	11
2016-07-26	$23.51	$20.00	24.9%	7.1%	17.3%	5.4%	0.0%	-68.7%	-5.4%	16.4K	-235.4K	-805	0.13	127.98	N/A	N/A	77	10	211	11
2016-07-27	$23.73	$20.00	24.3%	7.0%	17.2%	5.0%	0.0%	1.1%	-1.1%	15.4K	-260.8K	-855	0.13	110.82	N/A	N/A	77	10	211	11
2016-07-28	$23.63	$20.00	25.0%	7.2%	17.7%	5.4%	0.0%	6.0%	-3.9%	15.1K	-249.5K	-828	0.13	118.59	N/A	N/A	77	10	207	11
2016-07-29	$23.47	$20.00	64.7%	18.5%	17.1%	27.9%	78.5%	23.3%	-26.2%	15.1K	-233.2K	-823	0.13	142.59	N/A	N/A	77	10	207	11