BHE Options History — August 2016

In August 2016, BHE traded between $23.28 and $24.40. ATM implied volatility averaged 33.1%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 19.4% (HV 20d: 13.7%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.22.

Notable Days

  • 2016-08-09: Highest Volume — 97 contracts
  • 2016-08-31: Largest IV spike — 260.9% change
  • 2016-08-01: Highest IV Rank — 61.5%
  • 2016-08-01: Largest Expected Move — 35.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.07$23.28$24.40$23.64$24.14
Max Pain$24.35$20.00$25.00$20.00$25.00
ATM IV33.1%16.6%123.8%123.8%69.1%
Expected Move8.7%3.3%35.5%35.5%19.8%
HV 20d13.7%8.7%17.4%17.0%9.1%
HV 60d23.2%22.1%24.8%24.6%22.2%
IV Rank10.0%0.6%61.5%61.5%30.4%
IV Percentile27.0%0.4%99.2%99.2%95.6%
Term Structure-3.3%-96.7%10.1%-35.0%7.9%
VWIV34.3%13.5%127.2%105.8%26.2%
Skew 25d13.2%-72.7%122.3%111.2%122.3%
Skew 10d18.7%-11.8%139.4%-5.9%139.4%
Call IV 25d28.7%14.8%113.1%59.1%41.5%
Put IV 25d41.9%15.7%170.3%170.3%163.8%
Bid-Ask Spread %122.5066.98147.65147.65144.76
Gamma HHI0.500.470.530.500.47
Net GEX17.0K9.1K23.1K15.3K9.1K
Net DEX-280.6K-316.6K-230.3K-250.8K-289.1K
Net VEX-703-798-599-788-727
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.110.480.130.46
Total Volume61.3040978735
Total OI217.043207226218226

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$23.64$20.00123.8%35.5%17.0%61.5%105.8%111.2%-35.0%15.3K-250.8K-7880.13147.65N/AN/A771020711
2016-08-02$23.28$20.0023.9%6.9%17.4%4.8%127.2%-3.4%-16.3%14.8K-241.2K-7980.13122.10N/AN/A771020711
2016-08-03$23.48$20.0075.9%21.8%17.2%34.3%111.9%-72.7%-96.7%15.7K-230.3K-7760.13147.16N/AN/A771020711
2016-08-04$23.51$25.0072.4%6.7%16.4%32.3%29.3%8.5%-2.2%15.9K-241.4K-7760.13138.06N/AN/A771020711
2016-08-05$23.85$25.0020.7%3.3%14.9%3.0%14.6%9.6%7.5%16.2K-258.0K-7460.13114.76N/AN/A771020711
2016-08-08$23.95$25.0023.1%6.3%14.9%4.3%22.3%2.6%0.9%16.3K-269.7K-7620.13105.95N/AN/A771020711
2016-08-09$24.20$25.0020.8%5.3%14.7%3.0%19.3%3.0%4.4%17.0K-291.6K-7400.11105.24N/AN/A871020711
2016-08-10$24.08$25.0017.5%5.0%14.9%1.1%16.5%0.4%6.4%18.2K-286.2K-7310.11121.11N/AN/A871020711
2016-08-11$24.13$25.0020.9%6.0%14.9%3.1%20.8%-8.0%1.8%17.0K-298.7K-7180.14116.72N/AN/A691020711
2016-08-12$24.22$25.0023.3%6.7%14.9%4.4%24.2%60.3%0.3%13.1K-269.8K-7400.15137.14N/AN/A671019611
2016-08-15$24.36$25.0020.1%5.8%14.8%2.6%19.8%-2.5%4.3%16.6K-304.2K-6920.15121.41N/AN/A671020011
2016-08-16$24.14$25.0016.6%4.8%15.1%0.6%16.6%-1.7%3.2%18.2K-286.9K-6740.1588.34N/AN/A671020011
2016-08-17$24.16$25.0052.6%15.1%14.5%21.1%0.0%79.3%1.3%16.0K-277.8K-6780.00132.07N/AN/A0019911
2016-08-18$24.15$25.0017.5%5.0%14.5%1.1%0.0%-0.4%-0.0%16.7K-286.1K-6610.00134.19N/AN/A0019911
2016-08-19$24.14$25.0018.2%5.2%13.6%1.5%13.5%3.8%4.0%21.6K-288.9K-6040.1598.39N/AN/A671020011
2016-08-22$24.15$25.0021.9%6.3%11.8%3.6%17.7%-2.5%10.1%13.7K-259.9K-7030.17134.30N/AN/A661119811
2016-08-23$24.23$25.0017.8%5.1%11.3%1.3%18.6%1.1%3.6%18.9K-293.8K-6480.31136.29N/AN/A351120712
2016-08-24$24.39$25.0023.2%6.7%11.1%4.4%0.0%-0.0%-3.4%17.7K-309.4K-6740.00140.07N/AN/A0021012
2016-08-25$24.40$25.0017.6%5.1%10.9%1.2%18.0%-2.0%6.2%20.8K-299.0K-6450.31110.97N/AN/A351121112
2016-08-26$24.25$25.0025.4%7.3%10.9%5.6%24.4%-2.5%1.3%18.3K-316.6K-6530.48141.85N/AN/A231121112
2016-08-29$24.33$25.0018.8%5.4%10.7%1.9%19.1%-0.7%6.4%20.5K-298.2K-6320.4866.98N/AN/A231121212
2016-08-30$24.33$25.0019.1%5.5%8.7%2.1%20.0%-3.1%8.5%23.1K-307.1K-5990.46111.98N/AN/A241121212
2016-08-31$24.14$25.0069.1%19.8%9.1%30.4%26.2%122.3%7.9%9.1K-289.1K-7270.46144.76N/AN/A241121412