BHE Options History — September 2016

In September 2016, BHE traded between $23.79 and $25.06. ATM implied volatility averaged 30.5%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 15.0% (HV 20d: 15.5%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2016-09-28: Highest Volume — 75 contracts
  • 2016-09-19: Largest IV spike — 114.6% change
  • 2016-09-01: Highest IV Rank — 30.2%
  • 2016-09-01: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.44$23.79$25.06$24.25$24.95
Max Pain$21.31$20.00$25.00$25.00$22.50
ATM IV30.5%19.7%68.7%68.7%27.8%
Expected Move8.6%5.6%19.7%19.7%8.0%
HV 20d15.5%7.8%21.5%9.1%21.5%
HV 60d19.9%16.4%22.9%22.2%16.4%
IV Rank8.5%2.4%30.2%30.2%7.0%
IV Percentile47.4%6.7%95.2%95.2%48.4%
Term Structure-0.4%-6.1%9.3%9.3%-1.5%
VWIV27.2%20.5%34.4%20.6%27.6%
Skew 25d19.2%-3.6%127.0%127.0%-1.9%
Skew 10d24.0%-11.2%146.1%146.1%-4.9%
Call IV 25d29.8%23.9%39.3%39.3%34.7%
Put IV 25d49.0%24.5%166.2%166.2%32.7%
Bid-Ask Spread %117.2894.24148.23140.72117.88
Gamma HHI0.530.470.590.470.59
Net GEX20.0K12.8K28.2K12.8K21.2K
Net DEX-329.1K-423.9K-252.8K-291.7K-387.1K
Net VEX-547-680-433-680-475
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.311.420.691.42
Total Volume45.09526752775
Total OI248.143226288226288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$24.25$25.0068.7%19.7%9.1%30.2%20.6%127.0%9.3%12.8K-291.7K-6800.69140.72N/AN/A161121412
2016-09-02$24.33$25.0019.7%5.6%7.8%2.4%20.5%-2.3%3.8%22.3K-321.7K-5870.69110.09N/AN/A161121612
2016-09-06$24.14$20.0021.3%7.2%8.3%3.3%26.2%1.9%0.2%21.2K-282.9K-5580.6998.94N/AN/A161121612
2016-09-07$24.40$20.0022.0%7.2%8.4%3.7%24.8%5.3%-0.9%25.1K-313.0K-5070.69121.69N/AN/A161121612
2016-09-08$24.38$20.0024.2%6.5%8.1%4.9%23.9%7.2%-0.0%21.3K-313.3K-5450.69127.17N/AN/A161121612
2016-09-09$23.79$20.0025.3%6.3%12.0%5.6%26.6%3.7%2.0%17.9K-268.7K-5400.6996.87N/AN/A161121612
2016-09-12$23.90$20.0034.3%7.7%12.1%10.7%26.2%9.7%3.6%19.4K-272.7K-5280.69125.21N/AN/A161121612
2016-09-13$23.95$20.0032.7%7.8%11.9%9.8%28.9%3.5%-1.7%15.7K-252.8K-4960.73120.48N/AN/A151121612
2016-09-14$23.87$20.0025.1%7.2%11.5%5.4%27.4%2.6%-3.9%19.1K-274.6K-4940.44107.61N/AN/A251121712
2016-09-15$24.55$20.0025.8%7.4%15.4%5.8%26.2%4.5%-1.7%28.2K-321.1K-4330.4294.24N/AN/A261122812
2016-09-16$23.95$20.0025.2%7.2%17.9%5.5%26.3%6.0%1.3%17.1K-276.8K-5320.3199.20N/AN/A361123912
2016-09-19$24.40$20.0054.0%15.5%19.1%21.9%33.5%6.7%4.7%19.8K-324.5K-5630.55137.10N/AN/A201122512
2016-09-20$24.39$20.0026.4%7.6%19.1%6.2%25.1%6.1%1.5%20.3K-348.4K-5390.55120.35N/AN/A201122612
2016-09-21$24.81$20.0032.5%9.3%20.0%9.7%34.4%71.9%-4.7%17.1K-361.2K-5680.39148.23N/AN/A411622612
2016-09-22$25.06$22.5026.8%7.7%20.1%6.4%24.0%50.0%-3.5%24.2K-423.9K-4641.16126.42N/AN/A313624317
2016-09-23$24.79$22.5028.5%8.2%20.6%7.4%28.7%59.7%-1.5%19.1K-372.6K-6411.16114.48N/AN/A313624337
2016-09-26$24.90$22.5031.9%9.2%20.5%9.3%31.9%-2.0%-3.9%19.3K-376.0K-6071.16120.54N/AN/A313624337
2016-09-27$25.05$22.5029.7%8.5%20.5%8.1%30.3%-0.9%-3.9%19.1K-397.2K-5741.16116.27N/AN/A313624337
2016-09-28$24.88$22.5029.4%8.4%20.7%7.9%29.4%-3.6%-2.0%19.8K-384.2K-5771.42106.74N/AN/A314424337
2016-09-29$24.60$22.5029.2%8.4%21.0%7.8%29.5%47.6%-6.1%19.4K-346.2K-5891.42112.64N/AN/A314424345
2016-09-30$24.95$22.5027.8%8.0%21.5%7.0%27.6%-1.9%-1.5%21.2K-387.1K-4751.42117.88N/AN/A314424345