BHE Options History — October 2016

In October 2016, BHE traded between $24.84 and $25.85. ATM implied volatility averaged 31.0%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 11.1% (HV 20d: 19.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-10-20: Highest Volume — 137 contracts
  • 2016-10-31: Largest IV spike — 55.3% change
  • 2016-10-31: Highest IV Rank — 14.5%
  • 2016-10-31: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.19$24.84$25.85$24.84$25.08
Max Pain$24.64$22.50$25.00$22.50$25.00
ATM IV31.0%22.7%41.1%32.6%41.1%
Expected Move8.5%6.5%11.8%9.4%11.8%
HV 20d19.9%17.1%22.1%21.5%20.0%
HV 60d16.6%15.7%17.8%15.7%17.3%
IV Rank8.8%4.1%14.5%9.7%14.5%
IV Percentile59.0%13.9%87.3%68.3%87.3%
Term Structure-2.6%-16.1%23.6%-6.6%-16.1%
VWIV29.7%22.6%40.7%33.1%40.7%
Skew 25d5.1%-64.1%47.3%-5.7%-9.8%
Skew 10d13.9%-83.4%86.5%-9.2%-16.2%
Call IV 25d37.6%23.8%96.6%38.5%46.0%
Put IV 25d42.8%26.6%82.0%32.8%36.3%
Bid-Ask Spread %118.4095.43133.95125.24133.24
Gamma HHI0.710.500.990.570.76
Net GEX9.8K-6.1K19.4K18.6K599
Net DEX-307.2K-591.7K-18.1K-372.0K-18.1K
Net VEX-391-526-154-526-381
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.031.581.190.03
Total Volume79.095481376896
Total OI272.667126394288135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$24.84$22.5032.6%9.4%21.5%9.7%33.1%-5.7%-6.6%18.6K-372.0K-5261.19125.24N/AN/A313724345
2016-10-04$24.85$22.5027.6%7.9%21.3%6.9%27.8%-3.0%2.5%19.4K-385.7K-4950.95112.53N/AN/A393724351
2016-10-05$25.16$22.5029.9%8.6%21.4%8.2%29.3%47.3%-2.5%18.1K-409.7K-4470.95128.61N/AN/A393725151
2016-10-06$25.45$25.0033.2%8.3%21.7%10.0%28.8%47.0%-5.0%18.4K-448.1K-4320.95117.04N/AN/A393725151
2016-10-07$25.23$25.0033.6%8.3%19.7%10.3%29.0%4.7%-1.6%17.8K-433.9K-4831.13106.08N/AN/A394425151
2016-10-10$25.70$25.0036.3%7.7%20.5%11.8%27.0%5.7%0.0%18.7K-476.9K-3771.13106.53N/AN/A394425164
2016-10-11$25.20$25.0039.4%8.5%22.1%13.5%29.6%6.3%-3.6%14.9K-418.9K-4521.1395.43N/AN/A394425169
2016-10-12$25.16$25.0032.1%9.2%22.0%9.4%32.1%6.2%-5.4%13.9K-380.3K-4261.13116.56N/AN/A394425182
2016-10-13$24.91$25.0031.1%8.9%20.3%8.9%30.7%7.5%-6.2%12.3K-329.1K-4891.13116.30N/AN/A394425195
2016-10-14$24.90$25.0031.2%8.9%17.9%8.9%31.2%1.6%-5.8%12.3K-349.9K-4351.13122.31N/AN/A394425195
2016-10-17$25.15$25.0032.4%9.3%17.1%9.6%32.4%6.7%-6.6%11.4K-365.6K-3441.13109.41N/AN/A394425195
2016-10-18$25.45$25.0033.2%9.5%17.5%10.1%33.2%7.1%-6.7%9.7K-591.7K-1541.07117.28N/AN/A414425195
2016-10-19$25.00$25.0031.5%9.0%17.9%9.1%31.5%5.5%-5.4%12.4K-348.4K-3291.07112.22N/AN/A414425595
2016-10-20$24.90$25.0022.7%6.5%17.6%4.1%22.6%-7.4%8.5%13.4K-322.7K-2751.58124.69N/AN/A538425595
2016-10-21$25.28$25.0024.8%7.1%17.9%5.3%24.8%26.1%-0.4%-6.1K-550.2K-2880.31104.67N/AN/A8326259135
2016-10-24$25.85$25.0025.8%7.4%19.4%5.9%27.8%8.3%23.6%-674-69.0K-3140.07129.57N/AN/A4536561
2016-10-25$25.30$25.0025.9%7.4%21.1%5.9%25.4%34.4%-2.3%-372-40.4K-3540.06132.95N/AN/A5336561
2016-10-26$25.35$25.0028.0%8.0%20.9%7.1%27.5%-12.6%-4.7%229-45.2K-4170.06127.91N/AN/A5337461
2016-10-27$25.15$25.0031.8%9.1%20.6%9.3%32.9%-64.1%-8.0%346-68.6K-3850.06133.95N/AN/A5337461
2016-10-28$25.10$25.0026.5%7.6%20.1%6.2%26.5%-3.8%-1.4%-144-25.9K-4050.06113.88N/AN/A5337461
2016-10-31$25.08$25.0041.1%11.8%20.0%14.5%40.7%-9.8%-16.1%599-18.1K-3810.03133.24N/AN/A9337461