BHE Options History — November 2016

In November 2016, BHE traded between $25.03 and $28.85. ATM implied volatility averaged 31.6%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 14.0% (HV 20d: 17.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2016-11-09: Highest Volume — 135 contracts
  • 2016-11-23: Largest IV spike — 90.6% change
  • 2016-11-01: Highest IV Rank — 24.2%
  • 2016-11-01: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.05$25.03$28.85$25.05$28.33
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV31.6%17.1%58.1%58.1%30.9%
Expected Move8.7%4.9%16.7%16.7%8.9%
HV 20d17.6%13.3%20.1%20.0%15.8%
HV 60d18.3%17.1%19.3%17.3%19.3%
IV Rank9.1%0.9%24.2%24.2%8.2%
IV Percentile47.8%0.8%92.5%92.5%60.3%
Term Structure-7.6%-43.0%7.1%-43.0%-11.9%
VWIV54.1%41.0%67.3%67.3%41.0%
Skew 25d7.2%-2.8%19.7%0.2%6.0%
Skew 10d7.6%-5.8%38.7%1.9%1.0%
Call IV 25d24.0%14.6%43.6%43.6%32.9%
Put IV 25d31.2%17.1%44.5%43.9%38.9%
Bid-Ask Spread %128.4999.14141.36123.99124.93
Gamma HHI0.580.490.730.530.73
Net GEX2.8K-2.3K4.5K2.2K3.2K
Net DEX-126.0K-230.3K-43.1K-80.6K-98.3K
Net VEX-444-628-325-530-339
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.020.440.030.05
Total Volume95.143211359721
Total OI137.196020517561

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$25.05$25.0058.1%16.7%20.0%24.2%67.3%0.2%-43.0%2.2K-80.6K-5300.03123.99N/AN/A94311461
2016-11-02$25.03$25.0041.2%11.8%19.5%14.6%41.0%-1.6%-19.4%2.4K-43.1K-5880.03139.50N/AN/A94312461
2016-11-03$25.05$0.0026.3%6.7%19.0%6.1%0.0%4.9%-1.1%1.8K-56.9K-5870.22122.45N/AN/A942112461
2016-11-04$25.20$0.0024.6%6.6%18.9%5.2%0.0%5.2%0.1%-2.3K-72.6K-6280.2299.14N/AN/A942112481
2016-11-07$25.75$0.0034.7%5.9%19.4%10.9%0.0%9.7%1.5%518-86.2K-5940.22141.36N/AN/A942112481
2016-11-08$25.75$0.0026.2%5.2%17.9%6.1%0.0%-2.8%3.9%-1.9K-89.0K-5250.22117.58N/AN/A942111681
2016-11-09$26.40$0.0025.9%7.4%19.8%5.9%0.0%12.6%1.5%1.1K-105.9K-4740.44138.40N/AN/A944111681
2016-11-10$26.60$0.0024.6%7.1%19.3%5.2%0.0%7.4%-5.9%4.5K-177.6K-4630.44117.64N/AN/A944111641
2016-11-11$27.13$0.0047.0%13.5%20.1%17.9%0.0%10.4%-42.2%4.2K-197.5K-4490.44135.07N/AN/A944111641
2016-11-14$27.15$0.0043.4%12.4%20.0%15.8%0.0%5.1%-29.2%4.2K-197.8K-4580.44129.20N/AN/A944111641
2016-11-15$27.40$0.0048.2%13.8%19.9%18.6%0.0%7.6%-41.3%4.3K-212.2K-4020.44141.05N/AN/A944111641
2016-11-16$27.40$0.0025.6%7.3%18.3%5.7%0.0%8.4%-7.8%4.3K-210.2K-4110.44133.98N/AN/A944111641
2016-11-17$27.65$0.0022.6%6.5%18.0%4.0%0.0%1.9%3.9%4.0K-225.6K-3910.44134.62N/AN/A944111641
2016-11-18$27.73$0.0036.0%10.3%17.7%11.6%0.0%10.8%4.4%4.0K-230.3K-4080.44139.79N/AN/A944111641
2016-11-21$27.65$0.0019.7%5.7%16.5%2.4%0.0%-0.5%3.5%4.0K-99.0K-3900.02129.12N/AN/A591691
2016-11-22$28.10$0.0024.3%7.0%14.3%5.0%0.0%11.7%5.5%3.9K-84.0K-3430.02140.25N/AN/A591591
2016-11-23$28.55$0.0046.4%13.3%14.7%17.6%0.0%19.7%5.3%3.3K-89.7K-3250.02132.28N/AN/A591591
2016-11-25$28.60$0.0017.1%4.9%13.9%0.9%0.0%7.3%6.3%3.4K-92.5K-3390.05118.53N/AN/A201591
2016-11-28$28.68$0.0018.7%5.4%13.6%1.8%0.0%12.0%7.1%3.6K-96.1K-3340.05118.89N/AN/A201601
2016-11-29$28.85$0.0022.3%6.4%13.3%3.3%0.0%15.9%-0.2%3.3K-100.3K-3420.05120.62N/AN/A201601
2016-11-30$28.33$0.0030.9%8.9%15.8%8.2%0.0%6.0%-11.9%3.2K-98.3K-3390.05124.93N/AN/A201601