BHE Options History — December 2016

In December 2016, BHE traded between $27.55 and $31.13. ATM implied volatility averaged 25.7%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.1% (HV 20d: 20.6%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.19.

Notable Days

2016-12-27: Highest Volume — 43 contracts
2016-12-06: Largest IV spike — 180.7% change
2016-12-06: Highest IV Rank — 30.3%
2016-12-01: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.81	$27.55	$31.13	$27.55	$30.35
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	25.7%	15.6%	69.7%	33.3%	22.3%
Expected Move	6.1%	4.5%	9.6%	9.6%	6.4%
HV 20d	20.6%	18.4%	22.3%	19.8%	18.4%
HV 60d	19.4%	18.5%	21.1%	20.2%	19.3%
IV Rank	5.4%	0.0%	30.3%	9.5%	3.8%
IV Percentile	25.7%	0.0%	97.2%	69.0%	13.5%
Term Structure	5.2%	-5.0%	23.4%	-5.0%	4.3%
VWIV	23.2%	15.4%	38.2%	21.3%	21.1%
Skew 25d	0.4%	-6.7%	15.2%	-3.9%	-1.8%
Skew 10d	0.7%	-8.8%	16.7%	-8.3%	6.4%
Call IV 25d	23.0%	18.0%	34.3%	34.3%	27.6%
Put IV 25d	23.4%	15.4%	33.3%	30.4%	25.9%
Bid-Ask Spread %	117.43	103.41	127.54	127.54	120.65
Gamma HHI	0.76	0.61	0.81	0.61	0.77
Net GEX	3.2K	2.4K	4.2K	3.5K	2.5K
Net DEX	-111.9K	-128.9K	-85.7K	-85.7K	-115.5K
Net VEX	-343	-390	-300	-334	-375
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.05	0.57	0.05	0.39
Total Volume	27.286	21	43	21	43
Total OI	64.81	61	73	61	73

Daily Data (21 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
2016-12-01	$27.55	$0.00	33.3%	9.6%	19.8%	9.5%	0.0%	-3.9%	-5.0%	3.5K	-85.7K	-334	0.05	127.54	N/A	N/A	20	1	60	1
2016-12-02	$28.45	$0.00	26.7%	7.7%	22.0%	5.8%	0.0%	14.9%	3.3%	3.3K	-90.6K	-325	0.05	119.35	N/A	N/A	20	1	60	1
2016-12-05	$28.95	$22.50	24.8%	5.0%	22.3%	4.7%	21.3%	15.2%	9.5%	3.3K	-101.0K	-336	0.05	122.15	N/A	N/A	20	1	60	1
2016-12-06	$29.10	$22.50	69.7%	6.1%	21.7%	30.3%	37.7%	1.3%	4.6%	3.5K	-103.2K	-341	0.05	115.49	N/A	N/A	20	1	60	1
2016-12-07	$29.23	$22.50	19.0%	5.5%	21.5%	1.4%	20.7%	-0.6%	6.5%	3.5K	-103.1K	-335	0.05	108.43	N/A	N/A	20	1	60	1
2016-12-08	$29.55	$22.50	21.0%	5.7%	20.5%	2.5%	19.7%	-0.9%	4.6%	3.6K	-108.8K	-331	0.05	103.50	N/A	N/A	20	1	60	1
2016-12-09	$29.55	$22.50	23.7%	6.2%	20.6%	4.0%	24.9%	3.2%	2.8%	3.5K	-113.5K	-334	0.05	115.60	N/A	N/A	21	1	60	1
2016-12-12	$29.60	$22.50	32.4%	5.7%	19.9%	9.0%	24.3%	0.3%	4.0%	3.7K	-108.4K	-331	0.05	113.62	N/A	N/A	21	1	61	1
2016-12-13	$29.45	$22.50	46.4%	6.2%	20.1%	17.0%	31.0%	-2.3%	4.0%	3.4K	-113.1K	-333	0.05	120.58	N/A	N/A	21	1	61	1
2016-12-14	$29.45	$22.50	24.1%	6.9%	20.1%	4.2%	38.2%	1.6%	0.4%	3.7K	-113.8K	-326	0.05	127.29	N/A	N/A	21	1	61	1
2016-12-15	$29.85	$22.50	19.9%	5.7%	20.3%	1.9%	22.4%	1.8%	4.2%	3.6K	-117.0K	-327	0.05	103.41	N/A	N/A	21	1	61	1
2016-12-16	$29.90	$22.50	19.0%	5.4%	20.3%	1.4%	21.0%	2.6%	7.7%	3.2K	-115.6K	-330	0.05	112.67	N/A	N/A	21	1	61	1
2016-12-19	$29.90	$22.50	20.0%	5.7%	20.3%	1.9%	22.3%	1.7%	23.4%	3.7K	-116.4K	-323	0.05	121.01	N/A	N/A	21	1	61	1
2016-12-20	$30.48	$22.50	15.6%	4.5%	20.9%	0.0%	15.4%	-3.5%	7.5%	4.2K	-122.4K	-300	0.05	121.91	N/A	N/A	21	1	61	1
2016-12-21	$30.75	$22.50	18.0%	5.2%	20.5%	1.3%	19.9%	1.5%	3.4%	3.3K	-128.9K	-322	0.57	119.54	N/A	N/A	21	12	61	1
2016-12-22	$30.60	$22.50	16.8%	4.8%	20.3%	0.7%	16.4%	-6.7%	9.2%	2.4K	-113.7K	-390	0.57	119.56	N/A	N/A	21	12	61	12
2016-12-23	$30.73	$22.50	18.6%	5.3%	20.3%	1.7%	19.2%	-4.5%	7.2%	2.4K	-118.5K	-386	0.57	117.18	N/A	N/A	21	12	61	12
2016-12-27	$31.13	$22.50	22.8%	6.5%	20.5%	4.1%	20.9%	-4.7%	-0.5%	2.5K	-121.8K	-378	0.39	117.95	N/A	N/A	31	12	61	12
2016-12-28	$30.58	$22.50	22.5%	6.5%	21.9%	3.9%	20.4%	-4.9%	2.9%	2.5K	-123.0K	-363	0.39	119.93	N/A	N/A	31	12	61	12
2016-12-29	$30.85	$22.50	23.0%	6.6%	20.5%	4.2%	24.4%	-2.7%	5.5%	2.5K	-116.0K	-379	0.39	118.61	N/A	N/A	31	12	61	12
2016-12-30	$30.35	$22.50	22.3%	6.4%	18.4%	3.8%	21.1%	-1.8%	4.3%	2.5K	-115.5K	-375	0.39	120.65	N/A	N/A	31	12	61	12