BHE Options History — January 2017

In January 2017, BHE traded between $29.73 and $31.10. ATM implied volatility averaged 31.7%, 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 12.9% (HV 20d: 18.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.42.

Notable Days

2017-01-20: Highest Volume — 44 contracts
2017-01-10: Largest IV spike — 261.1% change
2017-01-10: Highest IV Rank — 33.8%
2017-01-03: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.53	$29.73	$31.10	$30.65	$30.70
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	31.7%	17.6%	75.2%	55.5%	30.0%
Expected Move	8.7%	5.7%	15.9%	15.9%	8.6%
HV 20d	18.8%	15.2%	21.2%	15.5%	17.9%
HV 60d	19.1%	18.7%	19.7%	19.3%	18.7%
IV Rank	9.1%	1.2%	33.8%	22.7%	8.2%
IV Percentile	53.0%	2.4%	97.6%	92.9%	59.5%
Term Structure	-4.5%	-64.3%	8.5%	-64.3%	-1.3%
VWIV	23.7%	22.7%	24.8%	22.7%	24.8%
Skew 25d	10.8%	-25.3%	45.2%	-25.3%	5.5%
Skew 10d	22.4%	-3.6%	68.5%	-0.1%	8.3%
Call IV 25d	27.6%	21.7%	50.8%	50.8%	22.6%
Put IV 25d	38.5%	25.1%	75.9%	25.5%	28.1%
Bid-Ask Spread %	116.36	101.78	130.97	120.25	122.41
Gamma HHI	0.79	0.75	0.87	0.78	0.82
Net GEX	2.4K	-4.1K	3.2K	2.6K	3.1K
Net DEX	-105.7K	-126.5K	-77.4K	-119.5K	-91.9K
Net VEX	-343	-367	-320	-365	-320
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.38	0.48	0.39	0.48
Total Volume	39.9	34	44	43	34
Total OI	69.85	64	73	73	64

Daily Data (20 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
2017-01-03	$30.65	$22.50	55.5%	15.9%	15.5%	22.7%	22.7%	-25.3%	-64.3%	2.6K	-119.5K	-365	0.39	120.25	N/A	N/A	31	12	61	12
2017-01-04	$31.10	$22.50	19.9%	5.7%	15.2%	2.5%	24.8%	1.6%	3.0%	2.5K	-122.3K	-363	0.39	116.08	N/A	N/A	31	12	61	12
2017-01-05	$30.60	$0.00	17.6%	7.7%	16.8%	1.2%	0.0%	5.6%	-0.6%	2.5K	-118.4K	-361	0.39	101.78	N/A	N/A	31	12	61	12
2017-01-06	$30.58	$0.00	19.2%	7.8%	16.8%	2.0%	0.0%	5.7%	1.4%	2.4K	-111.8K	-367	0.39	115.59	N/A	N/A	31	12	61	12
2017-01-09	$30.25	$0.00	20.8%	7.7%	17.1%	3.0%	0.0%	4.9%	0.8%	2.5K	-111.5K	-359	0.39	118.47	N/A	N/A	31	12	61	12
2017-01-10	$30.95	$0.00	75.2%	6.6%	18.7%	33.8%	0.0%	19.8%	8.5%	2.6K	-118.9K	-350	0.39	120.47	N/A	N/A	31	12	61	12
2017-01-11	$31.03	$0.00	29.4%	8.4%	18.7%	7.8%	0.0%	21.6%	-4.1%	2.8K	-126.5K	-339	0.39	108.65	N/A	N/A	31	12	61	12
2017-01-12	$30.85	$0.00	27.3%	7.8%	18.7%	6.7%	0.0%	-3.0%	0.5%	2.6K	-120.3K	-351	0.39	117.19	N/A	N/A	31	12	61	12
2017-01-13	$30.90	$0.00	26.5%	7.6%	18.7%	6.2%	0.0%	-1.6%	2.1%	2.6K	-120.8K	-345	0.39	126.37	N/A	N/A	31	12	61	12
2017-01-17	$30.15	$0.00	30.3%	8.7%	20.5%	8.4%	0.0%	3.0%	-3.3%	2.3K	-110.9K	-340	0.39	108.70	N/A	N/A	31	12	61	12
2017-01-18	$30.15	$0.00	26.9%	7.7%	20.5%	6.4%	0.0%	2.0%	-0.9%	2.7K	-107.0K	-339	0.39	125.36	N/A	N/A	31	12	61	12
2017-01-19	$29.73	$0.00	29.5%	8.5%	21.2%	7.9%	0.0%	5.9%	-2.7%	2.6K	-102.6K	-338	0.39	119.53	N/A	N/A	31	12	61	12
2017-01-20	$30.03	$0.00	36.0%	10.3%	20.3%	11.6%	0.0%	45.2%	-3.2%	-4.1K	-107.2K	-334	0.38	130.97	N/A	N/A	32	12	61	12
2017-01-23	$30.00	$0.00	33.5%	9.6%	19.9%	10.2%	0.0%	13.6%	-5.7%	3.1K	-77.4K	-340	0.48	101.79	N/A	N/A	23	11	53	11
2017-01-24	$30.40	$0.00	34.3%	9.8%	20.5%	10.6%	0.0%	9.6%	-7.6%	3.0K	-84.4K	-339	0.48	111.96	N/A	N/A	23	11	53	11
2017-01-25	$30.63	$0.00	31.5%	9.0%	20.7%	9.0%	0.0%	27.0%	-3.8%	3.2K	-89.2K	-332	0.48	115.54	N/A	N/A	23	11	53	11
2017-01-26	$30.58	$0.00	32.1%	9.2%	20.1%	9.4%	0.0%	9.4%	-5.2%	3.1K	-90.8K	-331	0.48	112.40	N/A	N/A	23	11	53	11
2017-01-27	$30.65	$0.00	25.8%	7.4%	19.1%	5.8%	0.0%	29.4%	2.0%	3.1K	-92.6K	-326	0.48	121.69	N/A	N/A	23	11	53	11
2017-01-30	$30.58	$0.00	31.8%	9.1%	18.8%	9.2%	0.0%	36.3%	-5.2%	3.2K	-89.8K	-321	0.48	111.90	N/A	N/A	23	11	53	11
2017-01-31	$30.70	$0.00	30.0%	8.6%	17.9%	8.2%	0.0%	5.5%	-1.3%	3.1K	-91.9K	-320	0.48	122.41	N/A	N/A	23	11	53	11