BHE Options History — March 2017

In March 2017, BHE traded between $30.88 and $32.67. ATM implied volatility averaged 38.9%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 16.7% (HV 20d: 22.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.24.

Notable Days

  • 2017-03-16: Highest Volume — 71 contracts
  • 2017-03-23: Largest IV spike — 144.9% change
  • 2017-03-23: Highest IV Rank — 39.0%
  • 2017-03-23: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.72$30.88$32.67$31.93$31.80
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV38.9%18.1%84.2%30.3%34.0%
Expected Move10.6%5.2%24.1%8.7%9.8%
HV 20d22.2%16.8%28.3%27.9%16.8%
HV 60d21.3%20.8%22.0%21.7%21.0%
IV Rank13.2%1.4%39.0%8.4%10.5%
IV Percentile69.3%4.4%98.8%63.1%75.0%
Term Structure-12.8%-60.1%6.1%-17.9%-8.6%
VWIV34.5%18.4%85.2%20.2%33.0%
Skew 25d8.4%-19.4%39.7%-3.5%2.6%
Skew 10d31.2%2.1%93.7%5.9%3.6%
Call IV 25d26.5%18.3%41.9%30.1%29.5%
Put IV 25d34.9%19.8%69.6%26.5%32.1%
Bid-Ask Spread %122.86112.99131.00128.67125.73
Gamma HHI0.860.480.990.980.84
Net GEX-13.4K-36.4K-233-20.7K-1.4K
Net DEX-71.9K-204.6K48.4K-13.4K-135.1K
Net VEX-471-799-58-661-281
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.241.191.411.241.19
Total Volume58.34856715657
Total OI223.217138302277138

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$31.93$30.0030.3%8.7%27.9%8.4%20.2%-3.5%-17.9%-20.7K-13.4K-6611.24128.67N/AN/A253157220
2017-03-02$31.73$30.0031.5%9.0%28.1%9.0%18.4%-19.4%-18.4%-21.3K-25.0K-7141.24128.96N/AN/A253167220
2017-03-03$31.40$30.0055.6%15.9%28.1%22.7%22.0%-11.4%-60.1%-17.1K48.4K-7991.24123.08N/AN/A253167220
2017-03-06$31.05$30.0018.6%7.3%28.3%1.7%26.0%-7.4%-0.1%-34.7K-15.0K-6711.24114.68N/AN/A253167220
2017-03-07$31.28$30.0036.2%7.6%28.0%11.7%27.7%15.7%1.2%-26.2K15.4K-7001.24122.38N/AN/A253167220
2017-03-08$31.15$30.0032.2%6.7%28.0%9.4%23.5%21.4%2.9%-30.0K16.0K-6801.24112.99N/AN/A253167220
2017-03-09$31.00$30.0024.6%8.5%27.5%5.1%29.2%2.1%-6.8%-36.2K558-6361.24119.04N/AN/A253167220
2017-03-10$30.88$30.0031.6%7.6%18.7%9.1%27.3%5.5%-0.1%-36.4K41.1K-6671.24119.52N/AN/A253167220
2017-03-13$31.08$30.0034.7%8.9%18.1%10.8%31.1%8.1%-6.8%-34.1K-15.3K-5501.24126.73N/AN/A253167220
2017-03-14$31.55$30.0048.0%6.0%18.9%18.4%21.9%0.5%6.1%-20.4K-83.3K-4271.24115.84N/AN/A253167220
2017-03-15$32.00$30.0027.8%8.0%19.5%6.9%27.6%4.9%-1.1%-17.9K-87.8K-4221.41131.00N/AN/A294171220
2017-03-16$32.42$30.0024.4%7.0%19.1%5.0%25.5%5.0%3.9%-1.3K-154.6K-3401.37115.02N/AN/A304171230
2017-03-17$32.67$30.0018.1%5.2%19.3%1.4%42.0%17.6%2.1%-1.2K-149.3K-3391.37115.19N/AN/A304172230
2017-03-20$32.20$30.0042.6%12.2%19.7%15.3%39.9%5.6%-12.4%-829-152.6K-3141.19122.31N/AN/A26316870
2017-03-21$31.40$30.0031.7%9.1%21.5%9.1%30.1%-2.6%5.6%-2.4K-135.6K-2721.19128.81N/AN/A26316870
2017-03-22$31.90$30.0034.4%9.9%22.4%10.7%42.0%26.7%4.5%-746-92.5K-4271.19125.97N/AN/A26316870
2017-03-23$31.88$30.0084.2%24.1%22.3%39.0%85.2%39.7%-43.1%-233-66.2K-4411.19130.25N/AN/A26316870
2017-03-24$32.05$30.0046.0%13.2%22.2%17.3%44.2%17.7%-25.9%-783-112.1K-3891.19121.88N/AN/A26316870
2017-03-27$32.13$30.0062.1%17.8%22.2%26.4%0.0%2.5%-30.6%-465-204.6K-581.19127.90N/AN/A26316870
2017-03-28$32.00$30.0038.0%10.9%19.5%12.7%39.4%18.8%-5.6%-1.1K-109.3K-3511.19116.18N/AN/A26316870
2017-03-29$31.95$30.0056.1%16.1%17.2%23.0%53.8%25.6%-46.4%-797-101.4K-3701.19129.02N/AN/A26316870
2017-03-30$32.03$30.0052.5%15.0%17.0%20.9%49.6%17.7%-36.0%-912-122.9K-3311.19124.54N/AN/A26316870
2017-03-31$31.80$30.0034.0%9.8%16.8%10.5%33.0%2.6%-8.6%-1.4K-135.1K-2811.19125.73N/AN/A26316870