BHE Options History — April 2017

In April 2017, BHE traded between $30.40 and $32.28. ATM implied volatility averaged 32.5%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 13.8% (HV 20d: 18.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.84.

Notable Days

2017-04-20: Highest Volume — 98 contracts
2017-04-04: Largest IV spike — 90.9% change
2017-04-05: Highest IV Rank — 25.1%
2017-04-05: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.29	$30.40	$32.28	$31.28	$31.78
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	32.5%	17.5%	59.8%	30.8%	17.5%
Expected Move	9.0%	5.0%	17.2%	8.8%	5.0%
HV 20d	18.7%	14.6%	22.9%	17.4%	22.9%
HV 60d	21.3%	20.3%	22.8%	21.0%	22.8%
IV Rank	12.8%	1.7%	25.1%	8.7%	1.7%
IV Percentile	55.1%	2.4%	93.3%	59.5%	2.4%
Term Structure	-5.2%	-61.5%	27.1%	-11.1%	-1.1%
VWIV	31.2%	17.0%	54.4%	28.8%	17.0%
Skew 25d	8.7%	-10.9%	24.3%	-10.9%	3.3%
Skew 10d	13.8%	-2.5%	34.7%	22.1%	-2.5%
Call IV 25d	22.3%	15.4%	38.6%	38.6%	18.5%
Put IV 25d	31.1%	21.8%	48.8%	27.8%	21.8%
Bid-Ask Spread %	108.91	74.87	133.31	132.93	100.63
Gamma HHI	0.81	0.44	0.94	0.90	0.86
Net GEX	-3.5K	-7.8K	-285	-2.6K	-2.9K
Net DEX	-80.9K	-230.7K	12.2K	-147.9K	6.7K
Net VEX	-222	-365	-80	-204	-135
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.84	0.96	3.18	1.19	2.00
Total Volume	62.263	27	98	57	27
Total OI	135.421	25	189	138	46

Daily Data (19 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
2017-04-03	$31.28	$30.00	30.8%	8.8%	17.4%	8.7%	28.8%	-10.9%	-11.1%	-2.6K	-147.9K	-204	1.19	132.93	N/A	N/A	26	31	68	70
2017-04-04	$31.33	$30.00	58.9%	16.9%	17.2%	24.6%	54.4%	14.6%	-46.6%	-978	-124.9K	-286	1.19	128.02	N/A	N/A	26	31	68	70
2017-04-05	$30.85	$30.00	59.8%	17.2%	18.0%	25.1%	50.2%	6.7%	-61.5%	-1.4K	-92.0K	-316	1.19	133.31	N/A	N/A	26	31	68	70
2017-04-06	$31.10	$0.00	28.4%	7.8%	18.2%	7.3%	0.0%	9.0%	0.2%	-1.5K	-102.6K	-295	1.57	108.56	N/A	N/A	28	44	68	70
2017-04-07	$30.95	$0.00	28.8%	7.7%	18.2%	11.4%	0.0%	7.2%	-0.1%	-6.7K	-78.7K	-362	1.57	100.45	N/A	N/A	28	44	70	103
2017-04-10	$30.85	$0.00	40.6%	8.3%	18.1%	21.6%	0.0%	8.3%	-2.1%	-6.4K	-51.7K	-365	1.57	104.81	N/A	N/A	28	44	70	103
2017-04-11	$31.15	$0.00	34.6%	7.8%	17.6%	16.5%	27.4%	6.2%	0.9%	-7.8K	-70.3K	-322	2.09	102.95	N/A	N/A	23	48	70	103
2017-04-12	$30.70	$30.00	31.0%	8.9%	17.3%	13.3%	31.0%	8.3%	-6.0%	-7.8K	-64.3K	-341	2.09	105.06	N/A	N/A	23	48	74	107
2017-04-13	$30.40	$30.00	30.4%	8.7%	16.6%	12.8%	30.5%	6.4%	-3.5%	-4.2K	-56.4K	-329	2.09	107.23	N/A	N/A	23	48	74	107
2017-04-17	$30.50	$30.00	30.6%	8.8%	16.3%	13.0%	31.6%	6.1%	-3.3%	-2.9K	-15.5K	-289	2.18	118.80	N/A	N/A	22	48	78	107
2017-04-18	$30.90	$30.00	38.3%	11.0%	16.7%	19.6%	39.8%	22.7%	-10.4%	-886	-214.5K	-85	2.18	109.49	N/A	N/A	22	48	78	107
2017-04-19	$31.15	$30.00	32.3%	9.3%	14.6%	14.5%	32.3%	9.7%	-5.2%	-7.7K	-116.5K	-181	1.85	105.88	N/A	N/A	26	48	78	107
2017-04-20	$32.15	$30.00	30.4%	8.7%	17.7%	12.8%	30.4%	24.3%	-1.0%	-4.4K	-190.7K	-128	0.96	124.66	N/A	N/A	50	48	82	107
2017-04-21	$31.18	$30.00	24.2%	6.9%	20.9%	7.4%	24.2%	6.9%	0.8%	-285	-230.7K	-84	0.96	120.90	N/A	N/A	50	48	82	107
2017-04-24	$31.73	$30.00	22.1%	6.3%	21.8%	5.7%	22.1%	11.1%	24.8%	-332	-7.4K	-80	3.18	94.84	N/A	N/A	11	35	10	15
2017-04-25	$32.10	$30.00	24.3%	7.0%	22.2%	7.5%	24.3%	9.8%	27.1%	-2.2K	12.2K	-153	3.18	109.19	N/A	N/A	11	35	10	35
2017-04-26	$32.08	$30.00	25.2%	7.2%	22.1%	8.3%	25.5%	7.6%	9.6%	-2.0K	604	-135	2.00	74.87	N/A	N/A	9	18	10	35
2017-04-27	$32.28	$30.00	29.9%	8.6%	22.2%	12.4%	29.3%	8.8%	-10.6%	-2.8K	7.3K	-137	2.00	86.68	N/A	N/A	9	18	8	38
2017-04-28	$31.78	$30.00	17.5%	5.0%	22.9%	1.7%	17.0%	3.3%	-1.1%	-2.9K	6.7K	-135	2.00	100.63	N/A	N/A	9	18	8	38