BHE Options History — May 2017

In May 2017, BHE traded between $30.78 and $32.45. ATM implied volatility averaged 24.3%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.2% (HV 20d: 20.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 21.90.

Notable Days

  • 2017-05-12: Highest Volume — 627 contracts
  • 2017-05-03: Largest IV spike — 126.6% change
  • 2017-05-03: Highest IV Rank — 28.1%
  • 2017-05-03: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.92$30.78$32.45$31.95$32.38
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV24.3%20.0%48.1%20.0%22.9%
Expected Move6.8%5.7%13.8%5.7%6.6%
HV 20d20.1%17.5%23.7%22.9%18.0%
HV 60d20.1%18.6%22.7%22.7%18.9%
IV Rank7.9%3.8%28.1%3.8%6.8%
IV Percentile29.0%12.3%88.9%12.3%25.8%
Term Structure3.7%-37.5%16.9%-3.3%-0.7%
VWIV24.9%15.4%37.5%18.4%15.4%
Skew 25d4.0%-43.2%12.7%-2.9%-0.1%
Skew 10d10.5%-39.0%28.2%-5.0%1.4%
Call IV 25d19.6%13.2%61.2%21.4%17.9%
Put IV 25d23.6%17.8%29.8%18.5%17.8%
Bid-Ask Spread %76.0738.88132.4196.4076.71
Gamma HHI0.790.710.910.870.79
Net GEX-47.7K-81.0K-2.8K-3.1K-80.6K
Net DEX1.4M5.2K2.4M9.0K2.2M
Net VEX-5.1K-8.9K-132-140-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.901.8061.702.009.63
Total Volume221.3642762727170
Total OI717.955461,164461,147

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$31.95$30.0020.0%5.7%22.9%3.8%18.4%-2.9%-3.3%-3.1K9.0K-1402.0096.40N/AN/A918838
2017-05-02$31.92$30.0021.2%6.1%22.0%4.9%19.4%-3.0%-8.7%-3.1K6.6K-1322.0061.31N/AN/A918838
2017-05-03$31.68$30.0048.1%13.8%22.2%28.1%37.5%-43.2%-37.5%-2.8K13.1K-1431.80132.41N/AN/A1018838
2017-05-04$31.93$30.0020.2%5.7%21.5%4.0%21.5%4.4%16.9%-3.5K5.5K-1361.8077.31N/AN/A10181138
2017-05-05$32.03$30.0032.2%6.1%21.4%14.4%24.1%9.2%5.2%-3.2K7.8K-1412.10108.59N/AN/A10211138
2017-05-08$32.17$30.0026.0%6.3%21.3%9.6%25.4%11.1%6.8%-2.9K6.6K-1522.1095.30N/AN/A10211144
2017-05-09$32.20$30.0026.3%7.4%21.2%9.9%26.9%10.4%-1.6%-3.1K7.7K-1512.1099.69N/AN/A10211144
2017-05-10$32.28$30.0020.9%6.0%21.0%4.9%23.6%9.0%7.8%-3.6K5.2K-14023.6043.01N/AN/A102361144
2017-05-11$32.23$30.0021.7%6.2%20.2%5.7%25.2%2.4%10.1%-39.0K1.1M-4.3K51.3084.21N/AN/A1051311567
2017-05-12$32.05$30.0022.6%6.5%19.9%6.5%26.2%11.7%6.2%-70.9K2.1M-7.9K61.7057.21N/AN/A10617111,044
2017-05-15$32.23$30.0026.3%7.5%19.9%9.9%30.1%12.7%5.6%-78.1K2.2M-8.9K61.7048.76N/AN/A10617111,153
2017-05-16$32.25$30.0020.8%6.0%19.6%4.8%23.5%9.3%10.2%-78.0K2.2M-8.9K61.7060.00N/AN/A10617111,153
2017-05-17$31.10$30.0023.5%6.7%23.7%7.3%26.0%8.0%6.9%-72.2K2.3M-8.2K61.7083.09N/AN/A10617111,153
2017-05-18$30.78$30.0024.4%7.0%20.7%8.2%24.6%6.4%1.8%-68.9K2.4M-7.5K14.7038.88N/AN/A10147111,153
2017-05-19$31.13$30.0020.3%5.8%18.3%4.3%23.2%6.7%10.2%-72.4K2.4M-7.3K14.7070.53N/AN/A10147111,131
2017-05-22$31.75$30.0020.0%5.7%18.6%4.1%22.4%7.3%9.8%-76.7K2.3M-7.8K17.8849.31N/AN/A814391,127
2017-05-23$31.68$30.0022.4%6.4%18.1%6.3%24.8%6.3%4.6%-75.1K2.3M-8.1K17.8883.03N/AN/A814391,127
2017-05-24$31.88$30.0021.1%6.0%18.3%5.1%24.3%3.6%9.8%-77.6K2.2M-8.1K17.88103.81N/AN/A814391,127
2017-05-25$32.15$30.0021.3%6.1%18.4%5.3%25.8%9.2%10.4%-78.4K2.2M-8.5K17.8859.02N/AN/A814391,127
2017-05-26$32.03$30.0022.5%6.5%17.5%6.4%26.6%8.4%8.6%-74.5K2.1M-8.5K17.8882.16N/AN/A814391,127
2017-05-30$32.45$30.0030.6%8.8%18.0%13.8%31.9%2.2%1.8%-81.0K2.1M-8.4K17.8862.84N/AN/A814391,127
2017-05-31$32.38$30.0022.9%6.6%18.0%6.8%15.4%-0.1%-0.7%-80.6K2.2M-8.2K9.6376.71N/AN/A16154201,127