BHE Options History — June 2017

In June 2017, BHE traded between $32.50 and $34.08. ATM implied volatility averaged 22.5%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.0% (HV 20d: 20.6%). 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 18 of 22 days. Put/call ratio averaged 6.68.

Notable Days

  • 2017-06-30: Highest Volume — 553 contracts
  • 2017-06-12: Largest IV spike — 46.2% change
  • 2017-06-12: Highest IV Rank — 13.5%
  • 2017-06-26: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.25$32.50$34.08$32.90$32.50
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV22.5%13.9%28.7%20.6%26.3%
Expected Move6.7%4.0%7.6%5.9%7.5%
HV 20d20.6%18.2%23.5%18.5%22.2%
HV 60d19.8%19.0%21.2%19.1%21.0%
IV Rank7.8%0.0%13.5%4.7%11.3%
IV Percentile28.1%0.0%53.2%14.7%48.4%
Term Structure2.6%-2.9%11.4%11.4%5.6%
VWIV26.2%11.4%31.0%15.5%29.1%
Skew 25d4.0%-2.9%7.6%6.0%-2.9%
Skew 10d6.7%-1.5%13.4%7.2%-1.5%
Call IV 25d24.3%14.3%31.8%16.8%31.8%
Put IV 25d28.3%19.8%33.7%22.8%28.9%
Bid-Ask Spread %92.7758.80104.2495.2395.55
Gamma HHI0.820.730.850.790.73
Net GEX-85.7K-89.9K-66.0K-84.0K-66.0K
Net DEX2.0M1.5M2.1M2.1M1.5M
Net VEX-8.2K-8.8K-5.5K-8.4K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.680.9720.279.6320.27
Total Volume135.04544553170553
Total OI1,148.5918791,1781,162879

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$32.90$30.0020.6%5.9%18.5%4.7%15.5%6.0%11.4%-84.0K2.1M-8.4K9.6395.23N/AN/A16154201,142
2017-06-02$33.60$30.0013.9%4.0%19.7%0.0%11.4%5.4%10.6%-85.9K1.9M-8.8K9.6386.82N/AN/A16154201,142
2017-06-05$33.35$30.0015.9%6.1%20.0%1.8%28.2%5.8%5.8%-81.1K1.9M-8.7K9.6397.51N/AN/A16154201,142
2017-06-06$33.40$30.0016.9%6.7%20.0%2.7%28.1%5.8%3.6%-84.0K2.0M-8.7K9.6396.63N/AN/A16154201,142
2017-06-07$33.23$30.0022.5%5.4%20.1%7.8%26.1%4.3%6.0%-84.1K2.0M-8.4K9.63104.24N/AN/A16154201,142
2017-06-08$34.08$30.0016.4%7.1%21.8%2.2%27.0%7.6%0.3%-88.0K1.9M-8.7K8.2558.80N/AN/A16132201,142
2017-06-09$33.60$30.0019.7%7.2%22.6%5.2%26.5%3.4%1.0%-86.2K1.9M-8.7K18.8696.32N/AN/A7132201,147
2017-06-12$33.67$30.0028.7%7.2%22.4%13.5%28.0%4.9%2.4%-86.2K1.9M-8.6K5.2997.47N/AN/A737211,147
2017-06-13$34.00$30.0026.1%6.7%22.5%11.0%26.4%6.1%2.6%-87.3K1.9M-8.7K5.29100.20N/AN/A737211,157
2017-06-14$33.65$30.0023.1%6.6%23.0%8.4%27.4%5.6%2.4%-89.6K1.9M-8.5K4.1179.51N/AN/A937191,157
2017-06-15$33.50$30.0019.6%5.6%18.2%5.1%25.2%5.4%5.7%-85.0K1.9M-8.5K4.11103.50N/AN/A937211,157
2017-06-16$33.10$30.0024.9%7.2%18.4%10.0%28.6%3.6%1.7%-86.0K2.1M-8.2K4.1191.96N/AN/A937211,157
2017-06-19$33.25$30.0023.4%6.7%18.2%8.6%24.9%5.1%2.7%-87.8K2.0M-8.0K2.85102.62N/AN/A1337111,118
2017-06-20$32.67$30.0023.7%6.8%18.5%8.9%27.7%0.9%-0.7%-85.6K2.1M-7.8K2.8581.97N/AN/A1337171,124
2017-06-21$32.73$30.0024.9%7.1%18.5%10.0%28.4%-0.9%-2.9%-87.9K2.1M-7.8K2.8595.45N/AN/A1337171,124
2017-06-22$32.67$30.0023.4%6.7%18.4%8.6%28.2%1.1%-2.4%-86.7K2.1M-7.7K1.1299.08N/AN/A3337171,124
2017-06-23$33.45$30.0024.7%7.1%19.9%9.8%25.5%4.0%2.9%-89.5K1.9M-8.3K0.9797.85N/AN/A3837371,124
2017-06-26$33.65$30.0026.6%7.6%19.9%11.5%28.1%5.9%0.4%-89.9K1.9M-8.3K0.9780.10N/AN/A3837421,124
2017-06-27$32.63$30.0024.6%7.0%22.7%9.7%27.7%4.0%0.3%-86.8K2.1M-7.8K0.9792.58N/AN/A3837421,124
2017-06-28$33.20$30.0023.8%6.8%23.4%9.0%28.1%1.4%0.5%-89.6K2.0M-7.9K1.0989.98N/AN/A3437401,124
2017-06-29$32.67$30.0025.9%7.4%23.5%10.9%31.0%5.0%-2.5%-88.7K2.1M-7.6K14.8597.60N/AN/A34505401,124
2017-06-30$32.50$30.0026.3%7.5%22.2%11.3%29.1%-2.9%5.6%-66.0K1.5M-5.5K20.2795.55N/AN/A2652740839