BHE Options History — July 2017

In July 2017, BHE traded between $32.15 and $34.92. ATM implied volatility averaged 28.0%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.9% (HV 20d: 24.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 12.06.

Notable Days

  • 2017-07-19: Highest Volume — 1,270 contracts
  • 2017-07-11: Largest IV spike — 39.1% change
  • 2017-07-11: Highest IV Rank — 28.3%
  • 2017-07-05: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.35$32.15$34.92$32.65$33.65
Max Pain$30.75$30.00$35.00$30.00$30.00
ATM IV28.0%19.6%45.1%25.6%23.9%
Expected Move7.6%5.6%9.8%7.3%6.9%
HV 20d24.0%20.6%29.5%22.2%26.2%
HV 60d21.4%19.2%22.6%20.9%22.6%
IV Rank12.8%5.2%28.3%10.6%9.1%
IV Percentile49.5%11.1%88.9%43.3%34.5%
Term Structure-2.4%-5.9%2.3%-5.8%-3.0%
VWIV28.1%18.5%37.4%32.6%23.6%
Skew 25d2.7%-7.2%12.0%5.3%-4.1%
Skew 10d6.0%-5.5%18.9%1.6%-3.5%
Call IV 25d25.7%19.6%33.5%29.9%24.4%
Put IV 25d28.4%16.3%41.0%35.2%20.2%
Bid-Ask Spread %64.2214.81100.8893.8229.22
Gamma HHI0.640.450.950.620.46
Net GEX-104.8K-342.1K-22.3K-42.8K-24.1K
Net DEX2.3M441.1K6.2M954.4K538.7K
Net VEX-4.7K-6.5K-3.4K-3.5K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.060.6224.8414.640.62
Total Volume661.45921,270563123
Total OI1,354.555902,588590892

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$32.65$30.0025.6%7.3%22.2%10.6%32.6%5.3%-5.8%-42.8K954.4K-3.5K14.6493.82N/AN/A3652740550
2017-07-05$32.25$30.0034.1%9.8%22.5%18.4%37.4%7.5%2.3%-42.9K967.0K-3.5K14.64100.88N/AN/A3652755550
2017-07-06$32.15$30.0028.9%8.6%22.5%13.6%29.8%3.6%-3.0%-41.8K992.0K-3.4K14.6467.65N/AN/A3652755550
2017-07-07$32.58$30.0027.2%7.4%20.9%12.1%28.9%4.1%-1.3%-42.6K932.0K-3.6K14.2456.09N/AN/A3752755550
2017-07-10$32.80$30.0032.4%7.4%20.6%16.8%26.4%0.5%-1.8%-43.6K901.3K-3.5K14.1362.20N/AN/A4056556550
2017-07-11$32.80$30.0045.1%6.8%20.6%28.3%28.7%0.8%-2.2%-42.9K909.2K-3.5K13.9088.78N/AN/A5880656560
2017-07-12$33.48$30.0029.2%8.4%21.7%13.9%32.2%5.9%-1.9%-144.3K2.5M-5.1K19.1193.38N/AN/A47898811,336
2017-07-13$33.23$30.0031.0%8.9%21.5%15.6%35.0%5.9%-5.6%-265.2K4.8M-6.5K22.7260.29N/AN/A471,068902,256
2017-07-14$33.60$30.0031.9%9.1%21.9%16.3%33.8%5.8%-5.9%-292.2K4.6M-6.4K22.7265.98N/AN/A471,068902,256
2017-07-17$33.83$30.0031.9%9.1%21.5%16.3%34.9%6.7%-5.3%-294.3K4.4M-5.9K24.8467.60N/AN/A431,068902,256
2017-07-18$33.98$30.0031.8%9.1%21.5%16.3%33.9%10.7%-5.0%-298.8K4.3M-5.5K22.2646.38N/AN/A471,046832,256
2017-07-19$34.92$30.0033.1%9.5%22.2%17.4%33.5%12.0%-5.3%-342.1K3.4M-5.3K3.8360.61N/AN/A2631,007922,250
2017-07-20$33.20$35.0024.1%6.9%29.3%9.2%23.9%1.7%0.7%-29.0K6.2M-4.3K16.8173.33N/AN/A631,0593042,253
2017-07-21$33.50$35.0022.3%6.4%29.5%7.6%23.4%4.8%2.2%-28.6K6.2M-4.6K18.3169.93N/AN/A551,0073262,262
2017-07-24$33.80$35.0022.9%6.6%28.4%8.2%22.2%-3.3%-1.3%-26.3K566.0K-4.7K0.9257.81N/AN/A5046296523
2017-07-25$34.20$30.0020.9%6.0%28.6%6.4%20.8%-0.3%0.2%-22.3K441.1K-4.9K1.0032.72N/AN/A4646319523
2017-07-26$33.65$30.0019.6%5.6%26.9%5.2%18.5%-2.5%-1.6%-23.7K566.7K-4.6K0.6476.62N/AN/A7347321523
2017-07-27$33.55$30.0023.8%6.8%26.3%9.0%22.9%-2.8%-3.6%-24.2K549.7K-5.0K0.6466.22N/AN/A7347362531
2017-07-28$33.20$30.0019.6%5.6%25.9%5.2%18.8%-7.2%-1.2%-24.3K599.0K-4.8K0.6214.81N/AN/A7647362531
2017-07-31$33.65$30.0023.9%6.9%26.2%9.1%23.6%-4.1%-3.0%-24.1K538.7K-4.9K0.6229.22N/AN/A7647361531