BHE Options History — August 2017

In August 2017, BHE traded between $31.43 and $33.88. ATM implied volatility averaged 22.1%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.4% (HV 20d: 20.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.60.

Notable Days

  • 2017-08-03: Highest Volume — 147 contracts
  • 2017-08-29: Largest IV spike — 32.8% change
  • 2017-08-29: Highest IV Rank — 21.6%
  • 2017-08-29: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.27$31.43$33.88$33.88$32.50
Max Pain$33.89$30.00$35.00$30.00$35.00
ATM IV22.1%18.3%29.1%23.0%19.1%
Expected Move6.3%5.2%8.3%6.6%5.5%
HV 20d20.7%14.1%26.8%26.2%14.3%
HV 60d22.2%21.3%23.0%22.7%21.5%
IV Rank11.4%6.2%21.6%8.2%7.3%
IV Percentile24.6%6.7%59.1%29.4%8.3%
Term Structure5.0%-5.2%12.7%-1.7%6.3%
VWIV21.2%14.5%29.3%22.9%14.5%
Skew 25d2.7%-4.5%11.4%-2.3%0.4%
Skew 10d9.1%-4.1%35.9%-1.8%0.9%
Call IV 25d20.6%14.8%27.1%23.2%16.4%
Put IV 25d23.3%16.8%27.0%20.9%16.8%
Bid-Ask Spread %40.1214.0775.5518.0344.81
Gamma HHI0.460.420.490.470.47
Net GEX-29.9K-36.2K-23.3K-23.3K-36.2K
Net DEX831.9K494.3K994.1K494.3K860.3K
Net VEX-3.7K-4.9K-3.1K-4.9K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.291.050.580.29
Total Volume102.9575314712853
Total OI877.739810920892860

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$33.88$30.0023.0%6.6%26.2%8.2%22.9%-2.3%-1.7%-23.3K494.3K-4.9K0.5818.03N/AN/A8147361531
2017-08-02$33.50$30.0024.0%6.9%26.2%14.3%23.9%-4.5%-2.9%-24.7K570.5K-4.8K0.6214.07N/AN/A8150351531
2017-08-03$33.00$0.0025.2%6.2%26.8%16.0%0.0%2.5%3.1%-27.7K670.0K-4.5K0.5219.49N/AN/A9750351531
2017-08-04$32.85$0.0022.2%6.2%26.5%11.8%0.0%2.0%3.4%-28.1K710.7K-4.2K0.5216.26N/AN/A9750348531
2017-08-07$32.88$0.0019.7%6.4%26.4%8.2%0.0%1.1%2.5%-29.0K725.4K-4.1K0.6419.89N/AN/A7850348531
2017-08-08$32.83$0.0018.6%5.3%26.4%6.6%0.0%1.5%3.4%-27.8K699.5K-4.4K0.6422.04N/AN/A7850370531
2017-08-09$32.60$0.0018.3%5.2%25.3%6.2%0.0%2.8%3.1%-29.3K741.4K-4.1K0.6417.78N/AN/A7850370531
2017-08-10$32.40$0.0022.4%6.4%25.3%12.0%0.0%1.6%11.5%-28.4K749.0K-4.1K0.6437.80N/AN/A7850370531
2017-08-11$32.08$0.0024.6%7.0%25.0%15.1%0.0%0.6%3.7%-30.5K816.6K-3.8K0.6446.18N/AN/A7850370531
2017-08-14$32.48$0.0021.2%6.1%25.4%10.3%0.0%1.9%10.1%-30.1K773.8K-4.0K0.6438.68N/AN/A7850370531
2017-08-15$32.00$0.0023.4%6.7%25.7%13.5%0.0%-2.2%2.2%-30.3K846.3K-3.6K0.6475.55N/AN/A7850370531
2017-08-16$32.13$0.0023.1%6.6%23.2%13.1%0.0%11.4%7.3%-31.8K852.0K-3.5K0.2974.58N/AN/A7823370535
2017-08-17$31.48$0.0022.6%6.5%16.8%12.3%0.0%8.2%5.7%-28.9K918.5K-3.4K0.3061.38N/AN/A8024370535
2017-08-18$31.53$0.0023.9%6.9%16.4%14.2%0.0%7.5%1.5%-27.4K994.1K-3.1K0.3068.16N/AN/A8024374546
2017-08-21$31.43$0.0018.9%5.4%15.7%7.1%0.0%7.3%11.7%-27.2K977.9K-3.1K1.0536.18N/AN/A3840313497
2017-08-22$31.78$0.0019.5%5.6%15.7%7.9%26.2%-1.1%12.7%-31.8K971.8K-3.3K1.0059.90N/AN/A4040316532
2017-08-23$31.60$35.0019.3%5.5%15.0%7.7%14.9%7.9%9.9%-31.9K981.0K-3.2K1.0036.81N/AN/A4040318532
2017-08-24$31.48$35.0021.0%6.0%15.0%10.0%0.0%9.6%11.7%-30.0K990.8K-3.3K1.0070.52N/AN/A4040318532
2017-08-25$31.85$35.0023.3%6.7%15.6%13.3%27.1%-4.5%0.2%-33.4K958.6K-3.4K1.0036.75N/AN/A4040318532
2017-08-28$31.85$35.0021.9%6.3%14.5%11.4%29.3%-3.8%6.7%-33.4K957.6K-3.3K0.2920.82N/AN/A4112318532
2017-08-29$31.85$35.0029.1%8.3%14.1%21.6%16.3%4.7%-5.2%-33.2K950.4K-3.3K0.2937.22N/AN/A4112324536
2017-08-30$32.15$35.0023.5%6.7%14.4%13.6%15.6%10.5%8.9%-34.1K922.8K-3.3K0.2949.82N/AN/A4112324536
2017-08-31$32.50$35.0019.1%5.5%14.3%7.3%14.5%0.4%6.3%-36.2K860.3K-3.6K0.2944.81N/AN/A4112324536