BHE Options History — September 2017

In September 2017, BHE traded between $31.98 and $34.45. ATM implied volatility averaged 27.5%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 12.7% (HV 20d: 14.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2017-09-12: Highest Volume — 148 contracts
  • 2017-09-11: Largest IV spike — 62.1% change
  • 2017-09-11: Highest IV Rank — 34.8%
  • 2017-09-14: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.04$31.98$34.45$32.85$34.17
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV27.5%20.9%38.4%25.0%29.7%
Expected Move8.1%6.0%9.5%7.2%8.5%
HV 20d14.8%12.7%16.1%14.7%15.8%
HV 60d20.4%19.1%21.1%21.0%19.5%
IV Rank19.3%10.0%34.8%15.7%22.4%
IV Percentile51.6%17.1%88.1%43.3%62.7%
Term Structure-1.7%-7.6%2.3%-1.1%-2.7%
VWIV27.7%23.9%30.3%26.4%30.3%
Skew 25d5.0%-6.7%10.8%-6.7%8.1%
Skew 10d8.5%-8.9%16.5%-8.9%13.5%
Call IV 25d26.4%22.7%27.9%25.9%26.7%
Put IV 25d31.4%19.2%36.7%19.2%34.7%
Bid-Ask Spread %52.7617.85103.5318.2666.04
Gamma HHI0.430.370.480.480.44
Net GEX-26.3K-39.1K-18.0K-37.3K-18.6K
Net DEX634.8K85.7K950.9K800.9K242.1K
Net VEX-3.7K-4.4K-3.0K-3.7K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.140.820.290.37
Total Volume79.75401485397
Total OI991.958601,1098601,109

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$32.85$35.0025.0%7.2%14.7%15.7%26.4%-6.7%-1.1%-37.3K800.9K-3.7K0.2918.26N/AN/A4112324536
2017-09-05$32.45$35.0021.1%8.4%15.4%10.3%27.5%3.5%-2.1%-36.7K884.2K-3.3K0.2974.11N/AN/A4112324536
2017-09-06$32.15$35.0023.3%8.1%15.7%13.4%25.0%2.1%0.1%-36.4K908.7K-3.1K0.2938.75N/AN/A4112324536
2017-09-07$31.98$35.0022.1%9.1%15.6%11.7%28.2%3.6%-4.8%-33.1K924.1K-3.2K0.2984.23N/AN/A4112324536
2017-09-08$31.98$35.0023.7%8.1%15.5%13.9%25.2%2.2%-1.6%-35.3K950.9K-3.0K0.2975.57N/AN/A4112324536
2017-09-11$32.50$35.0038.4%8.6%16.1%34.8%28.4%3.9%0.2%-37.8K880.1K-3.0K0.8273.33N/AN/A2218324536
2017-09-12$32.60$35.0032.9%7.7%15.6%27.0%27.9%3.3%-2.1%-39.1K862.3K-3.1K0.1439.35N/AN/A13018327542
2017-09-13$32.35$35.0032.2%9.2%14.8%26.0%27.4%4.3%-3.2%-25.3K817.1K-3.3K0.3242.59N/AN/A5718424542
2017-09-14$32.38$35.0033.0%9.5%14.8%27.2%28.3%4.3%-7.6%-23.4K807.6K-3.4K0.3224.69N/AN/A5718454542
2017-09-15$32.58$35.0027.2%7.8%12.7%18.9%28.3%4.5%-3.5%-24.0K791.7K-3.4K0.2120.90N/AN/A9720454542
2017-09-18$33.08$35.0026.6%7.6%13.6%18.0%27.1%4.7%1.3%-23.3K612.0K-3.8K0.4364.45N/AN/A5323502538
2017-09-19$33.58$35.0027.8%8.0%14.1%19.7%29.5%7.1%-0.7%-20.2K457.5K-4.4K0.4317.85N/AN/A5323525541
2017-09-20$33.33$35.0020.9%6.0%14.3%10.0%23.9%8.5%2.3%-20.4K584.4K-3.9K0.36103.53N/AN/A6423541541
2017-09-21$33.33$35.0028.0%8.0%14.0%20.1%28.0%4.4%-1.5%-18.0K523.6K-4.1K0.3524.32N/AN/A6623547541
2017-09-22$33.55$35.0028.0%8.0%13.8%20.0%28.0%5.1%-1.8%-18.9K421.7K-4.2K0.3555.52N/AN/A6623549541
2017-09-25$33.33$35.0023.6%6.8%13.9%13.8%27.1%10.8%1.0%-18.1K557.9K-3.8K0.35100.57N/AN/A6623549541
2017-09-26$33.70$35.0028.7%8.2%14.2%21.0%29.1%6.5%-2.2%-20.2K410.0K-4.1K0.3456.14N/AN/A6823549541
2017-09-27$34.45$35.0028.9%8.3%15.7%21.3%29.7%9.8%-2.2%-21.4K173.2K-4.2K0.3545.02N/AN/A6623550541
2017-09-28$34.45$35.0028.4%8.1%15.6%20.6%29.1%10.3%-2.2%-19.1K85.7K-4.3K0.3929.87N/AN/A6626565541
2017-09-29$34.17$35.0029.7%8.5%15.8%22.4%30.3%8.1%-2.7%-18.6K242.1K-4.1K0.3766.04N/AN/A7126565544