BHE Options History — October 2017

In October 2017, BHE traded between $30.25 and $35.60. ATM implied volatility averaged 29.6%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.4% (HV 20d: 30.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-10-19: Highest Volume — 726 contracts
  • 2017-10-11: Largest IV drop — 32.7% change
  • 2017-10-10: Highest IV Rank — 40.1%
  • 2017-10-04: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.44$30.25$35.60$34.98$30.93
Max Pain$33.41$30.00$35.00$35.00$30.00
ATM IV29.6%22.2%42.1%33.1%25.5%
Expected Move7.9%6.4%9.7%9.5%7.3%
HV 20d30.0%13.4%52.3%17.3%51.0%
HV 60d23.9%15.1%32.3%19.9%32.3%
IV Rank22.3%11.8%40.1%27.2%16.4%
IV Percentile59.7%22.2%90.9%79.0%47.2%
Term Structure-3.6%-6.2%0.3%-4.8%-4.8%
VWIV27.5%22.3%36.0%36.0%25.4%
Skew 25d4.3%-4.9%16.9%2.6%11.2%
Skew 10d9.1%-4.7%37.8%4.5%37.7%
Call IV 25d26.3%18.6%37.1%37.1%20.2%
Put IV 25d30.6%24.1%39.7%39.7%31.5%
Bid-Ask Spread %65.9115.6195.9949.5217.90
Gamma HHI0.520.440.780.460.61
Net GEX-2.9K-35.3K27.3K-15.2K-32.5K
Net DEX-313.3K-840.3K806.8K-84.9K75.5K
Net VEX-3.8K-5.4K-1.6K-4.2K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.055.360.065.36
Total Volume375.545220726441337
Total OI1,376.4091,0901,5261,1091,343

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$34.98$35.0033.1%9.5%17.3%27.2%36.0%2.6%-4.8%-15.2K-84.9K-4.2K0.0649.52N/AN/A41526565544
2017-10-03$35.17$35.0032.4%9.3%16.3%26.3%27.9%4.1%-4.1%16.3K-654.1K-5.3K0.0718.87N/AN/A40827916544
2017-10-04$35.45$35.0033.9%9.7%15.6%28.4%29.3%5.5%-5.6%18.4K-753.2K-5.4K0.0937.15N/AN/A29527919545
2017-10-05$35.55$35.0036.5%7.5%15.1%32.1%25.9%3.8%-3.0%27.3K-840.3K-5.3K0.0571.20N/AN/A52427939545
2017-10-06$35.35$35.0036.5%8.0%15.5%32.1%27.7%3.4%-4.7%5.3K-562.4K-5.0K0.0730.24N/AN/A40629844545
2017-10-09$35.38$35.0039.6%8.2%15.0%36.5%27.8%5.2%-4.6%3.8K-572.5K-4.8K0.0841.82N/AN/A40534842545
2017-10-10$35.50$35.0042.1%8.6%15.0%40.1%29.9%2.5%-6.0%5.5K-623.4K-4.6K0.0827.48N/AN/A40334842555
2017-10-11$35.40$35.0028.3%8.1%14.6%20.4%27.9%4.1%-4.6%4.0K-616.5K-4.6K0.0979.37N/AN/A40336840555
2017-10-12$35.45$35.0029.5%8.5%14.6%22.1%29.1%3.8%-5.7%1.9K-582.0K-4.4K0.0987.62N/AN/A40336840562
2017-10-13$35.50$35.0029.4%8.4%14.6%22.0%29.0%4.2%-5.6%7.2K-696.7K-4.6K0.0985.98N/AN/A40336960562
2017-10-16$35.50$35.0030.1%8.6%14.1%23.0%30.1%4.3%-6.1%10.1K-667.8K-4.2K0.1588.01N/AN/A22734960562
2017-10-17$35.30$35.0030.7%8.8%13.8%23.8%30.7%4.0%-6.2%6.9K-581.5K-4.1K0.1694.65N/AN/A22736960561
2017-10-18$35.60$35.0029.1%8.3%13.4%21.6%29.4%-3.0%-5.0%-11.6K-682.3K-3.9K0.9162.08N/AN/A209190961565
2017-10-19$30.98$35.0026.3%7.5%52.3%17.5%28.1%-4.9%-0.9%-6.3K806.8K-1.6K0.4985.88N/AN/A4882381,032471
2017-10-20$30.50$35.0025.3%7.2%52.3%16.2%25.4%8.3%-1.4%-1.0K-164.3K-2.2K0.4683.03N/AN/A181841,137347
2017-10-23$30.38$30.0025.3%7.2%52.3%16.1%27.5%2.7%-1.1%-430-104.4K-2.0K1.7895.53N/AN/A79141902188
2017-10-24$30.25$30.0023.3%6.7%52.0%13.3%23.4%7.3%-1.2%-16.4K72.1K-2.5K2.2990.97N/AN/A83190898295
2017-10-25$30.68$30.0024.6%7.0%51.5%15.2%24.6%4.2%-1.9%-13.5K30.0K-3.0K1.9295.99N/AN/A99190918345
2017-10-26$30.40$30.0023.4%6.7%51.5%13.4%23.4%2.7%0.3%-21.3K119.5K-2.9K2.5795.69N/AN/A74190898344
2017-10-27$30.78$30.0022.2%6.4%51.9%11.8%22.3%1.8%-0.1%-17.6K13.9K-3.0K3.3995.43N/AN/A69234900344
2017-10-30$30.58$30.0024.1%6.9%50.8%14.4%24.1%16.9%-1.9%-35.3K176.2K-3.2K4.5915.61N/AN/A51234903438
2017-10-31$30.93$30.0025.5%7.3%51.0%16.4%25.4%11.2%-4.8%-32.5K75.5K-3.2K5.3617.90N/AN/A53284905438