BHE Options History — December 2017

In December 2017, BHE traded between $29.15 and $30.20. ATM implied volatility averaged 21.4%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.8% (HV 20d: 16.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2017-12-08: Highest Volume — 188 contracts
  • 2017-12-11: Largest IV spike — 19.9% change
  • 2017-12-11: Highest IV Rank — 16.8%
  • 2017-12-05: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.59$29.15$30.20$29.98$29.18
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV21.4%18.7%25.7%22.4%20.0%
Expected Move5.9%5.4%6.8%6.4%5.7%
HV 20d16.6%14.7%20.2%20.2%17.1%
HV 60d33.3%32.9%33.8%33.5%33.0%
IV Rank10.6%6.8%16.8%12.0%8.6%
IV Percentile23.1%5.6%54.4%28.2%12.7%
Term Structure5.3%1.2%7.8%1.2%6.1%
VWIV20.7%18.9%23.5%22.3%20.3%
Skew 25d0.4%-2.5%3.6%0.2%-1.0%
Skew 10d0.8%-6.2%5.7%0.4%-1.4%
Call IV 25d19.3%16.6%24.5%24.5%20.6%
Put IV 25d19.8%18.1%24.7%24.7%19.6%
Bid-Ask Spread %40.6616.9194.7532.3752.87
Gamma HHI0.920.840.960.840.93
Net GEX-70.8K-106.8K-53.8K-68.0K-57.6K
Net DEX505.6K187.9K792.3K428.6K491.0K
Net VEX-2.1K-2.8K-1.6K-2.8K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.302.091.890.31
Total Volume140.472188182106
Total OI1,012.99231,0901,069943

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$29.98$30.0022.4%6.4%20.2%12.0%22.3%0.2%1.2%-68.0K428.6K-2.8K1.8932.37N/AN/A63119554515
2017-12-04$29.93$30.0023.4%6.2%19.3%13.5%21.5%1.4%3.9%-77.4K475.7K-2.6K1.8919.90N/AN/A63119551518
2017-12-05$29.80$30.0023.6%6.8%18.7%13.8%23.5%-0.1%3.2%-75.6K539.1K-2.7K1.8923.75N/AN/A63119551518
2017-12-06$29.55$30.0024.1%6.0%16.5%14.4%20.7%0.1%5.3%-81.3K601.6K-2.5K1.8951.69N/AN/A63119551518
2017-12-07$29.45$30.0024.3%6.1%15.9%14.8%21.3%0.4%4.6%-79.5K666.2K-2.4K1.8950.24N/AN/A63119551518
2017-12-08$29.45$30.0021.4%5.9%14.9%10.7%20.8%0.4%5.0%-89.4K669.4K-2.4K1.7216.91N/AN/A69119551518
2017-12-11$29.40$30.0025.7%5.6%14.8%16.8%20.1%0.1%7.0%-92.9K707.9K-2.2K2.0921.36N/AN/A57119563518
2017-12-12$29.53$30.0022.6%6.0%14.7%12.4%21.4%1.2%5.4%-100.9K646.4K-2.2K2.0523.06N/AN/A58119568518
2017-12-13$29.55$30.0021.4%6.1%14.7%10.6%22.4%1.2%5.3%-106.8K673.1K-2.2K2.0517.62N/AN/A58119571518
2017-12-14$29.23$30.0019.4%5.6%14.7%7.7%19.8%0.2%7.1%-81.3K792.3K-2.0K2.0938.09N/AN/A57119571518
2017-12-15$29.70$30.0018.7%5.4%15.0%6.8%18.9%2.0%7.8%-55.4K729.7K-2.1K1.9841.80N/AN/A60119571519
2017-12-18$30.20$30.0019.4%5.6%14.9%7.8%19.5%3.6%4.0%-55.7K187.9K-2.0K0.5350.47N/AN/A4725548375
2017-12-19$29.50$30.0019.5%5.6%16.9%7.9%19.8%1.6%6.4%-56.3K348.9K-1.9K0.5343.32N/AN/A4725548375
2017-12-20$30.03$30.0020.6%5.9%17.3%9.5%20.7%3.4%5.4%-54.4K217.3K-1.9K0.3850.53N/AN/A6525548375
2017-12-21$30.05$30.0020.3%5.8%17.1%9.1%20.5%1.8%4.5%-56.0K226.9K-2.0K0.3820.45N/AN/A6525565375
2017-12-22$29.65$30.0020.1%5.8%17.3%8.8%20.4%-2.5%5.2%-57.6K301.6K-1.9K0.3892.64N/AN/A6525565375
2017-12-26$29.33$30.0018.9%5.4%17.6%7.1%19.0%-1.7%7.8%-61.2K445.6K-1.7K0.3894.75N/AN/A6625565375
2017-12-27$29.20$30.0021.1%6.0%17.5%10.2%21.1%-2.0%5.6%-53.8K459.8K-1.7K0.3034.48N/AN/A8325568375
2017-12-28$29.15$30.0020.8%6.0%17.5%9.8%20.9%-1.4%5.5%-54.9K503.5K-1.6K0.3136.97N/AN/A8125559375
2017-12-29$29.18$30.0020.0%5.7%17.1%8.6%20.3%-1.0%6.1%-57.6K491.0K-1.6K0.3152.87N/AN/A8125568375