BHE Options History — January 2018

In January 2018, BHE traded between $28.38 and $31.00. ATM implied volatility averaged 28.3%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 9.1% (HV 20d: 19.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2018-01-26: Highest Volume — 420 contracts
  • 2018-01-10: Largest IV spike — 51.3% change
  • 2018-01-30: Highest IV Rank — 32.2%
  • 2018-01-30: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.75$28.38$31.00$29.05$28.95
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.3%19.3%36.5%22.1%35.9%
Expected Move8.5%6.1%10.5%6.3%10.3%
HV 20d19.1%16.0%22.0%16.0%22.0%
HV 60d26.0%18.4%33.7%32.9%19.3%
IV Rank20.4%7.6%32.2%11.6%31.2%
IV Percentile59.0%7.1%91.3%25.8%89.7%
Term Structure-3.4%-9.6%5.2%4.7%-5.9%
VWIV30.7%21.5%41.2%22.1%41.2%
Skew 25d3.6%-5.2%13.7%-1.3%10.0%
Skew 10d5.7%-12.0%22.1%-4.5%16.0%
Call IV 25d29.3%20.5%36.7%22.6%34.3%
Put IV 25d33.0%21.4%44.3%21.4%44.3%
Bid-Ask Spread %69.3119.8385.1319.8373.85
Gamma HHI0.740.430.950.930.48
Net GEX-48.3K-126.8K8.5K-54.1K-7.1K
Net DEX1.2K-370.5K542.6K542.6K-29.8K
Net VEX-1.3K-2.2K-659-1.4K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.357.750.462.06
Total Volume130.817942079153
Total OI746.048226970943707

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$29.05$30.0022.1%6.3%16.0%11.6%22.1%-1.3%4.7%-54.1K542.6K-1.4K0.4619.83N/AN/A5425568375
2018-01-03$29.55$30.0021.4%6.1%17.3%10.7%21.5%-5.2%5.2%-68.7K369.8K-1.6K0.4777.37N/AN/A6430578375
2018-01-04$29.70$30.0020.2%7.8%17.4%8.8%27.1%10.6%-1.2%-75.6K304.7K-1.6K0.4565.34N/AN/A6630589375
2018-01-05$29.93$30.0020.2%7.8%17.3%8.9%27.1%3.4%-1.8%-82.4K233.8K-1.6K0.4339.79N/AN/A6930584375
2018-01-08$30.08$30.0021.5%7.9%17.3%10.7%27.7%12.0%-2.3%-88.2K186.3K-1.4K0.4353.45N/AN/A6930578375
2018-01-09$30.40$30.0019.3%8.5%17.6%7.6%29.9%4.8%-4.6%-91.3K-7.4K-1.3K0.4370.00N/AN/A6930583375
2018-01-10$30.00$30.0029.2%8.4%18.4%21.7%29.2%-1.0%-4.0%-111.1K239.9K-1.4K0.4385.13N/AN/A6930583375
2018-01-11$30.30$30.0027.9%8.0%18.6%19.9%27.9%3.8%-0.6%-105.4K25.3K-1.3K0.3882.35N/AN/A7930583375
2018-01-12$30.70$30.0028.6%8.2%19.1%20.9%28.6%4.1%-3.0%-122.0K-176.3K-1.0K0.3579.59N/AN/A8630579375
2018-01-16$30.30$30.0029.5%8.5%19.3%22.2%29.5%-5.0%-4.3%-126.8K14.6K-1.1K0.3871.36N/AN/A7830595375
2018-01-17$30.98$30.0031.8%9.1%20.0%25.4%31.7%-0.1%-5.2%-61.3K-195.3K-8620.3877.15N/AN/A7930584375
2018-01-18$31.00$30.0028.9%8.3%19.3%21.4%28.9%-1.3%-1.8%-46.0K-303.9K-7660.3881.78N/AN/A7930589375
2018-01-19$30.85$30.0030.0%8.6%17.1%22.9%30.0%-3.1%-4.4%8.5K-370.5K-6590.5579.78N/AN/A9552589375
2018-01-22$29.95$30.0031.1%8.9%19.5%24.4%31.1%13.7%-5.9%7.5K-204.0K-7200.9531.08N/AN/A424016462
2018-01-23$29.63$30.0032.5%9.3%19.9%26.4%32.5%12.9%-5.1%7.7K-191.0K-7320.9178.22N/AN/A575217664
2018-01-24$29.10$30.0033.5%9.6%20.3%27.8%33.5%-1.5%-6.3%5.1K-138.1K-7720.6675.60N/AN/A795217678
2018-01-25$28.55$30.0031.5%9.0%21.0%25.0%31.5%5.9%-4.9%6.0K-139.1K-9140.8770.27N/AN/A474119878
2018-01-26$28.55$30.0031.6%9.1%21.0%25.2%37.7%5.1%-3.0%5.3K-136.3K-9767.7580.58N/AN/A4837219381
2018-01-29$28.38$30.0030.2%8.7%21.1%23.1%37.9%2.8%-7.1%-7.8K8.3K-1.9K2.4181.90N/AN/A64154194372
2018-01-30$28.85$30.0036.5%10.5%22.0%32.2%38.9%5.6%-9.6%-7.2K-9.2K-2.1K2.3981.08N/AN/A54129215452
2018-01-31$28.95$30.0035.9%10.3%22.0%31.2%41.2%10.0%-5.9%-7.1K-29.8K-2.2K2.0673.85N/AN/A50103222485