BHE Options History — May 2018

In May 2018, BHE traded between $26.45 and $27.83. ATM implied volatility averaged 24.2%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 9.5% (HV 20d: 33.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.85.

Notable Days

  • 2018-05-16: Highest Volume — 945 contracts
  • 2018-05-23: Largest IV spike — 75.0% change
  • 2018-05-03: Highest IV Rank — 60.6%
  • 2018-05-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.25$26.45$27.83$26.65$27.70
Max Pain$27.73$25.00$30.00$25.00$25.00
ATM IV24.2%13.2%35.6%34.2%25.6%
Expected Move6.7%3.8%9.8%9.8%7.3%
HV 20d33.7%11.0%41.0%40.7%11.0%
HV 60d29.4%28.4%31.7%31.7%28.4%
IV Rank29.5%0.0%60.6%56.5%33.8%
IV Percentile42.4%0.0%90.5%88.1%55.2%
Term Structure4.2%-8.8%16.2%-2.4%-2.8%
VWIV24.5%15.4%33.7%32.8%20.4%
Skew 25d5.6%-9.4%13.8%13.2%-9.4%
Skew 10d7.6%-5.9%28.8%28.8%-5.9%
Call IV 25d18.7%13.4%30.5%21.6%30.5%
Put IV 25d24.2%15.1%34.8%34.8%21.1%
Bid-Ask Spread %42.4812.96107.5128.55107.51
Gamma HHI0.710.490.920.850.64
Net GEX-4.6K-31.5K58.9K31.4K-22.1K
Net DEX-812.3K-1.5M90.6K-652.2K27.0K
Net VEX-1.4K-2.0K-1.0K-1.0K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.850.0711.950.076.80
Total Volume579.045364945364382
Total OI1,054.2734971,477497906

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$26.65$25.0034.2%9.8%40.7%56.5%32.8%13.2%-2.4%31.4K-652.2K-1.0K0.0728.55N/AN/A3392541780
2018-05-02$26.45$25.0032.4%9.3%40.6%51.6%33.7%8.1%-6.2%58.9K-1.2M-1.4K0.6222.08N/AN/A33920969280
2018-05-03$26.73$30.0035.6%8.2%41.0%60.6%29.2%13.0%3.5%38.0K-1.2M-1.8K0.6222.50N/AN/A339209692264
2018-05-04$26.85$30.0028.1%8.1%40.8%39.4%28.3%1.1%2.0%33.1K-1.3M-1.5K0.6125.12N/AN/A345209692264
2018-05-07$26.83$30.0029.0%7.9%40.7%42.1%27.8%2.3%1.7%34.0K-1.3M-1.5K0.7027.98N/AN/A345242696265
2018-05-08$27.10$30.0033.8%6.7%40.3%55.5%28.8%4.3%16.2%8.9K-1.2M-2.0K0.9531.80N/AN/A345327696566
2018-05-09$27.18$30.0028.8%8.3%39.6%41.6%28.3%3.6%1.9%-7.9K-1.3M-1.5K0.9581.29N/AN/A345327696566
2018-05-10$27.18$30.0023.7%6.8%39.4%27.1%27.9%11.9%10.0%-27.5K-1.4M-1.4K0.9553.95N/AN/A345327696566
2018-05-11$27.13$30.0028.0%8.0%39.0%39.2%28.0%10.9%3.5%-22.7K-1.4M-1.4K0.9516.91N/AN/A345327696566
2018-05-14$26.95$30.0026.1%7.5%38.9%34.0%29.7%13.8%8.9%-23.4K-1.4M-1.3K0.9525.49N/AN/A345327696566
2018-05-15$26.98$30.0027.2%7.8%38.2%37.1%30.7%13.0%7.2%-23.4K-1.4M-1.3K0.9869.97N/AN/A451444696566
2018-05-16$27.58$30.0016.4%4.7%39.3%7.0%28.2%13.6%10.2%-21.4K-1.5M-1.3K1.1029.34N/AN/A451494745599
2018-05-17$27.55$30.0013.2%3.8%39.3%0.0%27.1%11.2%9.2%-31.5K-1.5M-1.6K1.4345.77N/AN/A346494745730
2018-05-18$27.43$30.0018.5%5.3%39.3%14.5%15.4%0.3%5.7%-20.3K-1.5M-1.2K7.6051.54N/AN/A65494747730
2018-05-21$27.45$25.0018.1%5.2%39.3%13.5%16.3%-0.0%6.9%-15.7K32.0K-1.2K11.9539.77N/AN/A41490152726
2018-05-22$27.65$25.0015.3%4.4%39.5%5.9%15.6%2.1%8.6%-10.1K10.2K-1.0K10.0035.00N/AN/A49490152726
2018-05-23$27.43$25.0026.9%7.7%39.1%37.4%17.2%0.7%-8.8%-29.3K90.6K-1.6K10.0042.69N/AN/A49490160726
2018-05-24$27.45$25.0019.3%5.5%19.3%16.8%17.4%2.3%-2.7%-16.1K13.0K-1.2K6.8057.78N/AN/A49333160726
2018-05-25$27.65$25.0014.1%4.0%13.8%2.4%16.6%1.0%7.3%-9.6K-9.6K-1.1K7.0039.54N/AN/A49343160750
2018-05-29$27.78$25.0021.1%6.1%11.7%21.7%19.2%3.2%6.7%-15.3K17.9K-1.3K7.0066.93N/AN/A49343160760
2018-05-30$27.83$25.0017.3%5.0%11.2%11.3%19.9%2.4%6.6%-9.7K-6.8K-1.1K6.8012.96N/AN/A49333160760
2018-05-31$27.70$25.0025.6%7.3%11.0%33.8%20.4%-9.4%-2.8%-22.1K27.0K-1.4K6.80107.51N/AN/A49333160746