BHE Options History — September 2018

In September 2018, BHE traded between $23.43 and $26.03. ATM implied volatility averaged 22.1%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.1% (HV 20d: 17.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.19.

Notable Days

  • 2018-09-07: Highest Volume — 338 contracts
  • 2018-09-12: Largest IV spike — 31.4% change
  • 2018-09-24: Highest IV Rank — 39.6%
  • 2018-09-24: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.27$23.43$26.03$26.03$23.43
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV22.1%17.8%27.4%19.3%25.2%
Expected Move6.5%5.2%7.8%5.5%7.2%
HV 20d17.0%16.1%18.7%17.3%18.3%
HV 60d43.3%42.7%43.7%43.6%43.1%
IV Rank25.4%14.0%39.6%17.9%33.9%
IV Percentile31.0%4.4%65.5%9.9%54.0%
Term Structure9.4%1.2%59.1%6.2%11.6%
VWIV23.1%18.3%27.6%20.0%24.6%
Skew 25d1.9%-7.2%6.8%-5.0%2.3%
Skew 10d3.0%-12.2%13.0%-9.2%-0.9%
Call IV 25d22.8%17.4%29.6%28.7%25.5%
Put IV 25d24.7%19.7%29.1%23.7%27.7%
Bid-Ask Spread %54.8012.16106.0199.6822.36
Gamma HHI0.500.440.600.450.60
Net GEX17.4K-44.8K34.2K21.5K-44.8K
Net DEX-307.3K-704.9K736.8K-655.5K736.8K
Net VEX-4.2K-4.8K-3.7K-4.6K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.191.593.772.263.77
Total Volume286.632229338333229
Total OI1,755.0531,7191,7801,7501,736

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$26.03$25.0019.3%5.5%17.3%17.9%20.0%-5.0%6.2%21.5K-655.5K-4.6K2.2699.68N/AN/A102231794956
2018-09-05$26.00$25.0018.1%5.2%16.2%14.6%18.3%-7.2%5.6%24.9K-704.9K-4.5K2.26106.01N/AN/A102231794956
2018-09-06$25.63$25.0019.7%7.2%16.8%18.9%24.2%1.3%2.3%19.0K-613.5K-4.6K2.2694.81N/AN/A102231794956
2018-09-07$25.60$25.0024.5%6.9%16.5%32.1%23.4%-0.7%2.2%16.4K-442.9K-4.8K2.1683.30N/AN/A107231794956
2018-09-10$25.78$25.0025.0%7.1%16.7%33.2%24.1%1.0%3.1%21.9K-604.4K-4.5K1.5985.84N/AN/A110175797956
2018-09-11$25.75$25.0017.8%7.1%16.7%14.0%24.5%0.5%1.2%16.0K-543.4K-4.5K1.5984.11N/AN/A110175800968
2018-09-12$25.78$25.0023.4%6.7%16.7%29.1%23.7%5.4%2.7%23.7K-611.6K-4.4K1.5923.74N/AN/A110175800967
2018-09-13$25.95$25.0022.3%6.4%16.8%26.0%22.6%5.8%3.2%27.4K-683.4K-4.2K1.7026.91N/AN/A108184800976
2018-09-14$25.75$25.0021.2%6.1%17.1%23.1%22.1%6.8%3.7%30.9K-639.1K-4.2K1.7023.88N/AN/A108184804976
2018-09-17$25.20$25.0022.2%6.4%18.7%25.8%23.1%6.0%3.6%26.1K-308.9K-4.4K1.7528.60N/AN/A108189804976
2018-09-18$25.03$25.0021.8%6.3%18.0%24.7%24.0%6.3%3.5%29.1K-232.0K-4.2K2.3524.45N/AN/A83195804970
2018-09-19$24.98$25.0021.3%6.1%16.4%23.4%23.4%5.7%4.0%28.4K-130.8K-4.1K2.3529.19N/AN/A83195800977
2018-09-20$25.03$25.0021.3%6.1%16.5%23.2%23.2%5.5%4.3%34.2K-206.8K-4.1K2.3521.62N/AN/A83195800977
2018-09-21$25.28$25.0021.5%6.2%16.1%23.9%21.3%-0.2%3.5%31.3K-396.5K-3.9K2.2512.16N/AN/A97218800977
2018-09-24$25.53$25.0027.4%7.8%16.5%39.6%27.6%-1.7%39.5%17.3K-352.1K-3.9K2.4695.27N/AN/A72177739980
2018-09-25$25.00$25.0022.4%6.4%17.8%26.3%22.8%-3.8%59.1%26.1K-167.6K-3.8K2.4695.62N/AN/A72177739980
2018-09-26$24.53$25.0022.5%6.4%16.5%26.5%23.7%6.3%9.9%4.4K208.6K-3.8K2.3256.07N/AN/A73169739982
2018-09-27$23.90$25.0022.4%6.4%17.5%26.3%22.5%2.1%9.3%-22.7K508.9K-3.7K2.4527.51N/AN/A74181740982
2018-09-28$23.43$25.0025.2%7.2%18.3%33.9%24.6%2.3%11.6%-44.8K736.8K-3.7K3.7722.36N/AN/A48181742994