BHE Options History — December 2019

In December 2019, BHE traded between $33.97 and $35.50. ATM implied volatility averaged 22.1%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.2% (HV 20d: 25.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2019-12-30: Highest Volume — 37 contracts
  • 2019-12-11: Largest IV spike — 77.1% change
  • 2019-12-11: Highest IV Rank — 46.0%
  • 2019-12-11: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.76$33.97$35.50$33.97$34.47
Max Pain$31.19$30.00$35.00$35.00$35.00
ATM IV22.1%18.1%33.6%18.1%21.5%
Expected Move6.3%5.2%9.6%5.2%6.2%
HV 20d25.3%17.2%28.8%27.1%17.2%
HV 60d23.4%23.1%23.7%23.7%23.4%
IV Rank20.1%10.1%46.0%10.1%20.4%
IV Percentile21.5%8.3%64.3%8.3%22.2%
Term Structure5.7%-4.8%14.3%1.7%8.4%
VWIV27.1%19.7%55.6%24.5%20.2%
Skew 25d11.4%-4.5%56.1%-1.4%-4.5%
Skew 10d16.4%-9.6%80.5%-4.3%-9.6%
Call IV 25d22.9%19.4%27.8%22.6%26.4%
Put IV 25d34.3%18.9%78.7%21.2%21.9%
Bid-Ask Spread %78.4846.70109.43104.4160.59
Gamma HHI0.670.560.750.680.57
Net GEX9.8K7.2K17.1K8.0K7.2K
Net DEX-534.4K-708.4K-147.8K-444.4K-147.8K
Net VEX-1.8K-2.0K-1.6K-1.9K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.002.080.000.00
Total Volume8.81037114
Total OI529.286432548532468

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$33.97$35.0018.1%5.2%27.1%10.1%24.5%-1.4%1.7%8.0K-444.4K-1.9K0.00104.41N/AN/A01321211
2019-12-03$33.99$35.0025.0%7.2%26.9%21.3%0.0%-2.5%-0.4%7.4K-449.1K-1.9K0.0082.13N/AN/A00321210
2019-12-04$34.58$35.0026.1%7.5%27.2%23.2%0.0%-2.9%-4.2%8.1K-540.3K-2.0K0.0072.44N/AN/A01321210
2019-12-05$34.83$30.0022.8%6.5%26.6%17.8%22.7%6.5%2.0%10.6K-553.7K-1.8K0.0063.68N/AN/A40321210
2019-12-06$35.19$30.0022.2%6.4%26.8%16.8%0.0%5.4%6.7%9.0K-621.6K-1.8K0.0066.51N/AN/A250321210
2019-12-09$35.08$30.0024.0%6.6%26.7%19.8%0.0%-1.1%6.5%9.6K-620.7K-1.8K0.0087.06N/AN/A00326210
2019-12-10$34.73$30.0019.0%5.8%27.0%15.1%0.0%-1.6%10.8%8.6K-569.4K-1.8K0.0092.30N/AN/A00326210
2019-12-11$35.26$30.0033.6%9.6%27.4%46.0%55.6%10.5%-4.8%9.9K-672.2K-1.8K0.00109.43N/AN/A200326210
2019-12-12$35.50$30.0025.2%7.2%27.4%28.2%0.0%4.1%5.1%10.0K-708.4K-1.8K0.00103.09N/AN/A00325210
2019-12-13$34.83$30.0022.8%6.5%28.4%23.2%0.0%2.0%6.3%10.7K-561.7K-1.8K0.0087.83N/AN/A100325210
2019-12-16$34.87$30.0021.7%6.2%28.4%20.9%0.0%5.4%8.0%11.3K-576.2K-1.8K0.0082.94N/AN/A00335210
2019-12-17$34.60$30.0020.1%5.8%28.5%17.5%0.0%56.1%8.6%11.1K-523.1K-1.7K0.0096.20N/AN/A10335210
2019-12-18$34.88$30.0021.8%6.2%28.5%21.0%0.0%29.7%1.3%17.1K-564.7K-1.7K0.0049.76N/AN/A10335210
2019-12-19$34.94$30.0020.2%5.8%27.5%17.8%0.0%34.7%6.9%15.2K-580.2K-1.6K0.0089.89N/AN/A70335210
2019-12-20$34.22$30.0019.9%5.7%28.5%16.9%0.0%-3.4%8.0%8.8K-451.0K-1.6K0.4088.13N/AN/A104338210
2019-12-23$34.74$30.0020.2%5.8%28.8%17.6%20.2%37.5%8.6%8.1K-577.4K-1.7K0.0056.57N/AN/A70337198
2019-12-24$35.10$30.0019.7%5.6%17.9%16.6%19.7%31.2%7.9%11.3K-650.9K-1.7K0.0846.70N/AN/A121344198
2019-12-26$34.98$30.0020.2%5.8%17.9%17.8%20.2%34.7%9.1%8.3K-619.0K-1.6K1.5077.18N/AN/A23339197
2019-12-27$34.58$30.0020.1%5.8%18.3%17.5%0.0%-2.4%9.0%8.8K-573.7K-1.6K0.0069.83N/AN/A250340200
2019-12-30$34.55$35.0020.0%5.7%18.0%17.2%0.0%0.7%14.3%7.2K-217.5K-1.6K2.0861.42N/AN/A1225232200
2019-12-31$34.47$35.0021.5%6.2%17.2%20.4%0.0%-4.5%8.4%7.2K-147.8K-1.7K0.0060.59N/AN/A140244224