BHE Options History — January 2020

In January 2020, BHE traded between $30.84 and $37.16. ATM implied volatility averaged 29.6%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 9.7% (HV 20d: 19.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.69.

Notable Days

  • 2020-01-30: Highest Volume — 64 contracts
  • 2020-01-15: Largest IV spike — 68.7% change
  • 2020-01-31: Highest IV Rank — 71.2%
  • 2020-01-31: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.21$30.84$37.16$34.31$30.84
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV29.6%13.4%45.5%20.7%45.5%
Expected Move9.6%5.9%13.1%5.9%13.1%
HV 20d19.9%15.9%41.8%17.3%41.8%
HV 60d23.7%21.8%30.2%23.4%30.2%
IV Rank37.5%3.4%71.2%18.7%71.2%
IV Percentile54.4%0.4%96.4%19.8%96.4%
Term Structure-2.6%-8.1%15.9%8.9%-7.9%
VWIV35.8%25.6%54.2%30.6%51.8%
Skew 25d11.0%-3.2%55.3%-3.2%11.8%
Skew 10d18.8%-10.3%70.1%-10.3%24.5%
Call IV 25d28.8%20.6%41.6%25.5%41.6%
Put IV 25d39.8%22.3%81.4%22.3%53.4%
Bid-Ask Spread %80.8148.9695.1248.9677.57
Gamma HHI0.560.410.650.560.41
Net GEX11.1K1.5K18.5K7.0K1.5K
Net DEX-316.7K-691.2K141.1K-124.1K141.1K
Net VEX-1.5K-1.8K-1.1K-1.8K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.0015.0015.0014.00
Total Volume13.238064015
Total OI452.81357529473444

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$34.31$35.0020.7%5.9%17.3%18.7%0.0%-3.2%8.9%7.0K-124.1K-1.8K0.0048.96N/AN/A00249224
2020-01-03$34.46$35.0020.8%6.0%16.3%19.0%0.0%55.3%9.5%6.9K-134.9K-1.7K15.0071.07N/AN/A115249224
2020-01-06$34.11$35.0023.0%8.8%16.4%23.6%30.6%7.6%-2.7%6.2K-65.7K-1.7K1.3381.77N/AN/A34252239
2020-01-07$33.94$35.0013.4%8.7%15.9%3.4%0.0%13.5%-2.7%6.7K23.2K-1.5K1.1781.13N/AN/A67255243
2020-01-08$34.58$35.0021.8%8.7%17.4%21.1%30.4%7.7%-2.3%4.8K-156.2K-1.7K0.0081.70N/AN/A50255248
2020-01-09$34.67$35.0020.2%8.8%17.1%17.7%30.8%14.7%-3.3%5.1K-158.7K-1.7K0.0088.49N/AN/A110257248
2020-01-10$34.65$35.0018.8%8.6%16.2%14.7%0.0%7.5%-2.8%5.8K-165.8K-1.7K0.0084.25N/AN/A00266248
2020-01-13$35.54$35.0020.9%9.1%18.5%19.2%31.7%7.7%-4.2%6.7K-434.8K-1.6K2.4095.12N/AN/A1024266248
2020-01-14$35.70$35.0019.3%9.2%17.1%15.8%33.5%0.9%-3.5%9.1K-526.4K-1.5K1.1567.56N/AN/A1315270245
2020-01-15$35.78$35.0032.6%9.3%17.1%43.9%32.6%16.5%-5.3%9.9K-443.2K-1.6K0.0094.08N/AN/A40272255
2020-01-16$36.67$35.0032.1%9.2%18.6%42.8%31.9%7.5%-4.6%15.3K-654.6K-1.3K0.0090.26N/AN/A60274255
2020-01-17$36.83$35.0032.7%9.4%18.5%44.1%33.0%6.1%-8.1%17.4K-691.2K-1.3K6.0075.08N/AN/A212274255
2020-01-21$36.65$35.0035.5%10.2%18.7%50.0%35.5%6.4%-4.7%16.0K-451.0K-1.3K0.0074.26N/AN/A230216141
2020-01-22$37.01$35.0036.2%10.4%16.7%51.5%36.5%5.8%-6.2%15.7K-483.2K-1.3K0.0073.00N/AN/A50216141
2020-01-23$37.16$35.0037.1%10.6%16.2%53.3%36.6%6.1%-5.6%17.5K-542.9K-1.3K0.0082.65N/AN/A140234141
2020-01-24$37.05$35.0037.6%10.8%16.1%54.5%54.2%9.3%-4.6%18.0K-536.5K-1.4K0.0084.60N/AN/A03243141
2020-01-27$35.91$35.0039.1%11.2%20.1%57.7%39.2%21.2%-6.3%18.5K-424.9K-1.4K2.0087.88N/AN/A510243141
2020-01-28$36.14$35.0038.5%11.0%19.6%56.4%38.5%22.3%-6.7%18.5K-444.5K-1.3K0.0089.52N/AN/A10238141
2020-01-29$35.25$35.0038.2%10.9%21.8%55.7%0.0%-0.8%-6.6%18.4K-346.5K-1.4K0.0092.04N/AN/A00238141
2020-01-30$32.16$35.0037.0%10.6%39.5%53.3%25.6%7.3%15.9%8.3K-31.0K-1.1K0.0076.08N/AN/A064238141
2020-01-31$30.84$35.0045.5%13.1%41.8%71.2%51.8%11.8%-7.9%1.5K141.1K-1.2K14.0077.57N/AN/A114243201