BHE Options History — February 2020 In February 2020, BHE traded between $26.34 and $30.97. ATM implied volatility averaged 36.0%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 23.2% (HV 20d: 59.2%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.80.
Notable Days 2020-02-11 : Highest Volume — 54 contracts2020-02-28 : Largest IV spike — 87.6% change2020-02-28 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 21.5%Monthly Statistics Metric Avg Min Max Open Close Price $28.14 $26.34 $30.97 $30.19 $26.71 Max Pain $27.11 $25.00 $35.00 $35.00 $25.00 ATM IV 36.0% 19.9% 75.1% 46.3% 75.1% Expected Move 9.9% 5.7% 21.5% 13.3% 21.5% HV 20d 59.2% 42.0% 65.1% 42.0% 58.3% HV 60d 39.6% 30.3% 42.9% 30.3% 41.7% IV Rank 50.8% 17.8% 100.0% 72.9% 100.0% IV Percentile 64.3% 11.5% 100.0% 97.2% 100.0% Term Structure -6.7% -40.2% 3.5% -9.7% -40.2% VWIV 34.5% 25.8% 40.1% 38.0% 31.9% Skew 25d 8.5% -20.2% 24.7% 24.7% 16.2% Skew 10d 6.7% -43.1% 39.4% 39.4% -43.1% Call IV 25d 30.2% 14.2% 51.5% 31.8% 51.5% Put IV 25d 38.7% 25.5% 67.7% 56.5% 67.7% Bid-Ask Spread % 90.54 72.13 122.26 78.41 122.26 Gamma HHI 0.37 0.28 0.47 0.40 0.36 Net GEX -1.5K -7.7K 3.5K -1.4K 2.6K Net DEX 107.5K -31.7K 359.8K 203.0K 998 Net VEX -837 -1.1K -556 -986 -1.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.00 8.50 0.00 0.00 Total Volume 18.579 2 54 2 2 Total OI 426.316 285 495 447 341
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-02-03 $30.19 $35.00 46.3% 13.3% 42.0% 72.9% 0.0% 24.7% -9.7% -1.4K 203.0K -986 0.00 78.41 N/A N/A 2 0 244 203 2020-02-04 $30.97 $35.00 48.8% 14.0% 43.5% 78.1% 38.0% 14.8% -12.2% 2.3K 129.2K -1.1K 0.60 72.13 N/A N/A 5 3 246 203 2020-02-05 $30.91 $35.00 49.2% 14.1% 43.5% 79.0% 40.1% 15.1% -12.4% 1.5K 137.1K -1.1K 8.50 78.94 N/A N/A 2 17 241 206 2020-02-06 $30.49 $30.00 45.9% 10.9% 42.7% 75.6% 34.5% 8.0% -3.1% -1.0K 178.2K -920 1.18 80.98 N/A N/A 11 13 241 209 2020-02-07 $26.70 $30.00 35.7% 8.7% 61.8% 52.8% 29.2% 9.2% 3.5% -7.7K 359.8K -564 1.33 94.67 N/A N/A 21 28 244 234 2020-02-10 $26.34 $25.00 34.6% 10.7% 61.6% 50.5% 0.0% 22.8% -8.6% -7.2K 186.1K -556 0.44 91.40 N/A N/A 27 12 250 172 2020-02-11 $27.51 $25.00 36.4% 6.5% 63.4% 54.4% 37.5% 7.6% -2.8% -3.4K 134.0K -648 1.25 93.62 N/A N/A 24 30 267 175 2020-02-12 $28.34 $25.00 23.7% 6.8% 64.9% 26.4% 33.2% 7.4% -0.3% -3.7K 105.1K -810 0.00 92.44 N/A N/A 0 22 278 201 2020-02-13 $28.54 $25.00 22.9% 6.6% 65.1% 24.5% 39.1% 7.5% 0.1% -3.3K 102.6K -796 0.00 93.41 N/A N/A 4 0 278 203 2020-02-14 $27.76 $25.00 20.6% 5.9% 63.9% 19.6% 0.0% 4.0% -1.3% -3.8K 134.4K -789 0.00 85.10 N/A N/A 0 2 280 203 2020-02-18 $27.65 $25.00 21.6% 6.2% 63.7% 21.6% 25.8% 4.7% 2.0% -4.4K 109.9K -795 0.32 88.65 N/A N/A 25 8 280 193 2020-02-19 $27.91 $25.00 20.2% 5.8% 64.1% 18.6% 0.0% 2.6% -0.5% -1.3K 70.6K -763 0.00 90.58 N/A N/A 10 0 304 187 2020-02-20 $28.09 $25.00 22.0% 6.3% 64.0% 22.4% 0.0% 4.8% -1.2% -220 54.0K -757 0.00 91.54 N/A N/A 2 0 306 187 2020-02-21 $27.63 $25.00 19.9% 5.7% 63.6% 17.8% 0.0% 2.9% 3.0% -580 70.5K -787 0.00 90.60 N/A N/A 3 0 308 187 2020-02-24 $26.73 $25.00 35.8% 10.3% 63.8% 53.1% 35.4% 3.3% -2.4% -1.6K 66.7K -740 0.00 80.40 N/A N/A 3 0 163 122 2020-02-25 $27.11 $25.00 56.1% 16.1% 64.4% 98.2% 0.0% 20.7% -25.3% 8 31.0K -838 0.00 92.69 N/A N/A 34 0 166 122 2020-02-26 $27.59 $25.00 28.2% 8.1% 65.0% 36.4% 31.9% 5.5% -4.8% 1.8K 925 -903 0.03 87.61 N/A N/A 30 1 192 122 2020-02-27 $27.53 $25.00 40.1% 11.5% 65.0% 62.6% 0.0% -20.2% -10.7% 3.5K -31.7K -1.1K 0.00 114.77 N/A N/A 12 0 220 122 2020-02-28 $26.71 $25.00 75.1% 21.5% 58.3% 100.0% 0.0% 16.2% -40.2% 2.6K 998 -1.0K 0.00 122.26 N/A N/A 2 0 220 121
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