BHE Options History — March 2020

In March 2020, BHE traded between $14.95 and $27.79. ATM implied volatility averaged 80.0%, placing in the 68.5% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded below realized volatility by 14.8% (HV 20d: 94.8%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 11.15.

Notable Days

  • 2020-03-10: Highest Volume — 113 contracts
  • 2020-03-05: Largest IV spike — 124.8% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 35.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.81$14.95$27.79$27.33$19.81
Max Pain$25.68$20.00$30.00$25.00$20.00
ATM IV80.0%29.3%122.0%33.7%81.6%
Expected Move21.3%8.4%35.0%9.7%23.4%
HV 20d94.8%33.9%147.0%58.1%147.0%
HV 60d66.5%41.8%93.1%42.0%93.1%
IV Rank68.5%27.6%100.0%34.5%63.3%
IV Percentile94.8%48.4%100.0%71.0%96.0%
Term Structure-6.4%-33.4%16.3%-5.1%-15.0%
VWIV73.7%45.9%98.4%52.2%96.7%
Skew 25d13.7%-8.8%56.4%-6.4%3.9%
Skew 10d17.0%-57.1%53.9%-10.6%33.5%
Call IV 25d69.7%31.5%134.7%35.1%74.0%
Put IV 25d83.4%28.7%134.1%28.7%77.9%
Bid-Ask Spread %104.1290.45120.30107.97111.57
Gamma HHI0.370.240.580.440.36
Net GEX2.1K-1.1K6.8K3.3K3.3K
Net DEX91.5K-29.9K231.7K56480.7K
Net VEX-856-1.1K-460-934-976
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.150.0074.000.530.09
Total Volume22.045011300
Total OI468.455333673340563

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$27.33$25.0033.7%9.7%58.1%34.5%0.0%-6.4%-5.1%3.3K564-9340.00107.97N/AN/A00219121
2020-03-03$27.38$25.0060.3%17.3%57.8%76.5%52.2%5.1%-21.3%3.6K-15.6K-9720.53120.30N/AN/A179219121
2020-03-04$27.79$25.0029.3%8.4%57.2%27.6%0.0%-2.3%6.6%6.8K-29.9K-8970.00105.21N/AN/A00218115
2020-03-05$26.89$30.0065.9%11.7%58.0%85.4%0.0%2.7%16.3%1.9K26.0K-8390.00101.45N/AN/A00218115
2020-03-06$26.93$30.00112.2%13.6%58.0%100.0%45.9%-0.5%7.7%2.9K-19.7K-9480.0099.68N/AN/A040218115
2020-03-09$26.49$30.0073.0%13.8%34.2%61.0%0.0%6.3%-1.6%2.0K27.8K-8250.00106.15N/AN/A200218115
2020-03-10$26.55$30.0064.9%15.7%33.9%52.9%52.0%10.2%-6.1%2.4K26.8K-7860.0395.35N/AN/A1103238115
2020-03-11$24.78$30.0056.0%16.1%38.1%44.1%0.0%9.3%-11.0%3.8K47.5K-9760.0092.85N/AN/A01336118
2020-03-12$20.72$30.00101.6%29.1%70.8%89.4%0.0%15.6%-29.3%1.5K101.9K-7510.03104.48N/AN/A401336119
2020-03-13$21.99$30.0073.3%21.0%75.3%61.3%86.9%37.6%-8.1%2.4K76.7K-8621.0090.45N/AN/A11336118
2020-03-16$21.69$30.0074.4%21.3%75.1%62.3%0.0%33.9%-14.4%1.2K104.7K-74740.0095.07N/AN/A140337119
2020-03-17$18.61$30.0092.3%26.5%90.1%80.2%75.7%-5.7%-20.9%-376191.4K-5607.00107.70N/AN/A17336159
2020-03-18$14.95$30.00122.0%35.0%113.6%100.0%0.0%-8.8%-33.4%-45170.7K-46074.00104.50N/AN/A174337165
2020-03-19$17.99$30.00113.4%32.5%136.8%92.3%98.4%18.2%-14.1%-1.1K231.7K-8570.0192.76N/AN/A1021338234
2020-03-20$17.30$20.0087.9%25.2%136.9%69.1%0.0%56.4%-1.1%1.1K201.1K-8750.00100.08N/AN/A00438235
2020-03-23$17.23$20.0087.1%25.0%137.1%68.3%0.0%29.4%3.2%1.2K167.0K-8420.00100.13N/AN/A02339212
2020-03-24$17.99$20.0092.2%26.4%138.4%73.0%0.0%5.3%-5.3%1.1K172.6K-8330.0098.27N/AN/A00339214
2020-03-25$18.42$20.0091.2%26.2%138.7%72.1%0.0%37.5%7.0%1.9K143.3K-9290.00106.97N/AN/A00339214
2020-03-26$19.68$20.0071.8%20.6%141.9%54.5%81.6%4.7%2.9%2.7K117.1K-9520.00113.64N/AN/A10339214
2020-03-27$18.73$20.0094.9%27.2%142.4%75.4%0.0%36.6%3.7%1.7K128.8K-9410.00116.47N/AN/A00340214
2020-03-30$20.52$20.0081.3%23.3%146.9%63.1%96.7%13.0%-0.9%3.8K61.6K-1.1K0.09119.67N/AN/A111340213
2020-03-31$19.81$20.0081.6%23.4%147.0%63.3%0.0%3.9%-15.0%3.3K80.7K-9760.00111.57N/AN/A00351212