BHE Options History — June 2020

In June 2020, BHE traded between $20.51 and $24.36. ATM implied volatility averaged 65.8%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 3.2% (HV 20d: 62.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.04.

Notable Days

  • 2020-06-04: Highest Volume — 226 contracts
  • 2020-06-17: Largest IV spike — 371.5% change
  • 2020-06-26: Highest IV Rank — 69.1%
  • 2020-06-26: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.70$20.51$24.36$21.68$21.69
Max Pain$22.16$20.00$22.50$20.00$22.50
ATM IV65.8%18.2%99.2%54.7%43.3%
Expected Move18.2%5.2%28.4%15.7%12.4%
HV 20d62.6%46.5%72.0%66.9%47.4%
HV 60d88.1%71.5%109.2%108.6%71.5%
IV Rank42.7%5.0%69.1%33.9%24.9%
IV Percentile80.2%5.2%98.0%79.4%65.5%
Term Structure-0.5%-38.3%98.4%-5.0%30.6%
VWIV50.0%15.0%78.1%41.9%77.7%
Skew 25d12.5%-57.2%45.6%1.2%24.7%
Skew 10d6.7%-82.4%70.4%-0.7%19.0%
Call IV 25d61.1%30.6%95.1%63.7%41.0%
Put IV 25d73.6%21.4%134.5%64.9%65.7%
Bid-Ask Spread %118.39100.43142.72107.09102.10
Gamma HHI0.410.370.470.410.42
Net GEX12.4K8.0K19.2K13.1K15.8K
Net DEX-285.7K-529.5K-178.8K-221.5K-240.0K
Net VEX-1.7K-2.0K-1.4K-1.7K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.390.000.00
Total Volume18.2730226110
Total OI569.773543580565574

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$21.68$20.0054.7%15.7%66.9%33.9%0.0%1.2%-5.0%13.1K-221.5K-1.7K0.00107.09N/AN/A110459106
2020-06-02$21.46$20.0067.5%19.4%67.0%44.0%0.0%28.6%-24.4%11.5K-261.1K-1.9K0.00100.43N/AN/A00468106
2020-06-03$22.55$20.0052.9%15.2%68.2%32.5%0.0%34.2%-5.9%15.6K-336.3K-2.0K0.00118.27N/AN/A10469106
2020-06-04$22.85$22.5063.1%13.7%68.1%40.6%41.9%40.8%-0.8%15.4K-377.8K-1.9K0.14106.39N/AN/A19828468106
2020-06-05$23.57$22.5050.0%12.7%68.5%30.2%0.0%22.0%-1.0%19.2K-452.0K-2.0K0.00119.94N/AN/A00469106
2020-06-08$24.36$22.5098.2%19.7%66.2%68.3%39.1%45.6%-38.3%15.8K-529.5K-1.9K0.00120.82N/AN/A130468106
2020-06-09$23.88$22.5048.3%13.7%66.4%28.9%50.9%-29.8%-0.5%18.0K-492.2K-2.0K0.00121.86N/AN/A50469106
2020-06-10$22.36$22.5066.8%19.1%70.2%43.5%47.3%20.6%-5.8%13.5K-422.8K-1.9K0.00129.50N/AN/A20469106
2020-06-11$21.14$22.5050.4%14.5%71.8%30.5%0.0%-10.7%15.4%11.4K-204.9K-1.7K0.00118.66N/AN/A00470106
2020-06-12$20.95$22.5051.8%14.9%72.0%31.7%0.0%-10.7%-2.9%10.6K-189.5K-1.6K0.00129.94N/AN/A00470106
2020-06-15$21.02$22.5079.5%22.8%71.9%53.6%0.0%7.7%-15.3%10.5K-251.7K-1.7K0.00120.57N/AN/A20470106
2020-06-16$21.68$22.5018.2%5.2%63.5%5.0%15.0%-57.2%98.4%18.0K-293.8K-1.7K0.00142.72N/AN/A310469106
2020-06-17$21.44$22.5085.7%24.6%63.3%58.4%0.0%13.7%4.6%9.4K-273.0K-1.7K0.00129.06N/AN/A00469106
2020-06-18$20.83$22.5062.8%18.0%64.1%40.3%0.0%30.4%14.4%9.7K-193.1K-1.5K0.00110.72N/AN/A50469106
2020-06-19$20.81$22.5076.6%22.0%63.4%51.2%0.0%13.2%-17.0%9.3K-255.5K-1.6K0.00118.80N/AN/A00474106
2020-06-22$21.07$22.5085.5%24.5%63.5%58.3%0.0%36.3%2.5%9.8K-206.3K-1.6K0.00110.29N/AN/A20441102
2020-06-23$21.22$22.5064.5%18.5%59.7%41.7%78.1%-5.0%-3.7%9.7K-200.8K-1.5K0.39110.21N/AN/A6726441102
2020-06-24$20.59$22.5080.9%23.2%52.2%54.6%77.7%-15.7%-26.3%8.0K-256.1K-1.6K0.00121.99N/AN/A01461102
2020-06-25$20.51$22.5067.6%19.4%49.6%44.1%0.0%17.9%-8.2%8.2K-178.8K-1.5K0.00115.39N/AN/A00461103
2020-06-26$20.63$22.5099.2%28.4%46.5%69.1%0.0%42.4%10.1%9.2K-223.6K-1.5K0.00127.75N/AN/A00461103
2020-06-29$21.11$22.5079.4%22.8%46.5%53.4%0.0%25.2%-31.8%10.6K-225.5K-1.5K0.00122.17N/AN/A100461103
2020-06-30$21.69$22.5043.3%12.4%47.4%24.9%0.0%24.7%30.6%15.8K-240.0K-1.4K0.00102.10N/AN/A00471103