BHE Options History — September 2020

In September 2020, BHE traded between $19.19 and $21.45. ATM implied volatility averaged 44.3%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 7.0% (HV 20d: 37.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.40.

Notable Days

  • 2020-09-28: Highest Volume — 67 contracts
  • 2020-09-21: Largest IV spike — 32.8% change
  • 2020-09-23: Highest IV Rank — 36.3%
  • 2020-09-23: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.20$19.19$21.45$19.32$20.24
Max Pain$18.45$17.50$20.00$20.00$20.00
ATM IV44.3%35.1%57.7%35.1%40.6%
Expected Move12.7%10.1%16.5%10.1%11.6%
HV 20d37.3%30.6%44.6%30.6%42.8%
HV 60d39.1%37.6%41.5%40.7%37.7%
IV Rank25.7%18.5%36.3%18.5%22.7%
IV Percentile53.0%41.7%68.7%41.7%46.0%
Term Structure5.3%-11.1%36.5%32.1%20.0%
VWIV37.4%18.2%52.5%18.2%52.5%
Skew 25d10.4%-13.7%34.8%34.8%19.4%
Skew 10d17.2%-16.2%40.6%37.5%21.7%
Call IV 25d40.6%26.6%52.6%26.7%31.6%
Put IV 25d50.9%33.8%63.4%61.5%51.1%
Bid-Ask Spread %101.7975.86114.6075.86105.64
Gamma HHI0.400.330.530.350.40
Net GEX6.4K-7.3K14.5K2.6K9.2K
Net DEX-139.9K-301.3K18.3K-57.2K-156.7K
Net VEX-978-1.4K-673-1.3K-799
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.0032.500.0032.50
Total Volume606750
Total OI599.333458683663533

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$19.32$20.0035.1%10.1%30.6%18.5%18.2%34.8%32.1%2.6K-57.2K-1.3K0.0075.86N/AN/A50457206
2020-09-02$20.09$20.0039.6%11.3%34.1%21.9%0.0%3.7%13.5%2.7K-108.1K-1.4K0.0098.84N/AN/A00463206
2020-09-03$20.22$17.5051.4%13.1%34.0%31.3%0.0%1.2%3.1%5.4K-103.7K-1.2K0.00111.06N/AN/A00463206
2020-09-04$20.39$17.5040.7%13.3%33.7%22.9%0.0%11.2%-2.7%5.8K-145.2K-1.3K0.00110.80N/AN/A100463206
2020-09-08$19.86$17.5049.1%13.2%34.5%29.5%0.0%7.6%-1.5%715-67.7K-1.1K0.50101.72N/AN/A21463206
2020-09-09$19.61$17.5037.3%10.7%34.7%20.2%0.0%10.9%5.5%-7.3K18.3K-9080.0099.51N/AN/A00465207
2020-09-10$19.65$17.5046.8%13.4%34.0%27.6%28.0%19.6%-2.5%1.9K-40.4K-1.0K0.00108.03N/AN/A120465207
2020-09-11$19.85$17.5050.5%14.5%34.3%30.6%0.0%31.8%-11.1%4.2K-91.3K-1.1K0.0099.84N/AN/A00459207
2020-09-14$20.70$17.5043.9%12.6%37.8%25.4%50.8%-3.9%-0.0%-618-162.8K-9800.00106.48N/AN/A100459207
2020-09-15$20.91$17.5040.3%11.5%36.9%22.5%0.0%1.3%9.2%7.2K-200.1K-1.0K0.00103.33N/AN/A05469207
2020-09-16$21.37$17.5045.2%13.0%32.0%26.4%0.0%22.1%0.2%12.0K-287.3K-1.2K0.00114.60N/AN/A00469212
2020-09-17$21.45$17.5037.7%10.8%32.0%20.5%0.0%9.0%36.5%14.5K-301.3K-1.1K0.00113.61N/AN/A20469212
2020-09-18$21.44$17.5036.5%10.5%31.2%19.6%0.0%17.0%4.2%14.1K-272.1K-9900.00113.20N/AN/A02471212
2020-09-21$19.83$17.5048.5%13.9%42.3%29.1%0.0%10.1%2.1%9.4K-144.2K-7660.0095.94N/AN/A2037484
2020-09-22$19.60$17.5052.7%15.1%41.9%32.3%52.5%5.3%-5.3%8.8K-131.2K-7130.0089.04N/AN/A0537784
2020-09-23$19.19$20.0057.7%16.5%42.5%36.3%0.0%12.8%-9.3%7.3K-119.5K-7611.0098.09N/AN/A1137789
2020-09-24$19.66$20.0045.1%12.9%43.5%26.3%0.0%-13.7%-4.7%7.8K-112.5K-6730.00111.21N/AN/A0037789
2020-09-25$19.82$20.0045.4%13.0%43.4%26.6%0.0%4.3%6.6%8.6K-130.4K-7070.0082.47N/AN/A1037789
2020-09-28$20.60$20.0046.5%13.3%44.6%27.5%0.0%8.2%3.3%11.5K-172.0K-77332.5091.45N/AN/A26537889
2020-09-29$20.37$20.0040.3%11.6%43.7%22.5%0.0%5.2%11.9%9.5K-153.2K-7780.00106.96N/AN/A00379154
2020-09-30$20.24$20.0040.6%11.6%42.8%22.7%0.0%19.4%20.0%9.2K-156.7K-7990.00105.64N/AN/A00379154