BHE Options History — October 2020 In October 2020, BHE traded between $19.95 and $22.10. ATM implied volatility averaged 52.1%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 16.5% (HV 20d: 35.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.07.
Notable Days 2020-10-27 : Highest Volume — 96 contracts2020-10-15 : Largest IV spike — 55.9% change2020-10-13 : Highest IV Rank — 44.5%2020-10-22 : Largest Expected Move — 18.1%Monthly Statistics Metric Avg Min Max Open Close Price $21.05 $19.95 $22.10 $20.15 $20.74 Max Pain $19.43 $17.50 $20.00 $20.00 $20.00 ATM IV 52.1% 36.0% 69.0% 42.8% 57.5% Expected Move 14.1% 9.1% 18.1% 12.3% 16.5% HV 20d 35.6% 26.5% 40.9% 40.6% 34.6% HV 60d 36.2% 33.5% 38.0% 37.7% 35.9% IV Rank 31.1% 18.1% 44.5% 24.5% 35.3% IV Percentile 58.7% 33.7% 77.0% 48.4% 65.9% Term Structure 0.9% -21.8% 25.9% 7.7% -4.3% VWIV 47.2% 26.3% 64.0% 45.8% 44.0% Skew 25d 11.6% -14.8% 31.4% 16.3% 19.7% Skew 10d 16.1% -12.2% 39.4% 25.6% 30.9% Call IV 25d 42.3% 24.4% 60.4% 33.6% 41.3% Put IV 25d 53.9% 30.3% 69.7% 49.8% 61.0% Bid-Ask Spread % 90.57 42.38 122.95 85.97 89.04 Gamma HHI 0.40 0.26 0.64 0.41 0.35 Net GEX 10.3K 3.5K 21.9K 8.9K 11.6K Net DEX -195.8K -292.4K -116.0K -134.7K -288.5K Net VEX -776 -1.0K -627 -754 -1.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.07 0.00 0.50 0.17 0.00 Total Volume 12.182 0 96 21 7 Total OI 447.045 244 569 533 457
Daily Data (22 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 2020-10-01 $20.15 $20.00 42.8% 12.3% 40.6% 24.5% 45.8% 16.3% 7.7% 8.9K -134.7K -754 0.17 85.97 N/A N/A 18 3 379 154 2020-10-02 $20.22 $20.00 50.4% 14.5% 40.5% 30.5% 0.0% 7.3% 2.5% 10.0K -152.2K -830 0.00 85.91 N/A N/A 0 0 396 155 2020-10-05 $20.56 $17.50 52.1% 16.2% 40.9% 31.9% 0.0% 11.0% -5.4% 10.6K -160.6K -793 0.00 86.78 N/A N/A 0 0 395 155 2020-10-06 $20.93 $17.50 66.9% 16.0% 40.0% 42.8% 0.0% 31.4% -4.4% 13.2K -206.1K -842 0.00 105.37 N/A N/A 0 0 395 155 2020-10-07 $21.49 $17.50 36.8% 11.8% 40.5% 18.7% 0.0% 5.0% -0.1% 18.9K -263.9K -854 0.00 98.25 N/A N/A 0 0 396 155 2020-10-08 $21.95 $17.50 46.4% 10.9% 40.9% 26.4% 0.0% 11.4% 2.5% 19.7K -277.5K -807 0.00 93.19 N/A N/A 0 0 396 155 2020-10-09 $21.90 $17.50 40.6% 9.5% 40.9% 21.8% 29.8% 2.0% 5.0% 20.3K -279.5K -786 0.00 122.95 N/A N/A 0 3 396 155 2020-10-12 $22.10 $20.00 50.2% 11.9% 38.6% 29.5% 0.0% -10.5% -3.8% 21.9K -292.4K -782 0.00 106.64 N/A N/A 1 0 396 158 2020-10-13 $21.47 $20.00 69.0% 9.1% 40.1% 44.5% 0.0% 23.9% 10.6% 16.6K -245.0K -725 0.00 107.77 N/A N/A 0 0 397 158 2020-10-14 $21.02 $20.00 36.0% 10.3% 40.1% 18.1% 0.0% -14.8% 4.1% 13.9K -201.9K -707 0.00 108.35 N/A N/A 0 0 397 158 2020-10-15 $21.26 $20.00 56.1% 16.1% 40.3% 34.2% 52.0% 18.2% 25.9% 3.5K -161.9K -627 0.00 94.96 N/A N/A 13 0 397 158 2020-10-16 $21.48 $20.00 45.9% 13.2% 40.5% 26.0% 0.0% 10.3% 6.2% 5.4K -183.7K -662 0.00 103.41 N/A N/A 0 0 411 158 2020-10-19 $21.51 $20.00 43.5% 12.5% 28.1% 24.1% 44.3% 22.0% 2.8% 4.7K -157.9K -672 0.00 89.56 N/A N/A 29 0 159 85 2020-10-20 $21.29 $20.00 50.6% 14.5% 28.0% 29.8% 0.0% 9.7% 3.9% 5.3K -156.5K -752 0.00 82.87 N/A N/A 0 0 188 85 2020-10-21 $20.94 $20.00 51.4% 14.7% 27.5% 30.4% 52.6% 14.6% -2.5% 5.1K -140.3K -715 0.50 78.67 N/A N/A 4 2 188 85 2020-10-22 $20.98 $20.00 63.1% 18.1% 26.5% 39.8% 64.0% 7.1% -9.0% 4.7K -140.3K -759 0.00 91.87 N/A N/A 6 0 189 97 2020-10-23 $21.49 $20.00 57.2% 16.4% 27.4% 35.1% 0.0% 18.0% -4.6% 4.6K -166.3K -781 0.00 72.96 N/A N/A 0 0 189 99 2020-10-26 $20.43 $20.00 49.4% 14.1% 30.6% 28.8% 0.0% 6.0% 10.8% 4.2K -116.0K -705 0.00 78.78 N/A N/A 0 0 187 99 2020-10-27 $20.52 $20.00 60.1% 17.2% 30.4% 37.4% 59.9% 6.7% -4.9% 3.8K -126.2K -718 0.00 71.39 N/A N/A 96 0 187 99 2020-10-28 $19.95 $20.00 59.7% 17.1% 32.0% 37.1% 53.1% 14.9% -21.8% 8.4K -192.3K -826 0.05 42.38 N/A N/A 60 3 281 99 2020-10-29 $20.71 $20.00 59.9% 17.2% 34.7% 37.3% 26.3% 25.1% -1.3% 11.1K -265.0K -969 0.00 95.56 N/A N/A 23 0 341 96 2020-10-30 $20.74 $20.00 57.5% 16.5% 34.6% 35.3% 44.0% 19.7% -4.3% 11.6K -288.5K -1.0K 0.00 89.04 N/A N/A 7 0 361 96
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