BHE Options History — March 2021 In March 2021, BHE traded between $28.93 and $31.94. ATM implied volatility averaged 40.0%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 8.4% (HV 20d: 31.7%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.08.
Notable Days 2021-03-19 : Highest Volume — 121 contracts2021-03-16 : Largest IV spike — 61.5% change2021-03-02 : Highest IV Rank — 32.9%2021-03-02 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $30.41 $28.93 $31.94 $29.65 $31.20 Max Pain $23.48 $20.00 $30.00 $25.00 $30.00 ATM IV 40.0% 25.4% 57.7% 36.7% 40.0% Expected Move 11.5% 7.3% 16.5% 10.5% 11.5% HV 20d 31.7% 28.6% 37.3% 34.5% 34.1% HV 60d 34.5% 32.4% 35.9% 35.6% 34.1% IV Rank 18.2% 6.1% 32.9% 15.5% 18.2% IV Percentile 20.6% 0.8% 61.9% 9.1% 19.4% Term Structure -0.6% -18.8% 18.0% 9.6% -9.9% VWIV 38.6% 20.1% 57.7% 36.5% 44.0% Skew 25d -0.5% -16.3% 15.4% -5.4% -11.2% Skew 10d -2.1% -21.6% 18.6% -8.7% -12.1% Call IV 25d 40.1% 25.0% 61.2% 45.7% 47.1% Put IV 25d 39.6% 24.9% 56.9% 40.3% 36.0% Bid-Ask Spread % 110.66 86.61 121.03 115.44 118.03 Gamma HHI 0.72 0.44 0.85 0.78 0.53 Net GEX 17.4K 7.3K 27.2K 22.8K 12.3K Net DEX -430.3K -664.4K -211.8K -420.0K -233.9K Net VEX -930 -1.2K -734 -961 -904 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.00 15.00 0.00 0.00 Total Volume 15.087 0 121 64 1 Total OI 276.174 195 318 274 218
Daily Data (23 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 2021-03-01 $29.65 $25.00 36.7% 10.5% 34.5% 15.5% 36.5% -5.4% 9.6% 22.8K -420.0K -961 0.00 115.44 N/A N/A 64 0 255 19 2021-03-02 $29.55 $25.00 57.7% 16.5% 31.4% 32.9% 57.7% -12.1% -15.7% 17.9K -419.7K -1.0K 0.25 116.94 N/A N/A 4 1 261 19 2021-03-03 $29.79 $25.00 46.9% 13.4% 30.0% 23.9% 47.2% -2.6% -0.7% 21.9K -416.4K -982 1.00 113.50 N/A N/A 1 1 262 18 2021-03-04 $28.93 $20.00 38.0% 10.9% 31.8% 16.5% 0.0% 7.2% -0.5% 22.6K -373.0K -998 15.00 108.82 N/A N/A 1 15 268 19 2021-03-05 $29.70 $20.00 44.8% 11.7% 31.9% 22.2% 41.0% 3.9% 1.3% 18.7K -404.5K -1.2K 0.00 106.42 N/A N/A 2 0 267 34 2021-03-08 $30.16 $20.00 46.0% 11.8% 31.9% 23.2% 39.6% -6.4% -3.6% 24.3K -466.8K -1.1K 0.71 109.86 N/A N/A 7 5 268 33 2021-03-09 $30.57 $20.00 43.8% 14.9% 29.9% 21.4% 37.5% 3.0% -18.8% 27.2K -490.6K -1.1K 0.00 109.47 N/A N/A 9 0 272 38 2021-03-10 $31.00 $20.00 53.7% 15.4% 29.7% 29.6% 51.1% 15.4% -15.7% 22.5K -544.9K -1.1K 0.00 109.21 N/A N/A 9 0 278 38 2021-03-11 $31.35 $20.00 41.3% 11.8% 28.6% 19.2% 41.9% 4.4% -4.4% 24.1K -592.8K -1.0K 0.00 106.65 N/A N/A 6 0 279 38 2021-03-12 $31.66 $20.00 42.9% 12.3% 28.7% 20.6% 42.9% 11.5% -4.0% 23.4K -636.0K -968 0.00 107.03 N/A N/A 7 0 277 38 2021-03-15 $31.94 $20.00 25.4% 7.3% 28.7% 6.1% 26.9% -6.3% 1.7% 21.4K -638.4K -891 0.00 115.24 N/A N/A 1 0 279 38 2021-03-16 $31.48 $20.00 41.1% 11.8% 29.6% 19.1% 28.9% 10.2% 2.2% 24.3K -636.4K -858 0.14 107.54 N/A N/A 7 1 279 38 2021-03-17 $31.84 $25.00 44.8% 12.8% 29.5% 22.1% 0.0% 1.7% 0.3% 19.4K -664.4K -838 0.00 111.87 N/A N/A 0 0 279 39 2021-03-18 $31.20 $25.00 32.6% 9.3% 30.7% 12.0% 43.1% -4.3% 18.0% 24.2K -575.0K -875 0.33 113.09 N/A N/A 3 1 279 39 2021-03-19 $30.95 $25.00 39.8% 11.4% 30.3% 18.0% 20.1% 14.3% 1.8% 7.3K -645.0K -797 0.00 108.91 N/A N/A 121 0 278 39 2021-03-22 $30.68 $25.00 31.9% 9.1% 30.6% 11.4% 25.7% 7.2% 15.3% 8.8K -294.3K -778 0.20 109.81 N/A N/A 5 1 171 24 2021-03-23 $28.93 $25.00 36.0% 10.3% 37.3% 14.9% 33.7% -9.3% 0.9% 8.3K -222.0K -734 4.00 113.81 N/A N/A 1 4 171 25 2021-03-24 $29.20 $25.00 33.7% 9.7% 35.6% 13.0% 0.0% -6.9% 2.2% 7.8K -235.8K -773 0.02 116.96 N/A N/A 50 1 172 29 2021-03-25 $29.40 $25.00 28.9% 8.3% 33.9% 9.0% 0.0% 5.6% 5.7% 9.9K -240.2K -839 0.00 121.03 N/A N/A 16 0 222 30 2021-03-26 $30.11 $25.00 33.2% 9.5% 34.6% 12.5% 0.0% -16.3% 0.1% 11.3K -274.0K -894 0.00 120.84 N/A N/A 0 0 222 30 2021-03-29 $29.73 $25.00 41.7% 12.0% 32.1% 19.6% 0.0% -6.4% 0.9% 10.1K -261.6K -889 0.00 98.02 N/A N/A 2 0 222 30 2021-03-30 $30.37 $30.00 39.7% 11.4% 32.9% 18.0% 0.0% -8.3% -0.6% 10.5K -211.8K -911 0.00 86.61 N/A N/A 0 0 188 30 2021-03-31 $31.20 $30.00 40.0% 11.5% 34.1% 18.2% 44.0% -11.2% -9.9% 12.3K -233.9K -904 0.00 118.03 N/A N/A 1 0 188 30
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