BDN Options History — March 2007 In March 2007, BDN traded between $33.11 and $35.30. ATM implied volatility averaged 17.8%. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 5.7% (HV 20d: 23.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2007-03-02 : Highest Volume — 13 contracts2007-03-06 : Largest IV drop — 56.9% change2007-03-14 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $34.24 $33.11 $35.30 $35.30 $33.41 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 17.8% 11.8% 27.4% 19.4% 15.2% Expected Move 5.3% 3.8% 5.8% 5.6% 4.3% HV 20d 23.5% 18.5% 24.5% 18.5% 22.8% HV 60d 19.2% 18.7% 19.5% 18.9% 19.1% Term Structure 0.3% -2.1% 6.6% 0.8% 3.5% VWIV 19.5% 19.5% 19.5% 19.5% 19.5% Bid-Ask Spread % 65.80 18.76 127.56 103.22 107.77 Gamma HHI 0.48 0.33 0.60 0.41 0.56 Net GEX 2.3K 395 3.8K 1.8K 2.8K Net DEX -24.2K -57.0K 5.4K -57.0K -4.8K Net VEX -705 -786 -594 -691 -620 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.136 0 13 5 0 Total OI 101.773 93 107 93 98
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 Vol Put Vol Call OI Put OI 2007-03-01 $35.30 $35.00 19.4% 5.6% 18.5% 0.0% 0.0% 0.0% 0.8% 1.8K -57.0K -691 0.00 103.22 0 5 56 37 2007-03-02 $34.56 $35.00 19.4% 5.6% 20.0% 0.0% 19.5% 0.0% 0.0% 910 -19.9K -712 0.00 103.59 13 0 56 42 2007-03-05 $33.53 $0.00 27.4% 4.8% 22.4% 0.0% 0.0% 0.0% 1.0% 2.1K 5.4K -703 0.00 127.56 0 0 65 42 2007-03-06 $34.36 $0.00 11.8% 5.7% 24.3% 0.0% 0.0% 0.0% -1.1% 1.1K -22.4K -778 0.00 91.02 0 0 65 42 2007-03-07 $34.24 $0.00 13.7% 5.7% 24.0% 0.0% 0.0% 0.0% -1.4% 1.4K -18.2K -749 0.00 91.28 0 0 65 42 2007-03-08 $34.73 $0.00 18.4% 5.7% 24.4% 0.0% 0.0% 0.0% -1.1% 1.2K -35.3K -786 0.00 90.20 0 3 65 42 2007-03-09 $35.00 $0.00 16.9% 5.7% 24.4% 0.0% 0.0% 0.0% -1.3% 939 -49.4K -774 0.00 89.18 0 0 65 42 2007-03-12 $35.00 $0.00 18.1% 5.8% 24.1% 0.0% 0.0% 0.0% -1.3% 431 -50.0K -763 0.00 89.54 0 0 65 42 2007-03-13 $34.13 $0.00 21.4% 5.8% 24.5% 0.0% 0.0% 0.0% -2.1% 1.8K -10.7K -730 0.00 96.13 0 0 65 42 2007-03-14 $34.48 $0.00 17.0% 5.8% 24.3% 0.0% 0.0% 0.0% -1.8% 688 -21.8K -742 0.00 18.76 0 0 65 42 2007-03-15 $34.60 $0.00 20.3% 5.8% 23.7% 0.0% 0.0% 0.0% -1.4% 395 -24.8K -735 0.00 18.89 0 2 65 42 2007-03-16 $34.05 $0.00 19.4% 5.6% 24.4% 0.0% 0.0% 0.0% -1.3% 3.0K -13.1K -723 0.00 22.87 0 2 65 40 2007-03-19 $34.20 $0.00 19.1% 5.5% 24.4% 0.0% 0.0% 0.0% -1.9% 3.4K -29.9K -705 0.00 28.28 0 0 63 35 2007-03-20 $34.21 $0.00 19.0% 5.5% 23.9% 0.0% 0.0% 0.0% -0.3% 3.5K -30.5K -701 0.00 32.86 0 0 63 35 2007-03-21 $34.50 $0.00 18.8% 5.4% 24.1% 0.0% 0.0% 0.0% -0.2% 3.6K -37.4K -708 0.00 23.08 0 0 63 35 2007-03-22 $34.47 $0.00 18.6% 5.3% 23.9% 0.0% 0.0% 0.0% -0.1% 3.7K -37.5K -709 0.00 28.09 0 0 63 35 2007-03-23 $34.77 $0.00 18.5% 5.3% 23.5% 0.0% 0.0% 0.0% -0.0% 3.8K -48.0K -724 0.00 24.47 0 0 63 35 2007-03-26 $33.97 $0.00 19.0% 5.4% 24.1% 0.0% 0.0% 0.0% -0.2% 3.5K -20.6K -661 0.00 35.29 0 0 63 35 2007-03-27 $33.31 $0.00 13.1% 3.8% 23.9% 0.0% 0.0% 0.0% 4.3% 3.2K -4.1K -616 0.00 57.94 0 0 63 35 2007-03-28 $33.11 $0.00 13.1% 3.8% 23.6% 0.0% 0.0% 0.0% 5.8% 3.2K -2.3K -594 0.00 60.73 0 0 63 35 2007-03-29 $33.38 $0.00 14.7% 4.2% 23.8% 0.0% 0.0% 0.0% 6.6% 3.0K -698 -594 0.00 106.88 0 0 63 35 2007-03-30 $33.41 $0.00 15.2% 4.3% 22.8% 0.0% 0.0% 0.0% 3.5% 2.8K -4.8K -620 0.00 107.77 0 0 63 35
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