BDN Options History — April 2007

In April 2007, BDN traded between $32.66 and $33.79. ATM implied volatility averaged 16.0%. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.5% (HV 20d: 16.5%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-04-05: Highest Volume — 25 contracts
  • 2007-04-12: Largest IV drop — 25.7% change
  • 2007-04-04: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.18$32.66$33.79$32.94$32.88
ATM IV16.0%13.9%22.8%15.5%15.7%
Expected Move4.4%3.9%5.0%4.4%4.5%
HV 20d16.5%14.0%20.8%20.8%14.7%
HV 60d19.0%18.6%19.4%19.3%19.2%
Term Structure1.4%-2.2%9.2%2.1%3.8%
Bid-Ask Spread %94.6844.06111.17106.80106.94
Gamma HHI0.720.560.800.560.76
Net GEX5.5K2.8K7.7K2.8K6.5K
Net DEX-42.2K-64.6K-4.3K-4.3K-38.0K
Net VEX-771-849-601-614-738
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.702530
Total OI122.359813298132

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$32.94$0.0015.5%4.4%20.8%0.0%0.0%0.0%2.1%2.8K-4.3K-6140.00106.80306335
2007-04-03$33.04$0.0015.4%4.4%18.6%0.0%0.0%0.0%1.4%3.1K-17.7K-6280.00107.81006635
2007-04-04$33.19$0.0017.4%5.0%18.7%0.0%0.0%0.0%1.9%3.1K-7.1K-6010.00107.78006635
2007-04-05$33.16$0.0015.3%4.4%17.8%0.0%0.0%0.0%2.3%3.1K-18.1K-6490.00106.712506635
2007-04-09$33.28$0.0016.4%3.9%17.5%0.0%0.0%0.0%1.5%6.0K-59.5K-8490.0092.23009135
2007-04-10$33.28$0.0018.6%5.0%17.5%0.0%0.0%0.0%0.7%5.9K-56.3K-8480.0091.89009135
2007-04-11$32.86$0.0022.8%4.9%15.9%0.0%0.0%0.0%-2.2%5.6K-38.9K-8080.0092.84009135
2007-04-12$32.66$0.0017.0%4.9%15.3%0.0%0.0%0.0%-0.5%5.1K-32.5K-7990.00100.13009135
2007-04-13$32.83$0.0016.7%4.8%15.4%0.0%0.0%0.0%-1.4%5.0K-35.3K-8100.0099.49009135
2007-04-16$32.86$0.0015.2%4.4%14.6%0.0%0.0%0.0%0.5%5.6K-39.5K-7960.0044.06009135
2007-04-17$33.54$0.0014.1%4.0%16.5%0.0%0.0%0.0%2.1%6.0K-59.7K-8440.0092.32009135
2007-04-18$33.14$0.0015.0%4.3%16.9%0.0%0.0%0.0%-0.8%6.2K-55.5K-8090.0088.69009135
2007-04-19$32.92$0.0015.6%4.5%16.6%0.0%0.0%0.0%-0.1%5.6K-45.8K-7850.0095.99009135
2007-04-20$33.34$0.0015.9%4.5%17.4%0.0%0.0%0.0%9.2%5.6K-44.6K-7900.00107.63009135
2007-04-23$33.79$0.0015.0%4.3%17.9%0.0%0.0%0.0%0.3%6.6K-61.9K-8070.0056.77609135
2007-04-24$33.63$0.0014.8%4.3%16.0%0.0%0.0%0.0%1.4%7.4K-64.6K-8350.0090.31009735
2007-04-25$33.59$0.0014.4%4.1%14.3%0.0%0.0%0.0%1.0%7.7K-62.3K-8110.0096.90009735
2007-04-26$33.46$0.0015.6%4.5%14.2%0.0%0.0%0.0%0.5%7.2K-50.8K-7960.0097.06009735
2007-04-27$33.29$0.0013.9%4.0%14.0%0.0%0.0%0.0%5.3%6.2K-50.5K-7930.00111.17009735
2007-04-30$32.88$0.0015.7%4.5%14.7%0.0%0.0%0.0%3.8%6.5K-38.0K-7380.00106.94009735