BDN Options History — May 2007

In May 2007, BDN traded between $31.19 and $33.11. ATM implied volatility averaged 16.2%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.5% (HV 20d: 14.6%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-05-17: Highest Volume — 20 contracts
  • 2007-05-15: Largest IV spike — 55.4% change
  • 2007-05-17: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.24$31.19$33.11$32.59$31.81
ATM IV16.2%10.8%21.4%19.4%16.2%
Expected Move4.6%3.1%6.1%5.6%4.6%
HV 20d14.6%13.1%16.1%14.1%15.8%
HV 60d18.4%16.1%19.2%19.2%16.1%
Term Structure2.1%-5.2%6.1%3.8%4.5%
Bid-Ask Spread %101.8486.28108.75107.50107.29
Gamma HHI0.700.540.840.730.57
Net GEX6.4K4.1K8.0K5.4K7.3K
Net DEX-26.0K-54.3K23.0K-20.6K-47.3K
Net VEX-659-754-500-707-662
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.59102000
Total OI142.182130164132164

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$32.59$0.0019.4%5.6%14.1%0.0%0.0%0.0%3.8%5.4K-20.6K-7070.00107.50009735
2007-05-02$32.75$0.0015.4%4.4%14.2%0.0%0.0%0.0%1.2%7.1K-38.6K-7310.00106.49309735
2007-05-03$33.11$0.0015.6%4.5%14.7%0.0%0.0%0.0%1.9%6.6K-38.0K-7380.0087.49009535
2007-05-04$32.91$0.0014.8%4.4%14.8%0.0%0.0%0.0%-0.8%6.4K-31.9K-7170.0094.62009535
2007-05-07$33.03$0.0016.2%4.5%14.8%0.0%0.0%0.0%-1.1%5.8K-33.8K-7390.0095.76009535
2007-05-08$32.88$0.0017.8%4.3%14.9%0.0%0.0%0.0%-0.3%7.1K-28.6K-6830.0099.13409535
2007-05-09$33.09$0.0018.5%4.3%14.4%0.0%0.0%0.0%-0.0%7.8K-42.9K-7540.00100.21009935
2007-05-10$32.70$0.0016.6%4.8%14.9%0.0%0.0%0.0%-0.6%7.2K-23.5K-6820.0099.73009935
2007-05-11$33.00$0.0014.1%4.1%15.1%0.0%0.0%0.0%0.2%8.0K-29.4K-7000.0097.19009935
2007-05-14$32.82$0.0010.8%3.1%15.3%0.0%0.0%0.0%5.4%7.5K-21.6K-6590.0086.28009935
2007-05-15$32.30$0.0016.8%4.8%14.2%0.0%0.0%0.0%-5.2%5.9K-8.5K-6510.00108.65009935
2007-05-16$32.05$0.0014.3%4.1%13.9%0.0%0.0%0.0%6.1%5.2K3.3K-5830.00106.75009935
2007-05-17$31.52$0.0021.4%6.1%14.8%0.0%0.0%0.0%-1.0%4.1K23.0K-5090.0099.402009935
2007-05-18$31.35$0.0016.3%4.7%13.7%0.0%0.0%0.0%2.4%4.2K12.0K-5000.00106.972009935
2007-05-21$31.64$0.0017.2%4.9%13.1%0.0%0.0%0.0%2.2%6.2K-27.8K-6360.00106.000011935
2007-05-22$31.90$0.0015.9%4.6%13.7%0.0%0.0%0.0%6.1%6.8K-42.9K-6630.00107.160011935
2007-05-23$31.73$0.0014.7%4.2%13.7%0.0%0.0%0.0%4.9%6.5K-30.5K-6370.00107.050011935
2007-05-24$31.19$0.0016.9%4.8%14.6%0.0%0.0%0.0%2.2%5.5K-5.1K-5610.00107.0610011935
2007-05-25$31.20$0.0013.0%3.7%14.7%0.0%0.0%0.0%5.0%6.4K-31.4K-6430.0093.150012935
2007-05-29$31.78$0.0016.8%4.8%16.1%0.0%0.0%0.0%3.5%7.4K-54.3K-6850.00107.800012935
2007-05-30$31.85$0.0016.7%4.8%16.0%0.0%0.0%0.0%5.3%7.3K-53.4K-6640.00108.750012935
2007-05-31$31.81$0.0016.2%4.6%15.8%0.0%0.0%0.0%4.5%7.3K-47.3K-6620.00107.290012935