BDN Options History — June 2007

In June 2007, BDN traded between $28.43 and $31.76. ATM implied volatility averaged 18.4%. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.5% (HV 20d: 20.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2007-06-07: Highest Volume — 76 contracts
  • 2007-06-12: Largest IV spike — 36.6% change
  • 2007-06-04: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.66$28.43$31.76$31.70$28.58
Max Pain$32.25$30.00$35.00$35.00$30.00
ATM IV18.4%15.6%23.8%15.6%16.3%
Expected Move5.2%3.5%6.1%4.5%4.7%
HV 20d20.9%15.1%23.2%15.1%21.7%
HV 60d17.4%15.8%18.2%16.1%17.5%
Term Structure-0.1%-4.9%6.3%3.4%6.3%
VWIV19.0%15.2%24.7%17.7%24.7%
Bid-Ask Spread %68.2724.10102.2288.9650.22
Gamma HHI0.660.500.890.570.62
Net GEX-3.8K-20.7K7.3K7.2K-2.5K
Net DEX181.9K-44.3K342.0K-44.3K342.0K
Net VEX-819-1.1K-519-643-681
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.008.508.502.50
Total Volume12.47607600
Total OI289164363164363

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$31.70$0.0015.6%4.5%15.1%0.0%0.0%0.0%3.4%7.2K-44.3K-6430.0088.960012935
2007-06-04$31.76$35.0015.9%6.1%15.1%0.0%0.0%0.0%-2.7%7.3K-44.1K-6040.0091.800012935
2007-06-05$31.23$35.0015.6%5.9%15.9%0.0%0.0%0.0%-2.2%6.5K-18.6K-5190.0087.2201012935
2007-06-06$31.01$35.0015.9%5.4%15.9%0.0%0.0%0.0%-1.6%4.9K7.0K-5330.0082.0603012945
2007-06-07$29.68$35.0016.8%5.1%21.2%0.0%17.7%0.0%-0.6%-30594.3K-6318.5084.7586812975
2007-06-08$29.96$35.0020.9%5.5%21.6%0.0%19.0%0.0%-1.3%-12.5K211.6K-9260.0071.26012129143
2007-06-11$29.50$35.0017.4%4.3%21.4%0.0%0.0%0.0%0.2%-13.4K239.0K-8330.00102.2200129142
2007-06-12$29.06$35.0023.8%3.5%21.6%0.0%0.0%0.0%5.5%-6.5K224.5K-8920.0094.55020129142
2007-06-13$29.47$35.0022.3%5.6%22.4%0.0%0.0%0.0%-2.2%-20.7K278.3K-8430.0070.1310129162
2007-06-14$29.27$35.0016.3%4.7%22.4%0.0%19.9%0.0%-0.5%-17.1K294.4K-8240.0075.50600130162
2007-06-15$29.73$30.0019.1%5.5%23.0%0.0%19.1%0.0%0.5%-2.9K130.4K-1.1K0.0072.8050179141
2007-06-18$29.76$30.0017.3%5.0%23.0%0.0%17.3%0.0%2.3%-2.2K161.8K-1.0K0.0080.33010184141
2007-06-19$29.97$30.0017.2%4.9%22.9%0.0%0.0%0.0%3.0%-4.8K172.3K-1.0K0.0083.8602184151
2007-06-20$29.46$30.0018.8%5.4%23.1%0.0%19.1%0.0%0.7%-4.7K209.8K-9590.0049.92100184153
2007-06-21$29.14$30.0018.4%5.3%23.2%0.0%15.2%0.0%-1.8%-2.7K228.1K-9510.0086.2204194153
2007-06-22$29.00$30.0017.0%4.9%22.7%0.0%0.0%0.0%1.1%-2.6K265.1K-8900.0041.9100194157
2007-06-25$28.87$30.0018.6%5.3%22.6%0.0%0.0%0.0%-0.8%-3.3K277.2K-8200.0040.6700194157
2007-06-26$28.43$30.0021.0%6.0%21.4%0.0%0.0%0.0%-2.5%-2.9K260.4K-8090.0024.1008194157
2007-06-27$28.61$30.0021.0%6.0%21.6%0.0%24.7%0.0%-4.9%-2.6K271.8K-8932.5027.33410194165
2007-06-28$28.57$30.0020.9%6.0%21.6%0.0%0.0%0.0%-3.5%-3.1K258.6K-8440.0027.9300198165
2007-06-29$28.58$30.0016.3%4.7%21.7%0.0%0.0%0.0%6.3%-2.5K342.0K-6810.0050.2200198165