BDN Options History — August 2007

In August 2007, BDN traded between $23.35 and $25.82. ATM implied volatility averaged 27.6%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 1.5% (HV 20d: 29.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.42.

Notable Days

  • 2007-08-03: Highest Volume — 90 contracts
  • 2007-08-16: Largest IV spike — 147.1% change
  • 2007-08-16: Highest IV Rank — 80.1%
  • 2007-08-16: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.69$23.35$25.82$24.03$25.78
Max Pain$25.65$25.00$30.00$30.00$25.00
ATM IV27.6%18.7%81.2%18.7%24.9%
Expected Move7.5%5.4%23.3%5.4%7.1%
HV 20d29.1%20.4%34.3%20.4%31.6%
HV 60d23.2%19.3%26.3%19.3%25.1%
IV Rank19.2%9.2%80.1%9.2%16.2%
IV Percentile89.4%59.3%99.4%59.3%91.6%
Term Structure0.6%-20.0%7.0%4.9%1.8%
VWIV23.4%23.4%23.4%23.4%23.4%
Skew 25d0.7%-6.0%6.7%2.7%-0.4%
Skew 10d-1.2%-16.7%8.6%-16.7%-0.4%
Call IV 25d26.7%17.9%113.4%18.4%25.4%
Put IV 25d27.4%17.8%117.8%21.1%25.0%
Bid-Ask Spread %94.9558.90165.03109.4897.56
Gamma HHI0.700.400.930.650.69
Net GEX1.6K-1.7K3.8K2523.5K
Net DEX28.3K-99.8K176.6K144.9K-88.4K
Net VEX-1.2K-1.6K-581-586-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.002.200.002.20
Total Volume11.304090120
Total OI366.87248418248418

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$24.03$30.0018.7%5.4%20.4%9.2%0.0%2.7%4.9%252144.9K-5860.00109.48012137111
2007-08-02$24.37$30.0023.8%6.8%21.7%15.0%0.0%-4.6%-1.7%-1.4K152.6K-6400.0058.9010137123
2007-08-03$23.76$30.0019.8%5.7%21.9%10.4%0.0%1.6%3.9%-1.7K176.6K-5810.13111.248010136123
2007-08-06$24.40$25.0023.1%6.7%25.2%14.1%0.0%1.7%-0.9%1.7K96.5K-1.1K0.0092.6408208133
2007-08-07$24.24$25.0019.4%7.0%25.1%9.9%0.0%0.9%0.4%1.6K82.0K-1.1K0.0092.1402208133
2007-08-08$24.82$25.0022.9%7.1%27.3%13.9%0.0%-2.4%1.4%1.4K52.9K-1.2K0.00101.7300208131
2007-08-09$24.36$25.0024.3%6.6%26.7%15.5%0.0%-5.8%-0.2%1.6K96.1K-1.1K0.0097.21012208131
2007-08-10$23.84$25.0023.3%5.5%25.9%14.3%0.0%1.6%-1.2%649117.8K-1.1K0.0086.5200208143
2007-08-13$24.13$25.0025.0%6.7%26.9%16.3%0.0%-6.0%-0.2%629114.7K-1.1K0.0095.6910208143
2007-08-14$23.47$25.0050.7%6.3%27.7%45.5%0.0%1.6%7.0%579118.6K-1.1K0.2089.58408208143
2007-08-15$23.35$25.0032.9%7.8%27.8%25.2%0.0%1.1%1.3%2.5K134.4K-1.2K0.0088.4300248151
2007-08-16$23.89$25.0081.2%23.3%29.8%80.1%0.0%4.4%-20.0%2.7K-86.3K-1.6K0.00165.0301248151
2007-08-17$24.76$25.0025.4%7.3%33.1%16.8%0.0%-2.9%0.9%2.6K44.5K-1.4K0.00100.3700248152
2007-08-20$25.36$25.0025.7%7.4%34.0%17.1%0.0%3.1%1.1%1.2K-23.8K-1.4K0.0080.83010245146
2007-08-21$25.64$25.0023.8%6.8%34.3%14.9%0.0%0.9%2.7%466-73.9K-1.5K0.0098.66010245156
2007-08-22$25.74$25.0023.5%6.7%33.8%14.6%0.0%5.6%3.0%1.3K-99.8K-1.4K0.0088.31120245146
2007-08-23$25.65$25.0023.8%6.8%33.1%14.9%0.0%5.2%4.3%1.5K-96.4K-1.4K0.0090.6200255146
2007-08-24$25.82$25.0023.5%6.7%31.6%14.6%23.4%0.7%2.0%2.2K-89.8K-1.4K2.20103.351022255146
2007-08-27$25.17$25.0023.1%6.6%33.1%14.2%0.0%-2.0%2.3%3.0K-62.0K-1.5K0.0099.0700265146
2007-08-28$24.59$25.0025.3%7.3%31.9%16.6%0.0%-0.4%-0.4%3.3K-3.3K-1.4K0.0082.63019265146
2007-08-29$25.33$25.0024.8%7.1%33.4%16.1%0.0%6.7%0.7%3.8K-18.2K-1.4K0.0071.3502265152
2007-08-30$25.47$25.0025.1%7.2%33.1%16.4%0.0%2.8%1.9%3.3K-39.3K-1.4K0.0082.5000265153
2007-08-31$25.78$25.0024.9%7.1%31.6%16.2%0.0%-0.4%1.8%3.5K-88.4K-1.4K0.0097.5600265153