BDN Options History — September 2007

In September 2007, BDN traded between $24.56 and $26.39. ATM implied volatility averaged 25.6%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 3.4% (HV 20d: 29.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.50.

Notable Days

2007-09-13: Highest Volume — 41 contracts
2007-09-26: Largest IV spike — 8.7% change
2007-09-27: Highest IV Rank — 18.9%
2007-09-27: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.31	$24.56	$26.39	$25.85	$25.31
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	25.6%	23.9%	27.3%	25.9%	25.1%
Expected Move	7.4%	6.9%	7.8%	7.4%	7.2%
HV 20d	29.0%	25.7%	32.8%	30.5%	25.8%
HV 60d	26.3%	25.0%	27.7%	25.0%	27.7%
IV Rank	17.0%	15.1%	18.9%	17.3%	16.4%
IV Percentile	91.0%	82.3%	95.1%	94.6%	86.0%
Term Structure	0.2%	-3.4%	2.6%	-0.3%	1.1%
VWIV	26.4%	24.7%	33.5%	26.0%	33.5%
Skew 25d	4.1%	-6.3%	9.7%	1.6%	7.7%
Skew 10d	7.7%	-7.3%	17.2%	11.4%	12.6%
Call IV 25d	24.2%	18.8%	30.1%	26.0%	23.1%
Put IV 25d	28.3%	19.8%	32.9%	27.7%	30.8%
Bid-Ask Spread %	83.24	30.42	96.42	89.83	79.38
Gamma HHI	0.67	0.48	0.79	0.76	0.77
Net GEX	6.1K	-11.1K	17.2K	4.1K	17.2K
Net DEX	-63.5K	-253.9K	57.4K	-93.1K	-72.1K
Net VEX	-1.3K	-1.3K	-1.2K	-1.3K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	0.95	0.90	0.82
Total Volume	9.526	0	41	4	0
Total OI	446.579	413	490	418	427

Daily Data (19 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
2007-09-04	$25.85	$25.00	25.9%	7.4%	30.5%	17.3%	26.0%	1.6%	-0.3%	4.1K	-93.1K	-1.3K	0.00	89.83	0	4	265	153
2007-09-05	$25.03	$25.00	25.6%	7.3%	32.8%	17.0%	0.0%	-2.4%	-1.4%	2.1K	-9.9K	-1.3K	0.00	84.74	0	0	265	157
2007-09-06	$25.03	$25.00	25.0%	7.2%	31.8%	16.3%	0.0%	-5.1%	0.3%	1.4K	7.9K	-1.3K	0.00	96.42	0	0	265	157
2007-09-07	$24.80	$25.00	25.3%	7.2%	31.2%	16.6%	0.0%	4.2%	1.2%	1.4K	57.4K	-1.3K	0.00	87.11	0	2	265	157
2007-09-10	$24.56	$25.00	25.2%	7.4%	30.3%	16.5%	0.0%	5.7%	1.1%	607	51.4K	-1.2K	0.90	82.88	20	18	265	155
2007-09-11	$24.63	$25.00	26.3%	7.4%	30.1%	17.8%	25.9%	4.8%	0.8%	2.8K	26.9K	-1.3K	0.00	83.82	2	0	285	165
2007-09-12	$24.61	$25.00	25.6%	7.7%	28.1%	16.9%	26.8%	-6.3%	-0.3%	2.4K	46.2K	-1.3K	0.00	95.63	0	10	285	165
2007-09-13	$25.28	$25.00	25.3%	7.2%	29.3%	16.6%	25.3%	4.8%	1.3%	-353	-31.0K	-1.3K	0.95	90.17	21	20	285	175
2007-09-14	$25.63	$25.00	25.3%	7.3%	28.7%	16.6%	25.3%	5.7%	1.2%	5.0K	-102.4K	-1.3K	0.00	90.21	10	0	305	161
2007-09-17	$25.39	$25.00	27.0%	7.7%	26.3%	18.6%	0.0%	4.5%	-0.6%	4.6K	-109.1K	-1.3K	0.00	86.35	0	5	315	161
2007-09-18	$26.23	$25.00	25.7%	7.4%	27.4%	17.1%	25.7%	5.7%	1.4%	11.5K	-219.9K	-1.3K	0.90	90.39	10	9	315	166
2007-09-19	$26.39	$25.00	25.1%	7.2%	27.3%	16.5%	24.7%	6.4%	0.7%	10.8K	-253.9K	-1.3K	0.40	81.14	10	4	315	174
2007-09-20	$25.65	$25.00	25.4%	7.3%	29.2%	16.8%	25.4%	4.6%	1.7%	4.9K	-140.1K	-1.3K	0.00	88.42	1	0	315	174
2007-09-21	$25.12	$25.00	23.9%	6.9%	30.1%	15.1%	25.7%	4.2%	2.6%	-11.1K	-68.1K	-1.3K	0.82	89.92	17	14	316	174
2007-09-24	$25.32	$25.00	25.0%	7.2%	30.2%	16.3%	0.0%	6.5%	-0.3%	13.8K	-84.7K	-1.2K	0.00	30.42	0	0	295	118
2007-09-25	$25.18	$25.00	25.0%	7.2%	28.8%	16.3%	0.0%	6.9%	0.0%	15.0K	-57.9K	-1.2K	0.00	78.99	0	0	297	133
2007-09-26	$25.29	$25.00	27.2%	7.8%	27.5%	18.7%	33.5%	8.1%	-2.7%	14.3K	-62.7K	-1.2K	0.00	77.56	0	1	297	133
2007-09-27	$25.55	$25.00	27.3%	7.8%	25.7%	18.9%	0.0%	9.7%	-3.4%	14.7K	-91.1K	-1.2K	0.00	78.13	0	3	297	133
2007-09-28	$25.31	$25.00	25.1%	7.2%	25.8%	16.4%	0.0%	7.7%	1.1%	17.2K	-72.1K	-1.2K	0.00	79.38	0	0	297	130