BDN Options History — October 2007

In October 2007, BDN traded between $24.50 and $26.86. ATM implied volatility averaged 25.4%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.0% (HV 20d: 25.5%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 14.60.

Notable Days

  • 2007-10-31: Highest Volume — 247 contracts
  • 2007-10-05: Largest IV drop — 26.2% change
  • 2007-10-22: Highest IV Rank — 23.6%
  • 2007-10-22: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.57$24.50$26.86$25.60$25.87
Max Pain$23.80$22.50$30.00$25.00$25.00
ATM IV25.4%17.4%31.4%25.0%24.7%
Expected Move7.7%5.4%9.0%7.2%7.1%
HV 20d25.5%22.8%27.3%25.8%25.9%
HV 60d28.3%27.0%28.9%27.7%27.4%
IV Rank16.8%7.7%23.6%16.3%15.9%
IV Percentile79.6%36.1%96.5%84.5%77.5%
Term Structure1.9%-1.6%10.0%1.3%8.3%
VWIV27.5%21.8%31.4%25.0%28.3%
Skew 25d3.3%-8.6%14.8%8.8%1.1%
Skew 10d3.8%-14.0%19.7%15.9%-1.0%
Call IV 25d26.6%21.6%32.7%23.3%32.7%
Put IV 25d29.9%20.9%37.2%32.0%33.9%
Bid-Ask Spread %79.8732.83123.6081.0272.37
Gamma HHI0.520.350.780.780.43
Net GEX570-16.1K17.3K17.3K-13.6K
Net DEX10.4K-287.5K278.5K-101.6K219.7K
Net VEX-2.0K-3.4K-968-1.2K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.600.0091.000.200.02
Total Volume42.261024712247
Total OI525.217345707427707

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$25.60$25.0025.0%7.2%25.8%16.3%25.0%8.8%1.3%17.3K-101.6K-1.2K0.2081.02102297130
2007-10-02$25.49$30.0023.3%6.7%25.8%14.4%0.0%-1.6%2.8%10.2K-17.9K-1.0K0.0079.3690247130
2007-10-03$24.99$30.0021.8%6.2%24.1%12.6%21.8%0.1%2.8%8.7K-12.0K-1.0K0.1491.04142242130
2007-10-04$25.20$25.0023.6%6.8%24.3%14.7%0.0%2.8%2.2%10.4K-102.1K-1.0K0.0099.5702024897
2007-10-05$26.16$22.5017.4%7.6%27.3%7.7%0.0%-1.0%1.0%8.6K-204.1K-9901.0774.931415248117
2007-10-08$26.26$22.5019.5%7.6%26.9%10.0%0.0%-1.2%0.6%8.2K-223.9K-1.0K0.0077.7200258132
2007-10-09$26.28$22.5018.3%7.9%26.9%8.7%0.0%-8.6%-0.2%8.1K-232.1K-1.0K0.0073.8600258132
2007-10-10$26.73$22.5022.9%7.6%27.3%13.9%0.0%3.3%0.8%7.5K-253.4K-9680.0083.64200258132
2007-10-11$26.86$22.5018.8%5.4%25.9%9.2%0.0%2.4%8.5%8.8K-287.5K-1.1K0.00111.67100278132
2007-10-12$26.46$22.5020.8%6.0%26.4%11.5%0.0%-1.2%10.0%10.0K-274.4K-1.1K0.00102.4510288132
2007-10-15$25.94$22.5025.3%7.3%27.2%16.6%0.0%3.8%1.4%11.5K-225.6K-1.1K0.0037.66035288132
2007-10-16$25.76$22.5025.7%7.4%24.6%17.1%0.0%5.5%4.3%10.6K-174.0K-1.4K0.00123.600120288167
2007-10-17$25.62$22.5026.1%7.5%24.5%17.6%0.0%4.0%4.1%5.4K-28.4K-2.2K0.0091.59040288287
2007-10-18$25.30$22.5027.6%7.9%22.8%19.3%0.0%3.6%2.0%7.7K46.8K-2.5K0.0086.52100288327
2007-10-19$24.50$22.5030.8%8.8%24.4%22.8%0.0%4.3%-0.7%-654238.6K-2.4K78.0079.043234278327
2007-10-22$24.96$22.5031.4%9.0%25.2%23.6%31.4%14.8%-1.6%-14.7K275.1K-3.3K4.8088.58524174483
2007-10-23$24.93$22.5030.7%8.8%25.2%22.7%0.0%5.0%-0.4%-14.4K278.5K-3.4K0.0057.6905179507
2007-10-24$24.89$22.5031.3%9.0%25.1%23.4%0.0%6.1%-0.7%-14.2K272.6K-3.4K0.0086.9605179507
2007-10-25$25.00$22.5031.0%8.9%24.9%23.1%31.0%5.1%-1.0%-15.1K265.6K-3.4K91.0078.78191179512
2007-10-26$25.14$25.0030.3%8.7%24.8%22.3%0.0%4.5%-0.7%-15.9K257.5K-3.4K0.0091.53022179521
2007-10-29$24.82$25.0029.0%8.3%24.7%20.9%0.0%3.5%0.7%-16.1K260.1K-3.3K0.0034.6703179521
2007-10-30$25.24$25.0029.5%8.5%25.5%21.4%0.0%11.0%-1.3%-15.2K260.7K-3.3K0.0032.83010179518
2007-10-31$25.87$25.0024.7%7.1%25.9%15.9%28.3%1.1%8.3%-13.6K219.7K-3.4K0.0272.372425179528