BDN Options History — November 2007

In November 2007, BDN traded between $19.97 and $24.66. ATM implied volatility averaged 33.3%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 0.9% (HV 20d: 32.4%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.38.

Notable Days

  • 2007-11-13: Highest Volume — 157 contracts
  • 2007-11-05: Largest IV spike — 37.9% change
  • 2007-11-27: Highest IV Rank — 33.1%
  • 2007-11-27: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.66$19.97$24.66$24.66$20.50
Max Pain$24.88$20.00$30.00$25.00$20.00
ATM IV33.3%23.9%39.8%25.8%37.3%
Expected Move9.9%6.9%11.4%7.4%10.7%
HV 20d32.4%29.2%37.5%31.2%32.5%
HV 60d29.3%28.4%30.4%28.8%29.8%
IV Rank25.7%15.1%33.1%17.2%30.3%
IV Percentile93.5%75.4%97.4%88.6%93.9%
Term Structure1.4%-1.1%6.9%2.6%1.4%
VWIV34.0%22.6%39.8%28.6%37.3%
Skew 25d5.2%1.1%11.8%10.3%6.8%
Skew 10d11.2%0.8%18.3%18.3%4.5%
Call IV 25d31.5%22.6%37.6%22.6%27.6%
Put IV 25d36.7%32.9%39.3%32.9%34.3%
Bid-Ask Spread %73.3438.61111.0438.6195.88
Gamma HHI0.590.470.740.470.55
Net GEX-8.8K-16.3K-5.1K-5.2K-8.8K
Net DEX521.4K23.1K674.4K23.1K666.1K
Net VEX-3.6K-4.8K-2.7K-4.8K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.380.0014.706.507.00
Total Volume32.71401573020
Total OI1,017.199441,1519441,151

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$24.66$25.0025.8%7.4%31.2%17.2%0.0%10.3%2.6%-5.2K23.1K-4.8K6.5038.61426411533
2007-11-02$23.95$25.0023.9%6.9%29.2%15.1%0.0%8.3%6.9%-9.3K225.0K-4.6K0.00111.04015407537
2007-11-05$23.38$30.0033.0%9.6%29.8%25.4%28.6%7.5%0.7%-11.5K368.9K-4.4K0.0062.56036407552
2007-11-06$23.00$30.0034.1%9.4%29.9%26.6%32.7%7.4%1.3%-14.0K482.0K-4.3K0.0061.53026407575
2007-11-07$22.14$30.0030.9%9.4%30.6%22.9%22.6%3.9%-0.3%-16.3K607.2K-3.9K1.1976.192732407588
2007-11-08$22.01$30.0028.7%9.6%30.1%20.5%0.0%3.3%-1.1%-13.6K616.6K-3.8K0.0065.93035411571
2007-11-09$21.80$30.0025.6%9.5%30.1%17.0%0.0%6.3%-0.3%-11.0K561.2K-3.6K1.1356.973034411538
2007-11-12$21.66$30.0026.7%9.4%29.8%18.2%33.2%2.3%0.0%-10.9K551.0K-3.8K0.0059.46100441553
2007-11-13$22.29$30.0029.0%9.9%32.7%20.9%34.7%8.2%1.3%-10.0K438.2K-4.3K14.7049.2310147451553
2007-11-14$22.13$22.5029.6%9.8%32.7%21.5%0.0%1.1%1.6%-9.1K457.2K-4.0K0.0072.8100461542
2007-11-15$22.07$22.5033.7%9.7%32.7%26.2%34.3%2.2%2.0%-9.2K510.5K-3.9K6.6772.53320461542
2007-11-16$21.39$22.5032.4%9.3%32.6%24.7%0.0%3.8%3.4%-7.7K535.5K-3.6K0.0053.7902464522
2007-11-19$20.59$22.5037.7%10.8%33.0%30.7%0.0%0.0%5.4%-6.5K605.0K-3.1K0.1241.35506454517
2007-11-20$20.51$22.5038.3%11.0%32.9%31.3%38.3%5.2%0.3%-5.7K584.0K-3.1K2.4096.13512504520
2007-11-21$20.35$22.5037.7%10.8%32.7%30.7%0.0%2.5%1.1%-6.0K630.2K-2.9K0.2578.80205509532
2007-11-23$20.72$22.5037.9%10.9%33.9%30.9%0.0%5.9%1.0%-6.1K593.5K-3.3K0.0083.9390529537
2007-11-26$19.97$22.5038.6%11.1%34.7%31.7%0.0%1.4%-0.3%-5.1K652.1K-2.8K0.0090.5201537537
2007-11-27$20.20$22.5039.8%11.4%35.7%33.1%39.8%2.9%0.0%-5.1K674.4K-2.7K0.5989.181710537536
2007-11-28$20.85$20.0038.5%11.0%37.5%31.5%32.7%11.8%1.8%-6.0K594.7K-3.2K7.0094.60535554546
2007-11-29$20.74$20.0039.2%11.3%35.3%32.4%39.3%3.4%0.8%-6.9K572.2K-3.4K0.0089.14035554562
2007-11-30$20.50$20.0037.3%10.7%32.5%30.3%37.3%6.8%1.4%-8.8K666.1K-3.1K0.0095.88020554597