BDN Options History — April 2008

In April 2008, BDN traded between $16.91 and $17.96. ATM implied volatility averaged 35.5%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 0.9% (HV 20d: 36.4%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 7.02.

Notable Days

  • 2008-04-29: Highest Volume — 123 contracts
  • 2008-04-10: Largest IV spike — 12.6% change
  • 2008-04-10: Highest IV Rank — 39.3%
  • 2008-04-04: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.43$16.91$17.96$17.57$17.45
Max Pain$18.18$17.50$22.50$22.50$17.50
ATM IV35.5%30.9%38.5%38.1%34.8%
Expected Move10.3%8.9%11.5%10.9%10.0%
HV 20d36.4%27.8%48.6%45.7%27.8%
HV 60d39.0%35.0%41.8%41.2%35.0%
IV Rank35.0%28.5%39.3%38.8%34.1%
IV Percentile76.0%60.7%90.1%89.3%71.4%
Term Structure-0.7%-4.0%2.9%2.9%-4.0%
VWIV38.8%32.1%74.0%74.0%34.8%
Skew 25d4.2%-0.1%17.5%-0.1%1.6%
Skew 10d10.2%-1.5%20.0%1.6%8.3%
Call IV 25d32.0%19.3%40.9%35.0%29.5%
Put IV 25d36.2%31.0%41.6%34.9%31.0%
Bid-Ask Spread %48.9623.7486.8844.3244.98
Gamma HHI0.470.390.620.620.41
Net GEX-5.6K-20.4K6.8K-9.1K-20.4K
Net DEX466.6K184.8K715.5K686.5K347.1K
Net VEX-3.0K-3.3K-2.9K-3.3K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.020.0050.000.0910.00
Total Volume26.77301236033
Total OI1,499.9558871,8441,7991,081

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$17.57$22.5038.1%10.9%45.7%38.8%74.0%-0.1%2.9%-9.1K686.5K-3.3K0.0944.325557441,055
2008-04-02$17.09$22.5036.9%10.6%46.8%37.0%37.0%0.7%1.0%-8.2K685.9K-3.3K0.1746.48617301,057
2008-04-03$17.75$22.5035.9%10.3%48.6%35.6%33.7%6.5%2.0%-2.6K531.5K-3.2K2.1047.5710217351,050
2008-04-04$17.84$17.5036.2%11.5%41.9%36.0%35.0%7.8%-2.6%-986521.3K-3.0K0.6049.321067451,070
2008-04-07$17.96$17.5036.4%10.5%41.8%36.3%0.0%7.3%0.2%82535.5K-3.1K0.0053.17057441,074
2008-04-08$17.61$17.5035.7%10.9%41.8%35.3%0.0%3.8%-0.9%-2.2K585.6K-3.1K1.5061.46237441,079
2008-04-09$17.00$17.5034.2%11.0%35.7%33.2%38.3%1.2%-1.4%-6.0K705.8K-3.0K0.0057.43507461,072
2008-04-10$17.06$17.5038.5%11.0%34.9%39.3%0.0%0.7%-1.3%-5.9K693.7K-3.1K0.0064.03007461,072
2008-04-11$16.94$17.5036.9%10.6%34.3%37.0%37.2%1.2%0.0%-5.5K702.8K-3.0K0.0055.694007461,072
2008-04-14$16.91$17.5034.8%10.0%33.8%34.0%0.0%4.6%-0.3%-4.2K683.3K-2.9K50.0051.7621007421,052
2008-04-15$17.06$17.5036.3%10.4%33.9%36.1%0.0%2.8%-1.3%-6.1K715.5K-3.0K0.0051.28007441,098
2008-04-16$17.73$17.5034.5%9.9%35.8%33.6%34.5%4.1%2.2%-202499.7K-3.0K0.5085.061267441,092
2008-04-17$17.80$17.5037.4%10.7%35.2%37.7%0.0%4.5%-2.3%-448467.5K-3.0K1.0062.8710107561,086
2008-04-18$17.63$17.5035.4%10.1%34.1%34.8%0.0%3.2%-0.2%6.8K468.2K-2.9K1.2523.7420257661,078
2008-04-21$17.26$17.5034.8%10.0%34.6%34.1%0.0%4.8%-2.3%-6.8K184.8K-2.9K0.0026.31017265622
2008-04-22$17.31$17.5035.3%10.1%34.6%34.7%0.0%4.0%-1.1%-7.7K204.5K-2.9K0.0032.75016265622
2008-04-23$17.26$17.5036.2%10.4%33.8%36.1%36.2%4.6%-2.4%-8.2K211.0K-3.0K1.3829.63811265654
2008-04-24$17.38$17.5034.2%9.8%32.3%33.2%34.2%17.5%-0.8%-8.6K215.2K-3.0K0.0032.45017268664
2008-04-25$17.68$17.5030.9%8.9%32.4%28.5%0.0%5.0%-0.8%-8.9K201.2K-3.0K0.0086.8800268680
2008-04-28$17.73$17.5034.7%9.9%31.8%33.9%0.0%3.4%-2.3%-9.2K204.0K-3.0K0.0035.60010268680
2008-04-29$17.52$17.5032.1%9.2%29.6%30.3%32.1%3.8%-0.3%-9.4K215.3K-3.0K29.7534.424119268690
2008-04-30$17.45$17.5034.8%10.0%27.8%34.1%34.8%1.6%-4.0%-20.4K347.1K-3.2K10.0044.98330272809