BDN Options History — July 2008

In July 2008, BDN traded between $13.48 and $16.25. ATM implied volatility averaged 42.4%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 9.6% (HV 20d: 52.0%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 8.63.

Notable Days

  • 2008-07-22: Highest Volume — 430 contracts
  • 2008-07-31: Largest IV drop — 39.6% change
  • 2008-07-30: Highest IV Rank — 56.5%
  • 2008-07-30: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.98$13.48$16.25$15.61$16.05
Max Pain$16.02$15.00$20.00$17.50$15.00
ATM IV42.4%29.2%52.2%37.4%31.5%
Expected Move12.3%8.5%15.0%10.7%9.0%
HV 20d52.0%26.8%69.4%33.2%69.4%
HV 60d39.5%29.8%46.6%30.3%46.6%
IV Rank41.8%22.0%56.5%34.4%25.6%
IV Percentile85.4%46.0%99.6%84.5%49.6%
Term Structure-1.9%-6.6%12.6%-2.6%12.6%
VWIV39.9%25.8%52.1%30.2%52.1%
Skew 25d5.1%-8.6%10.5%7.8%10.5%
Skew 10d11.4%-10.0%20.6%10.3%19.2%
Call IV 25d33.4%25.2%38.1%26.3%32.1%
Put IV 25d38.5%25.7%44.3%34.1%42.6%
Bid-Ask Spread %55.0025.9684.3825.9679.54
Gamma HHI0.450.300.670.480.39
Net GEX-20.4K-34.5K-8.4K-29.3K-18.3K
Net DEX757.2K313.7K1.1M846.5K454.5K
Net VEX-2.7K-3.9K-1.7K-2.6K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.630.0081.000.000.17
Total Volume67.50430582
Total OI1,465.5451,1331,6591,5201,432

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$15.61$17.5037.4%10.7%33.2%34.4%30.2%0.0%-2.6%-29.3K846.5K-2.6K0.0025.9605551969
2008-07-02$15.53$17.5034.0%9.7%30.3%29.3%0.0%7.8%-1.5%-30.4K832.3K-2.6K0.0033.5090551963
2008-07-03$15.09$17.5029.5%8.5%28.1%22.5%33.5%-6.2%1.0%-33.0K915.8K-2.3K0.0078.94016551963
2008-07-07$14.58$20.0029.3%9.5%26.8%22.2%33.0%-8.6%-1.7%-30.7K947.7K-1.8K0.0029.35080551900
2008-07-08$15.38$20.0036.7%9.9%35.0%33.3%34.5%6.4%-0.1%-31.6K772.3K-2.3K0.0061.440131551909
2008-07-09$14.08$20.0029.2%11.7%44.9%22.0%40.8%1.2%-4.4%-20.2K1.0M-1.7K15.8350.84695551920
2008-07-10$14.59$15.0040.6%11.6%48.1%39.1%0.0%10.4%-3.8%-34.5K1.0M-2.2K0.0054.062005571,005
2008-07-11$14.50$15.0040.6%11.6%47.8%39.2%0.0%7.0%-2.3%-30.8K987.2K-2.3K0.6463.8339255741,005
2008-07-14$13.67$15.0048.2%13.8%50.6%50.6%47.7%10.2%0.6%-12.9K1.1M-1.9K0.8326.2312106131,030
2008-07-15$13.48$15.0048.1%13.8%50.1%50.4%0.0%4.9%-1.8%-11.0K1.1M-1.9K1.0077.48116221,013
2008-07-16$14.21$15.0040.5%11.6%54.0%39.1%0.0%6.2%-3.1%-21.6K1.0M-2.1K81.0046.831816221,014
2008-07-17$14.47$15.0046.5%13.3%54.8%48.0%0.0%0.7%-4.1%-25.3K955.3K-2.3K0.0055.478806221,009
2008-07-18$14.15$15.0049.8%14.3%54.0%53.0%46.1%4.3%-6.6%-8.6K985.5K-2.4K0.5640.4348276501,009
2008-07-21$14.43$15.0047.9%13.7%54.8%50.1%0.0%5.8%-3.3%-8.4K522.5K-2.6K0.0049.71540414719
2008-07-22$15.37$15.0048.1%13.8%59.9%50.4%47.4%6.9%-2.3%-9.7K417.1K-2.9K9.7584.3840390416719
2008-07-23$16.25$15.0048.9%14.0%63.4%51.6%47.4%5.2%-2.5%-12.5K313.7K-3.5K1.1142.515460411814
2008-07-24$15.35$15.0046.3%13.3%66.4%47.8%25.8%8.7%-1.8%-15.7K515.3K-3.9K24.0063.41124440964
2008-07-25$15.73$15.0048.0%13.8%65.9%50.3%0.0%6.3%-3.7%-16.3K494.5K-3.9K0.0058.4100441966
2008-07-28$15.22$15.0048.7%14.0%66.9%51.3%0.0%7.7%-1.4%-15.5K561.4K-3.7K0.0055.04013441966
2008-07-29$16.01$15.0050.2%14.4%69.4%53.6%0.0%6.1%-3.0%-16.7K465.4K-3.9K2.1067.031021441966
2008-07-30$15.87$15.0052.2%15.0%69.4%56.5%52.1%10.5%-6.4%-16.8K478.0K-3.8K1.0565.542021451966
2008-07-31$16.05$15.0031.5%9.0%69.4%25.6%0.0%0.0%12.6%-18.3K454.5K-3.8K0.1779.547012466966