BDN Options History — September 2008

In September 2008, BDN traded between $15.50 and $18.30. ATM implied volatility averaged 46.2%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 6.7% (HV 20d: 53.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2008-09-18: Highest Volume — 165 contracts
  • 2008-09-29: Largest IV spike — 387.6% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 51.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.99$15.50$18.30$17.48$16.03
Max Pain$17.38$15.00$17.50$17.50$17.50
ATM IV46.2%29.2%179.8%36.6%56.3%
Expected Move13.3%8.4%51.5%10.5%16.1%
HV 20d53.0%29.2%83.6%32.8%83.6%
HV 60d54.1%47.1%64.2%47.2%64.1%
IV Rank64.1%25.3%100.0%58.6%25.3%
IV Percentile76.0%30.2%100.0%71.0%99.6%
Term Structure-6.6%-72.6%7.2%-2.2%-13.0%
VWIV38.8%32.1%59.2%35.8%59.2%
Skew 25d12.7%-3.5%29.4%26.3%-3.5%
Skew 10d23.9%-3.5%58.5%41.9%-3.5%
Call IV 25d34.9%23.7%104.5%31.0%104.5%
Put IV 25d47.5%31.0%101.0%57.3%101.0%
Bid-Ask Spread %87.5129.79180.0829.79132.12
Gamma HHI0.390.300.540.330.54
Net GEX-15.1K-25.3K-7.4K-13.3K-24.0K
Net DEX301.8K-176.1K802.9K173.1K738.1K
Net VEX-3.9K-4.7K-2.3K-4.7K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.005.000.205.00
Total Volume17.4290165012
Total OI1,888.3811,1001,9651,9331,905

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$17.48$17.5036.6%10.5%32.8%58.6%0.0%26.3%-2.2%-13.3K173.1K-4.7K0.0029.79007331,200
2008-09-03$17.85$17.5036.8%10.5%30.0%59.2%0.0%27.2%0.6%-10.9K29.5K-4.5K0.0029.81007331,200
2008-09-04$17.38$17.5035.8%10.3%30.4%56.7%35.8%2.1%-3.1%-13.3K154.8K-4.5K0.2099.64517331,200
2008-09-05$17.49$17.5034.3%9.8%29.2%52.6%0.0%29.4%0.7%-12.3K141.0K-4.3K0.0078.86007381,201
2008-09-08$18.22$17.5039.6%10.5%31.8%66.5%0.0%18.0%-0.0%-8.0K-123.4K-4.3K0.0089.59507381,201
2008-09-09$17.66$17.5035.3%10.4%32.7%55.2%0.0%4.1%-0.8%-10.9K53.2K-4.3K0.0095.05007381,201
2008-09-10$17.80$17.5033.2%10.3%32.2%49.7%0.0%4.8%-1.5%-9.2K-27.7K-4.3K0.0086.49007381,201
2008-09-11$17.98$17.5036.4%10.4%32.2%58.3%0.0%23.2%-1.3%-8.8K-38.5K-4.2K0.0082.41007381,201
2008-09-12$18.30$17.5037.6%10.8%32.4%61.3%0.0%4.4%-2.3%-7.4K-176.1K-4.1K0.0075.76007381,201
2008-09-15$16.56$17.5029.2%8.4%48.4%39.0%32.5%7.0%2.8%-16.7K376.6K-3.8K0.0085.924807381,201
2008-09-16$17.26$17.5036.3%10.4%50.4%57.8%34.6%11.0%2.5%-13.7K298.3K-4.1K2.0052.9515307641,201
2008-09-17$16.24$17.5042.8%12.3%54.7%75.0%43.7%0.0%0.1%-20.9K598.8K-3.6K0.2085.721027491,211
2008-09-18$17.17$17.5035.4%10.1%58.4%55.5%33.9%17.6%0.4%-16.0K327.6K-3.9K0.57104.11105607391,211
2008-09-19$18.02$15.0040.8%11.7%60.7%69.9%0.0%0.0%-21.4%-8.9K-19.0K-2.3K0.0099.5100336764
2008-09-22$15.67$17.5048.7%14.0%77.9%90.8%32.1%2.2%-21.3%-18.9K692.3K-3.6K0.32113.3341136681,211
2008-09-23$15.84$17.5048.6%13.9%77.6%90.4%0.0%16.7%-6.4%-23.9K740.0K-3.5K0.0063.031006841,221
2008-09-24$15.68$17.5047.0%13.5%77.5%86.2%0.0%11.4%-3.8%-24.9K802.9K-3.3K0.0066.91006841,221
2008-09-25$16.00$17.5044.0%12.6%78.0%78.2%0.0%13.5%-2.2%-25.3K699.3K-3.3K0.0078.76006841,221
2008-09-26$16.64$17.5036.9%10.6%78.8%59.4%0.0%0.0%7.2%-22.0K494.8K-3.5K0.00107.86006841,221
2008-09-29$15.50$17.50179.8%51.5%82.4%100.0%0.0%-3.5%-72.6%-8.0K403.1K-4.0K0.00180.08096841,221
2008-09-30$16.03$17.5056.3%16.1%83.6%25.3%59.2%0.0%-13.0%-24.0K738.1K-3.2K5.00132.122106841,221