BDN Options History — October 2008

In October 2008, BDN traded between $6.62 and $15.22. ATM implied volatility averaged 103.0%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 28.1%. IV traded below realized volatility by 18.5% (HV 20d: 121.5%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 19.63.

Notable Days

  • 2008-10-02: Highest Volume — 768 contracts
  • 2008-10-13: Largest IV spike — 383.4% change
  • 2008-10-06: Highest IV Rank — 95.7%
  • 2008-10-08: Largest Expected Move — 42.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.01$6.62$15.22$15.22$8.64
Max Pain$15.54$10.00$17.50$17.50$10.00
ATM IV103.0%34.7%172.7%40.8%113.8%
Expected Move28.1%11.7%42.3%11.7%32.6%
HV 20d121.5%84.6%151.0%84.6%151.0%
HV 60d84.7%63.0%102.7%64.1%102.7%
IV Rank53.6%12.3%95.7%15.9%60.1%
IV Percentile95.3%48.0%99.6%88.1%96.8%
Term Structure-10.2%-26.9%1.9%0.7%-10.0%
VWIV95.5%51.1%204.9%55.9%83.3%
Skew 25d21.7%-10.5%177.2%4.7%17.7%
Skew 10d28.4%-21.7%177.2%14.3%31.3%
Call IV 25d75.0%39.7%132.4%39.7%96.5%
Put IV 25d96.7%44.4%237.2%44.4%114.3%
Bid-Ask Spread %108.2156.26200.00123.8288.71
Gamma HHI0.380.251.000.630.28
Net GEX-4.0K-29.6K1.1K-29.6K494
Net DEX635.9K225.9K1.3M837.4K236.3K
Net VEX-1.7K-3.4K0-2.8K-890
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.630.00114.0095.000.00
Total Volume130.435076800
Total OI1,773.5651,0982,9351,8921,117

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$15.22$17.5040.8%11.7%84.6%15.9%0.0%4.7%0.7%-29.6K837.4K-2.8K0.00123.82006811,211
2008-10-02$14.23$17.5056.7%16.2%87.0%25.5%55.9%3.7%-9.0%-22.2K985.5K-2.5K95.00104.4587606811,207
2008-10-03$12.94$17.5082.2%23.6%91.8%41.0%51.1%1.9%-18.2%-16.2K1.2M-3.0K0.0456.26371136731,426
2008-10-06$12.27$17.50172.7%24.6%90.2%95.7%0.0%10.7%0.9%-5.7K962.4K-3.4K2.36100.271493529931,420
2008-10-07$10.91$17.50114.4%27.1%96.7%60.5%93.7%-2.1%-8.6%-8.4K1.2M-3.1K1.1371.691311481,0891,667
2008-10-08$10.85$17.5071.2%42.3%96.2%34.3%0.0%177.2%-7.4%-1.6K1.3M-3.0K3.70134.32301111,2091,726
2008-10-09$9.68$17.50102.8%29.2%100.2%53.4%80.9%20.8%-14.1%-3.3K1.2M-2.3K114.0088.0411141,2111,593
2008-10-10$12.15$17.5034.7%34.3%135.2%12.3%204.9%35.9%1.4%-10.1K1.1M-3.4K13.90148.80405561,2111,504
2008-10-13$11.62$17.50167.8%22.0%132.3%92.8%0.0%0.0%0.0%0682.1K00.00200.0000526587
2008-10-14$11.04$17.5092.1%13.5%130.9%47.0%0.0%2.7%-1.0%-488633.7K-2.5K0.00131.55001,2491,111
2008-10-15$9.53$17.50135.5%28.3%137.7%73.2%98.9%-1.0%-13.4%619734.6K-1.5K0.14110.705071,2491,015
2008-10-16$9.40$17.50145.3%41.6%134.3%79.1%0.0%-1.7%-8.2%1.1K577.3K-1.7K0.25128.592051,268929
2008-10-17$9.46$17.5092.5%26.5%131.9%47.2%0.0%37.4%-10.1%638703.6K-1.2K0.0093.100811,288929
2008-10-20$9.36$15.0080.9%23.2%125.7%40.2%0.0%1.1%-26.9%553246.7K-1.2K0.00118.8500679439
2008-10-21$9.20$15.0085.4%24.5%125.1%42.9%0.0%1.7%1.9%637225.9K-1.2K0.00107.0400679439
2008-10-22$8.33$15.00112.3%32.2%127.4%59.2%0.0%16.3%-25.9%373255.6K-8505.00102.9415679439
2008-10-23$7.84$15.00113.6%32.6%126.3%60.0%0.0%63.2%-1.9%270259.3K-7160.00102.16020680444
2008-10-24$7.26$15.00118.2%33.9%123.9%62.8%83.3%26.0%-14.2%230248.3K-5910.0093.5505680444
2008-10-27$6.62$15.00112.3%32.2%124.8%59.2%0.0%34.7%-12.0%128248.2K-4150.0086.1510680444
2008-10-28$7.93$10.0099.7%28.6%145.8%51.5%0.0%-10.5%-23.0%396278.8K-4610.00116.9600681418
2008-10-29$7.56$10.00113.9%32.7%145.7%60.2%0.0%31.8%-16.6%347229.8K-6650.0089.9901681418
2008-10-30$8.14$10.00111.3%31.9%150.1%58.6%0.0%5.3%-9.0%342243.9K-7230.0090.92200681417
2008-10-31$8.64$10.00113.8%32.6%151.0%60.1%0.0%17.7%-10.0%494236.3K-8900.0088.7100700417