BDN Options History — November 2008 In November 2008, BDN traded between $4.41 and $9.67. ATM implied volatility averaged 125.5%, placing in the 67.2% IV rank vs the trailing year. The 30-day expected move averaged 35.4%. IV traded below realized volatility by 21.9% (HV 20d: 147.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.94.
Notable Days 2008-11-06 : Highest Volume — 645 contracts2008-11-25 : Largest IV drop — 29.2% change2008-11-24 : Highest IV Rank — 94.7%2008-11-24 : Largest Expected Move — 49.0%Monthly Statistics Metric Avg Min Max Open Close Price $6.71 $4.41 $9.67 $8.62 $4.92 Max Pain $8.03 $7.50 $10.00 $10.00 $7.50 ATM IV 125.5% 89.3% 171.0% 112.0% 142.5% Expected Move 35.4% 25.6% 49.0% 32.1% 40.8% HV 20d 147.5% 127.6% 172.6% 150.6% 160.7% HV 60d 117.5% 102.6% 134.8% 102.6% 134.8% IV Rank 67.2% 45.3% 94.7% 59.0% 77.4% IV Percentile 96.3% 91.7% 99.2% 95.2% 96.8% Term Structure -2.0% -59.5% 40.9% -15.1% -8.1% VWIV 129.8% 93.3% 150.4% 93.3% 150.4% Skew 25d 11.4% -68.1% 60.1% 19.9% -8.9% Skew 10d 22.8% -46.2% 52.6% 33.9% 22.6% Call IV 25d 108.9% 80.2% 171.6% 88.5% 127.4% Put IV 25d 120.3% 88.9% 151.9% 108.4% 118.5% Bid-Ask Spread % 88.84 39.41 110.29 76.16 39.41 Gamma HHI 0.40 0.26 0.53 0.32 0.47 Net GEX 2.9K 191 5.4K 191 2.7K Net DEX 87.5K -92.3K 272.3K 272.3K 108.9K Net VEX -965 -1.8K -417 -613 -552 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.00 5.00 5.00 0.06 Total Volume 56.789 0 645 24 0 Total OI 1,754.737 1,100 2,125 1,117 2,090
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2008-11-03 $8.62 $10.00 112.0% 32.1% 150.6% 59.0% 0.0% 19.9% -15.1% 191 272.3K -613 5.00 76.16 4 20 700 417 2008-11-04 $9.67 $10.00 89.3% 25.6% 152.8% 45.3% 0.0% 5.8% -8.4% 258 271.1K -901 0.00 108.80 1 0 683 417 2008-11-05 $8.32 $10.00 98.5% 28.2% 161.1% 50.8% 0.0% 19.5% 1.4% 203 262.4K -627 0.00 105.37 0 0 684 417 2008-11-06 $7.71 $10.00 96.0% 27.5% 158.5% 49.3% 93.3% 13.2% 27.5% 633 185.3K -912 0.00 105.73 644 1 704 417 2008-11-07 $8.20 $7.50 117.5% 32.8% 134.5% 62.3% 107.6% 60.1% 7.6% 5.2K -78.3K -1.8K 0.10 88.69 10 1 1,339 418 2008-11-10 $7.78 $7.50 126.4% 32.3% 134.8% 67.7% 109.4% 22.9% 5.4% 5.1K -92.3K -1.7K 2.00 90.20 5 10 1,349 419 2008-11-11 $8.00 $7.50 127.5% 33.8% 135.2% 68.4% 0.0% -68.1% -2.5% 5.4K -28.3K -1.5K 0.00 88.90 0 0 1,354 429 2008-11-12 $7.50 $7.50 133.9% 34.9% 127.6% 72.3% 0.0% 17.8% -1.5% 4.7K -24.0K -1.4K 0.33 82.99 6 2 1,354 429 2008-11-13 $7.70 $7.50 123.6% 35.4% 128.3% 66.1% 0.0% 31.8% -7.8% 4.8K -15.8K -1.4K 0.00 90.64 0 0 1,355 429 2008-11-14 $6.91 $7.50 124.7% 35.8% 132.8% 66.7% 0.0% 7.1% -0.8% 4.3K -17.2K -1.4K 0.00 98.61 0 0 1,355 429 2008-11-17 $6.41 $7.50 102.8% 29.5% 134.4% 53.4% 136.8% 42.7% -1.4% 4.1K 22.6K -1.2K 0.00 95.18 0 40 1,355 429 2008-11-18 $6.15 $7.50 117.5% 33.7% 134.6% 62.4% 142.2% 0.0% 40.9% 3.3K 89.1K -929 0.00 49.28 210 1 1,355 469 2008-11-19 $4.90 $7.50 147.1% 42.2% 151.2% 80.2% 148.7% -61.8% -3.1% 2.4K 110.9K -646 0.06 69.03 90 5 1,565 470 2008-11-20 $4.41 $7.50 154.5% 44.3% 153.4% 84.7% 150.3% 45.9% -5.9% 2.4K 83.4K -662 0.00 110.29 0 25 1,655 468 2008-11-21 $4.51 $7.50 145.6% 41.7% 153.3% 79.3% 0.0% 7.7% -59.5% 2.0K 112.3K -583 0.00 84.89 0 0 1,655 470 2008-11-24 $5.59 $7.50 171.0% 49.0% 172.6% 94.7% 0.0% 22.3% -29.2% 1.2K 162.1K -417 0.00 102.02 0 0 1,654 433 2008-11-25 $4.95 $7.50 121.2% 34.7% 161.7% 64.5% 0.0% 16.2% 12.9% 2.7K 115.3K -556 0.00 108.42 0 0 1,654 433 2008-11-26 $5.23 $7.50 133.4% 38.2% 163.8% 71.9% 150.4% -8.9% 10.4% 3.1K 122.3K -535 0.00 93.37 0 4 1,654 433 2008-11-28 $4.92 $7.50 142.5% 40.8% 160.7% 77.4% 0.0% 0.0% -8.1% 2.7K 108.9K -552 0.00 39.41 0 0 1,654 436
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