BDN Options History — December 2008

In December 2008, BDN traded between $3.73 and $7.71. ATM implied volatility averaged 137.7%, placing in the 74.6% IV rank vs the trailing year. The 30-day expected move averaged 39.9%. IV traded below realized volatility by 64.2% (HV 20d: 201.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2008-12-01: Highest Volume — 500 contracts
  • 2008-12-11: Largest IV spike — 40.5% change
  • 2008-12-15: Highest IV Rank — 91.1%
  • 2008-12-15: Largest Expected Move — 47.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.08$3.73$7.71$3.73$7.71
Max Pain$5.11$5.00$7.50$7.50$5.00
ATM IV137.7%86.3%165.1%126.8%102.7%
Expected Move39.9%24.7%47.3%36.3%29.4%
HV 20d201.9%168.2%230.0%180.3%168.2%
HV 60d163.0%144.5%173.1%144.5%173.1%
IV Rank74.6%43.5%91.1%67.9%53.4%
IV Percentile92.6%78.2%98.4%94.8%80.2%
Term Structure-20.5%-63.1%72.5%72.5%12.6%
VWIV131.4%85.9%167.0%143.9%102.8%
Skew 25d16.6%-44.2%64.5%-12.2%-2.1%
Skew 10d33.2%-35.9%70.3%-17.9%-3.4%
Call IV 25d126.7%93.8%168.1%119.9%96.9%
Put IV 25d143.3%94.8%173.9%107.7%94.8%
Bid-Ask Spread %92.3167.52110.0888.9193.38
Gamma HHI0.440.330.840.410.35
Net GEX5.8K68729.2K6873.6K
Net DEX-103.0K-334.0K98.8K98.8K-159.5K
Net VEX-707-1.1K-343-385-490
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.002.730.000.92
Total Volume46.864050050075
Total OI2,365.8641,9022,6532,0901,981

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$3.73$7.50126.8%36.3%180.3%67.9%0.0%-12.2%72.5%68798.8K-3850.0088.9150001,654436
2008-12-02$4.23$5.00144.0%41.3%189.6%78.4%143.9%4.7%30.0%2.6K19.8K-6351.10110.0810112,154425
2008-12-03$4.38$5.00140.9%40.4%183.1%76.5%0.0%-9.2%17.8%3.0K30.8K-6240.0094.961002,164435
2008-12-04$4.21$5.00126.6%36.3%178.4%67.8%0.0%14.3%28.2%3.0K1.3K-6802.73106.8711302,174435
2008-12-05$4.97$5.00162.6%43.5%191.1%89.6%149.0%64.1%-56.2%4.2K-6.6K-7050.0097.21102,184405
2008-12-08$5.82$5.00157.7%47.0%199.5%86.6%142.2%25.2%-53.7%7.4K-151.0K-1.0K1.4875.5021312,184405
2008-12-09$5.73$5.00150.4%46.0%199.1%82.3%0.0%7.1%-63.1%6.9K-136.0K-9300.0085.03302,197384
2008-12-10$6.36$5.00107.2%38.8%203.1%56.1%0.0%64.5%-40.6%4.3K-129.8K-8690.0096.10002,200384
2008-12-11$5.19$5.00150.7%43.2%213.6%82.4%151.4%11.9%-59.0%5.0K-64.4K-7030.1367.521522,200384
2008-12-12$6.03$5.00164.6%47.2%221.4%90.8%0.0%14.0%-57.0%4.1K-242.8K-3430.0097.710102,215386
2008-12-15$5.45$5.00165.1%47.3%221.0%91.1%0.0%19.6%-59.8%3.5K-54.0K-6721.0089.56112,215396
2008-12-16$6.47$5.00143.6%41.2%228.9%78.1%138.0%63.4%-49.9%4.3K-118.3K-7712.2291.959202,216397
2008-12-17$7.01$5.00144.3%41.4%230.0%78.6%0.0%18.2%-40.8%16.5K-334.0K-1.1K0.6081.301592,225417
2008-12-18$6.32$5.00157.8%45.2%217.2%86.7%0.0%22.7%-58.4%4.2K-137.7K-8570.0094.20002,227426
2008-12-19$7.27$5.00142.9%41.0%216.9%77.7%167.0%25.8%-46.3%29.2K-325.8K-9640.1194.06112122,227426
2008-12-22$6.87$5.00146.0%41.9%218.9%79.6%0.0%-44.2%-9.1%4.0K-97.6K-8040.0097.92001,519383
2008-12-23$7.05$5.00142.4%40.8%206.6%77.4%0.0%17.4%-25.1%4.3K-90.6K-6830.5091.83211,519383
2008-12-24$7.32$5.00137.1%39.3%200.6%74.2%0.0%17.7%-15.6%4.5K-98.6K-6640.5093.00211,521384
2008-12-26$7.45$5.00123.0%35.3%200.2%65.7%122.7%-0.9%-7.3%4.6K-105.3K-5910.0091.701701,523385
2008-12-29$6.75$5.0086.3%24.7%202.6%43.5%85.9%9.1%23.4%3.9K-61.1K-5201.0098.6114141,539385
2008-12-30$7.34$5.00107.0%30.7%171.6%56.0%110.6%33.8%6.4%4.6K-102.7K-5390.0093.377101,551399
2008-12-31$7.71$5.00102.7%29.4%168.2%53.4%102.8%-2.1%12.6%3.6K-159.5K-4900.9293.3839361,582399