BDN Options History — February 2009 In February 2009, BDN traded between $4.72 and $6.81. ATM implied volatility averaged 115.8%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 33.8%. IV traded below realized volatility by 16.4% (HV 20d: 132.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.56.
Notable Days 2009-02-12 : Highest Volume — 600 contracts2009-02-12 : Largest IV spike — 32.6% change2009-02-18 : Highest IV Rank — 69.4%2009-02-18 : Largest Expected Move — 37.1%Monthly Statistics Metric Avg Min Max Open Close Price $5.73 $4.72 $6.81 $6.23 $4.72 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 115.8% 91.3% 129.3% 104.3% 124.0% Expected Move 33.8% 26.2% 37.1% 29.9% 35.5% HV 20d 132.2% 108.7% 143.4% 136.7% 108.7% HV 60d 161.4% 143.6% 167.7% 167.7% 143.6% IV Rank 61.3% 46.5% 69.4% 54.4% 66.2% IV Percentile 80.8% 68.3% 88.5% 75.4% 83.7% Term Structure -9.0% -39.5% 38.3% 38.3% -32.3% VWIV 114.7% 83.7% 137.1% 83.7% 119.7% Skew 25d 24.6% -27.8% 52.6% 36.7% -11.9% Skew 10d 17.0% -30.8% 44.7% 32.5% -20.5% Call IV 25d 77.4% 49.7% 104.0% 60.6% 97.4% Put IV 25d 102.0% 76.2% 128.0% 97.3% 85.5% Bid-Ask Spread % 70.12 52.68 89.70 76.78 52.68 Gamma HHI 0.51 0.32 0.65 0.58 0.55 Net GEX 2.2K -1.6K 10.1K 5.8K -1.6K Net DEX 2.6K -251.6K 137.6K -107.2K 137.6K Net VEX -887 -1.5K -228 -1.4K -490 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.00 4.00 0.00 4.00 Total Volume 39.368 0 600 40 5 Total OI 1,985.053 1,458 2,204 2,192 1,487
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 2009-02-02 $6.23 $5.00 104.3% 29.9% 136.7% 54.4% 83.7% 36.7% 38.3% 5.8K -107.2K -1.4K 0.00 76.78 40 0 1,428 764 2009-02-03 $6.20 $5.00 112.9% 32.4% 136.3% 59.5% 0.0% 44.3% 12.6% 6.2K -106.2K -1.4K 0.00 69.23 0 0 1,438 764 2009-02-04 $6.04 $5.00 109.1% 31.3% 134.1% 57.3% 0.0% 21.2% 11.9% 5.2K -51.5K -1.3K 0.00 65.29 0 0 1,438 764 2009-02-05 $6.04 $5.00 103.1% 29.6% 133.2% 53.6% 0.0% 39.7% 26.7% 545 -5.9K -1.0K 0.00 67.51 0 0 1,438 764 2009-02-06 $6.79 $5.00 99.7% 28.5% 140.2% 51.6% 100.9% 51.0% -11.7% 8.8K -251.6K -1.5K 0.00 60.23 4 0 1,438 764 2009-02-09 $6.81 $5.00 91.3% 26.2% 140.2% 46.5% 0.0% 52.6% -2.3% 10.1K -213.5K -1.3K 0.00 70.66 0 0 1,440 764 2009-02-10 $5.99 $5.00 110.1% 34.6% 143.4% 57.8% 0.0% 35.4% -9.3% 4.3K -7.4K -1.1K 0.00 76.06 0 0 1,440 764 2009-02-11 $6.13 $5.00 97.5% 35.7% 141.0% 50.2% 0.0% 22.9% 2.4% 3.0K 9.0K -956 0.00 72.22 1 0 1,440 764 2009-02-12 $6.13 $5.00 129.2% 37.1% 137.5% 69.4% 131.9% 35.3% -15.9% 2.5K 8.3K -957 0.00 73.93 0 600 1,440 764 2009-02-13 $5.86 $5.00 117.7% 33.7% 138.3% 62.4% 0.0% 23.8% -14.5% 960 28.5K -789 0.00 64.28 0 0 1,440 684 2009-02-17 $5.10 $5.00 128.5% 36.8% 143.4% 69.0% 0.0% 13.2% -28.0% -224 92.6K -626 0.00 83.39 0 0 1,440 644 2009-02-18 $5.22 $5.00 129.3% 37.1% 125.5% 69.4% 137.1% -27.8% 11.0% -47 74.5K -648 0.00 81.39 0 10 1,440 644 2009-02-19 $4.88 $5.00 129.0% 37.0% 117.9% 69.3% 0.0% 15.5% -39.5% -274 98.6K -622 0.71 53.53 21 15 1,440 654 2009-02-20 $5.53 $5.00 120.4% 34.5% 127.6% 64.1% 0.0% 6.1% -4.5% 127 15.5K -228 0.00 89.70 4 0 1,461 669 2009-02-23 $5.25 $5.00 125.5% 36.0% 128.2% 67.2% 0.0% 8.5% -29.0% -1.0K 53.0K -754 0.33 74.12 15 5 801 657 2009-02-24 $5.55 $5.00 127.0% 36.4% 130.3% 68.0% 0.0% 33.1% -33.8% -926 81.2K -642 0.00 63.59 1 0 816 662 2009-02-25 $5.40 $5.00 122.7% 35.2% 130.2% 65.5% 0.0% 49.3% -36.3% -759 82.8K -604 0.00 66.39 7 0 817 662 2009-02-26 $5.04 $5.00 119.7% 34.3% 119.6% 63.7% 119.7% 18.4% -16.4% -1.4K 110.4K -562 0.00 71.31 0 20 820 662 2009-02-27 $4.72 $5.00 124.0% 35.5% 108.7% 66.2% 0.0% -11.9% -32.3% -1.6K 137.6K -490 4.00 52.68 1 4 820 667
« Jan 2009 | All History | Mar 2009 » Home BDN History February 2009