BDN Options History — March 2009

In March 2009, BDN traded between $2.52 and $4.41. ATM implied volatility averaged 142.3%, placing in the 73.3% IV rank vs the trailing year. The 30-day expected move averaged 41.8%. IV traded above realized volatility by 22.2% (HV 20d: 120.1%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 14.07.

Notable Days

  • 2009-03-24: Highest Volume — 1,231 contracts
  • 2009-03-10: Largest IV spike — 48.8% change
  • 2009-03-12: Highest IV Rank — 100.0%
  • 2009-03-18: Largest Expected Move — 56.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.34$2.52$4.41$4.37$2.85
Max Pain$8.98$5.00$10.00$5.00$7.50
ATM IV142.3%110.6%196.2%132.2%129.0%
Expected Move41.8%32.6%56.2%37.9%37.0%
HV 20d120.1%104.1%151.4%110.4%151.4%
HV 60d130.5%118.9%142.2%142.2%131.5%
IV Rank73.3%56.2%100.0%71.2%63.0%
IV Percentile87.7%71.8%100.0%88.5%81.3%
Term Structure-29.0%-93.3%76.3%-30.4%-17.0%
VWIV130.1%92.9%277.8%132.2%124.9%
Skew 25d13.3%-59.4%78.8%42.4%6.4%
Skew 10d16.3%-41.3%88.2%38.9%11.1%
Call IV 25d103.8%62.8%155.2%76.2%118.5%
Put IV 25d117.2%81.6%163.2%118.6%124.9%
Bid-Ask Spread %54.1314.7795.3962.1214.77
Gamma HHI0.520.240.970.610.58
Net GEX-815-3.9K2.2K-1.9K-1.9K
Net DEX156.6K-31.1K229.7K157.8K94.2K
Net VEX-345-985-87-394-679
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.070.00218.670.000.46
Total Volume122.63601,231308
Total OI1,833.4097382,7521,4902,752

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$4.37$5.00132.2%37.9%110.4%71.2%132.2%42.4%-30.4%-1.9K157.8K-3940.0062.12300821669
2009-03-03$4.38$5.00115.1%33.0%108.5%60.9%0.0%78.8%-17.9%-3.2K177.9K-3810.0036.60025851669
2009-03-04$4.41$5.00113.5%32.6%108.8%59.9%113.5%0.5%-12.8%-3.4K197.3K-3332.1435.502145851694
2009-03-05$3.86$5.00118.0%33.8%116.3%62.6%0.0%30.4%-68.7%-253229.7K-1280.0028.51200872704
2009-03-06$3.53$10.00135.7%35.4%118.4%73.4%163.0%49.5%74.3%-92218.2K-1080.0042.67400872704
2009-03-09$3.48$10.00110.6%42.7%105.7%58.2%0.0%-14.4%-34.2%-57219.1K-910.0057.1600872704
2009-03-10$3.69$10.00164.6%55.1%110.0%90.8%277.8%16.7%-58.4%16218.7K-1420.0053.0310872704
2009-03-11$3.51$10.00152.3%49.9%104.1%83.4%0.0%3.9%-80.6%-44215.1K-1090.0090.7200873704
2009-03-12$3.59$10.00189.1%54.2%104.1%100.0%92.9%6.3%-93.3%-42226.1K-980.2095.3951873704
2009-03-13$3.63$10.00156.4%44.8%104.5%81.3%109.7%71.0%76.3%-187228.0K-870.1488.68365878705
2009-03-16$3.20$10.00170.0%48.7%110.3%89.1%128.4%-23.1%-71.5%-71196.0K-1000.1589.77203897710
2009-03-17$3.33$10.00160.5%46.0%105.0%83.7%0.0%49.3%0.1%-58209.2K-990.0091.63500914713
2009-03-18$3.58$10.00196.2%56.2%109.2%100.0%0.0%52.5%-76.1%35199.9K-1299.4077.201094964713
2009-03-19$3.10$10.00143.7%41.2%116.8%71.1%143.3%36.7%25.4%-144198.5K-1720.5556.014223974807
2009-03-20$2.52$10.00139.9%40.1%120.5%69.1%110.6%-59.4%-88.0%2.2K161.5K-1860.0893.58124101,015830
2009-03-23$2.89$10.00167.5%48.0%135.6%84.2%130.3%-3.9%-33.0%-18054.1K-214218.6777.913656383355
2009-03-24$2.57$10.00129.0%37.0%135.1%63.1%119.6%-1.7%4.1%-3.9K163.5K-4800.0815.741,145863861,611
2009-03-25$2.70$10.00129.7%37.2%138.6%63.4%95.8%-32.0%-45.0%-957-16.6K-9544.6534.9320931,4941,088
2009-03-26$2.91$10.00127.8%36.6%143.2%62.4%100.4%-17.5%-39.9%-1.3K75.8K-8550.0016.790231,5141,181
2009-03-27$2.74$10.00116.7%33.4%143.0%56.2%98.8%-12.6%-18.7%-1.9K-31.1K-9852.6017.195131,5141,196
2009-03-30$2.54$10.00133.4%38.3%143.0%65.5%140.9%0.0%-32.1%-66652.8K-8760.4614.9428131,5191,209
2009-03-31$2.85$7.50129.0%37.0%151.4%63.0%124.9%6.4%-17.0%-1.9K94.2K-6790.0014.77081,5361,216