BDN Options History — April 2009

In April 2009, BDN traded between $2.91 and $6.19. ATM implied volatility averaged 122.6%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 32.9%. IV traded below realized volatility by 33.8% (HV 20d: 156.3%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2009-04-09: Highest Volume — 1,143 contracts
  • 2009-04-03: Largest IV spike — 67.2% change
  • 2009-04-03: Highest IV Rank — 96.3%
  • 2009-04-03: Largest Expected Move — 38.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.64$2.91$6.19$2.91$6.19
Max Pain$4.17$2.50$7.50$7.50$5.00
ATM IV122.6%103.7%189.4%130.7%121.5%
Expected Move32.9%29.7%38.0%37.5%34.8%
HV 20d156.3%138.8%179.2%151.9%138.8%
HV 60d139.2%131.6%145.5%131.6%138.8%
IV Rank59.5%49.1%96.3%64.0%58.9%
IV Percentile70.5%57.5%99.6%83.3%73.8%
Term Structure0.2%-21.4%56.1%-14.2%2.5%
VWIV107.5%60.5%124.4%109.7%112.1%
Skew 25d33.9%0.3%61.4%0.3%26.2%
Skew 10d35.3%0.3%61.4%0.3%16.8%
Call IV 25d120.7%87.8%157.8%130.5%116.5%
Put IV 25d154.6%130.8%219.2%130.8%142.7%
Bid-Ask Spread %32.847.9660.7623.4134.53
Gamma HHI0.840.490.980.830.84
Net GEX-425-32.4K5.3K1.4K3.6K
Net DEX-231.6K-632.0K198.3K-34.4K-632.0K
Net VEX-1.5K-2.0K-864-864-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.009.580.302.50
Total Volume206.04801,1430420
Total OI2,843.7141,9924,1292,7602,729

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$2.91$7.50130.7%37.5%151.9%64.0%0.0%0.3%-14.2%1.4K-34.4K-8640.0023.41001,5361,224
2009-04-02$3.32$7.50113.3%32.5%154.9%54.4%109.7%45.7%24.0%350-50.8K-1.2K0.307.96145431,5361,167
2009-04-03$3.35$2.50189.4%38.0%152.0%96.3%106.7%36.0%-17.2%322-69.1K-1.3K0.5051.5832161,5261,194
2009-04-06$3.76$2.50111.0%35.4%157.5%53.1%124.4%61.4%-21.4%2.5K-114.2K-1.3K0.1751.31247421,5481,208
2009-04-07$3.52$2.50176.5%37.3%158.0%89.2%120.2%0.0%3.5%2.5K-124.0K-1.3K0.8560.7660511,6811,230
2009-04-08$3.68$2.50179.0%30.3%157.8%90.6%90.8%0.0%56.1%2.7K-147.6K-1.4K0.3151.6632101,7311,259
2009-04-09$4.55$2.50103.7%29.7%174.5%49.1%103.7%26.2%0.7%3.5K-263.8K-1.6K9.5842.501081,0351,7541,269
2009-04-13$4.91$2.50107.5%30.8%175.9%51.2%107.5%0.0%-5.5%-11.0K-73.6K-2.0K0.0014.5111401,7802,287
2009-04-14$4.24$2.50105.4%30.2%178.3%50.1%105.4%0.0%0.4%3.7K181.5K-1.6K2.7137.8421571,8262,287
2009-04-15$4.54$2.50105.4%30.2%179.1%50.0%0.0%0.0%-3.3%4.0K198.3K-1.7K0.0017.420121,8262,303
2009-04-16$4.89$2.50111.0%31.8%179.2%53.2%111.1%0.0%-4.4%-26.0K1.7K-1.8K0.4219.53100421,6432,252
2009-04-17$5.14$5.00112.5%32.2%169.2%53.9%109.9%0.0%-10.8%-32.4K-331.0K-1.8K0.1818.1392171,6902,292
2009-04-20$4.58$5.00113.7%32.6%155.0%54.6%113.7%0.0%4.9%3.9K-312.2K-1.6K0.2524.23125311,506525
2009-04-21$4.91$5.00106.2%30.4%150.7%50.5%104.9%0.0%10.1%4.6K-328.4K-1.7K0.2319.3682191,502543
2009-04-22$5.18$5.00113.1%32.4%140.9%54.3%113.2%0.0%-4.3%5.3K-394.7K-1.7K0.0224.5230351,555548
2009-04-23$5.28$5.00109.5%31.4%140.9%52.3%105.1%0.0%-0.9%4.8K-397.4K-1.6K0.4222.8760251,447545
2009-04-24$5.87$5.00119.8%34.4%142.5%58.0%60.5%0.0%-1.1%3.5K-562.2K-1.5K0.0357.9627671,484570
2009-04-27$5.34$5.00114.2%32.7%146.1%54.9%114.8%0.0%-5.0%5.3K-418.1K-1.7K3.0034.548241,517573
2009-04-28$5.40$5.00117.0%33.5%140.6%56.4%121.8%0.0%-4.2%5.2K-428.8K-1.7K0.0243.06441101,522589
2009-04-29$5.89$5.00113.3%32.5%138.9%54.4%0.0%0.0%-5.7%3.4K-562.3K-1.5K0.0032.0421501,922592
2009-04-30$6.19$5.00121.5%34.8%138.8%58.9%112.1%0.0%2.5%3.6K-632.0K-1.5K2.5034.531203002,137592