BDN Options History — June 2009

In June 2009, BDN traded between $6.73 and $7.45. ATM implied volatility averaged 68.8%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 0.3% (HV 20d: 69.1%). 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 13 of 22 days. Put/call ratio averaged 1.72.

Notable Days

  • 2009-06-29: Highest Volume — 7,284 contracts
  • 2009-06-08: Largest IV spike — 52.7% change
  • 2009-06-08: Highest IV Rank — 35.1%
  • 2009-06-08: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.07$6.73$7.45$7.41$7.45
Max Pain$5.34$5.00$7.50$7.50$5.00
ATM IV68.8%53.0%81.8%66.0%56.2%
Expected Move20.5%16.1%23.8%18.9%16.1%
HV 20d69.1%43.4%101.1%99.9%43.4%
HV 60d119.7%103.1%133.8%133.8%103.1%
IV Rank27.4%17.9%35.1%27.0%17.9%
IV Percentile33.4%26.6%38.5%34.9%26.6%
Term Structure3.1%-7.5%18.2%15.7%8.2%
VWIV80.1%53.9%140.7%62.5%55.6%
Skew 25d17.9%11.9%26.4%22.4%12.8%
Skew 10d35.4%18.3%42.0%18.3%37.7%
Call IV 25d64.9%60.7%70.6%70.6%61.8%
Put IV 25d82.9%74.6%93.0%93.0%74.6%
Bid-Ask Spread %43.9715.2892.5030.8821.06
Gamma HHI0.640.450.900.610.90
Net GEX13.6K8.2K24.0K12.2K14.0K
Net DEX-854.5K-1.0M-600.8K-842.5K-600.8K
Net VEX-2.4K-2.8K-2.0K-2.7K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0024.000.820.15
Total Volume422.045107,28442778
Total OI3,5002,5133,9113,6882,513

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$7.41$7.5066.0%18.9%99.9%27.0%62.5%22.4%15.7%12.2K-842.5K-2.7K0.8230.882351922,2831,405
2009-06-02$7.15$7.5068.6%19.7%101.1%28.4%68.0%0.0%14.1%13.8K-823.9K-2.8K1.6529.7052862,4741,336
2009-06-03$7.11$7.5063.6%18.2%99.6%25.2%56.9%0.0%16.9%13.6K-853.9K-2.8K24.0027.691242,4761,276
2009-06-04$7.37$5.0062.8%18.0%99.3%24.4%62.9%0.0%18.2%16.1K-1.0M-2.7K0.1535.495992,4771,211
2009-06-05$7.34$5.0053.6%23.8%97.5%19.1%0.0%26.4%-4.2%18.4K-1.0M-2.7K0.0023.352002,5161,217
2009-06-08$7.19$5.0081.8%23.8%80.9%35.1%114.8%26.0%-7.5%14.9K-967.5K-2.6K1.2371.8347582,4961,217
2009-06-09$7.01$5.0053.0%22.6%81.0%18.8%81.2%0.0%1.2%16.8K-948.1K-2.5K0.3072.95280852,5221,209
2009-06-10$6.99$5.0070.6%21.1%80.3%28.8%0.0%17.2%3.2%17.4K-931.6K-2.7K0.0026.490222,6921,219
2009-06-11$6.81$5.0074.7%21.4%73.3%31.1%0.0%14.6%1.3%15.0K-790.9K-2.4K1.0030.6410102,5921,239
2009-06-12$7.04$5.0075.0%21.5%73.3%31.3%75.0%13.5%-0.7%19.3K-852.9K-2.5K0.6852.4774502,5941,244
2009-06-15$6.84$5.0076.0%21.8%67.0%31.9%76.1%15.4%-0.9%16.6K-818.9K-2.3K0.0034.735302,5621,234
2009-06-16$6.85$5.0075.2%21.6%56.6%31.4%113.1%17.1%0.9%14.8K-795.9K-2.3K0.0051.933202,6091,232
2009-06-17$6.73$5.0078.4%22.5%55.2%33.2%98.5%0.0%-3.0%8.5K-750.5K-2.2K0.0039.910102,6211,232
2009-06-18$6.84$5.0075.1%21.5%54.0%31.3%0.0%0.0%4.8%8.4K-785.2K-2.2K0.0092.509102,6211,232
2009-06-19$7.18$5.0075.4%21.6%56.1%31.5%84.2%19.8%-0.3%24.0K-973.0K-2.2K0.6760.1915102,6311,212
2009-06-22$6.74$5.0057.0%16.3%57.6%21.0%53.9%18.1%5.0%8.2K-743.9K-2.2K1.7964.7448862,025792
2009-06-23$6.74$5.0075.0%21.5%53.2%31.3%0.0%0.0%0.7%8.7K-714.9K-2.1K0.0065.711002,066845
2009-06-24$6.95$5.0070.2%20.1%52.4%28.5%69.9%0.0%0.8%8.6K-793.3K-2.1K1.0640.6447502,076845
2009-06-25$7.15$5.0072.2%20.7%47.9%29.0%0.0%11.9%-2.6%8.5K-863.4K-2.0K0.6361.9464402,104808
2009-06-26$7.28$5.0068.1%19.5%45.1%24.8%68.1%0.0%-3.0%10.4K-932.2K-2.1K0.2315.2843102,164837
2009-06-29$7.38$5.0064.7%18.6%45.3%22.8%140.7%0.0%-1.1%11.4K-977.0K-2.1K0.0017.247,28402,197847
2009-06-30$7.45$5.0056.2%16.1%43.4%17.9%55.6%12.8%8.2%14.0K-600.8K-2.2K0.1521.0668101,666847