BDN Options History — July 2009

In July 2009, BDN traded between $6.61 and $8.18. ATM implied volatility averaged 57.0%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 0.9% (HV 20d: 56.0%). 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 21 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2009-07-20: Highest Volume — 291 contracts
  • 2009-07-09: Largest IV drop — 18.1% change
  • 2009-07-16: Highest IV Rank — 22.0%
  • 2009-07-14: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.53$6.61$8.18$7.76$8.18
Max Pain$7.27$5.00$7.50$5.00$7.50
ATM IV57.0%48.1%63.3%61.2%50.6%
Expected Move17.2%14.5%18.9%17.5%14.5%
HV 20d56.0%45.4%61.6%45.4%52.4%
HV 60d82.4%69.6%101.1%101.1%69.6%
IV Rank18.3%13.1%22.0%20.7%14.5%
IV Percentile23.9%17.9%28.2%27.8%17.9%
Term Structure4.6%-1.7%9.1%2.6%9.1%
VWIV58.6%34.7%81.2%61.4%51.6%
Skew 25d17.1%9.3%35.8%17.7%9.7%
Skew 10d31.5%6.5%46.4%40.3%13.6%
Call IV 25d55.4%35.3%67.5%57.4%49.5%
Put IV 25d72.5%57.2%78.7%75.1%59.2%
Bid-Ask Spread %40.2617.1067.2517.1035.40
Gamma HHI0.830.640.940.890.72
Net GEX14.8K6.5K30.1K14.4K11.7K
Net DEX-500.5K-791.6K-219.4K-745.1K-606.9K
Net VEX-2.1K-2.3K-1.7K-2.3K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.004.000.000.14
Total Volume62.591029113882
Total OI2,354.0911,6292,8412,5762,040

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$7.76$5.0061.2%17.5%45.4%20.7%61.4%17.7%2.6%14.4K-745.1K-2.3K0.0017.1013801,719857
2009-07-02$7.39$5.0061.8%17.7%47.5%21.1%62.2%0.0%3.8%14.6K-621.0K-2.3K0.0023.760221,743857
2009-07-06$7.80$7.5062.0%18.5%51.2%21.2%34.7%22.0%7.0%16.5K-791.6K-2.1K3.0053.8618541,743864
2009-07-07$7.41$7.5062.6%18.7%54.1%21.6%0.0%17.8%6.5%16.2K-615.3K-2.2K0.0017.281101,753918
2009-07-08$7.08$7.5058.7%18.6%55.9%19.3%0.0%12.2%4.5%14.2K-431.7K-2.0K0.0064.465301,763918
2009-07-09$6.89$7.5048.1%18.6%56.8%13.1%0.0%0.0%5.1%12.9K-319.6K-1.9K0.0023.14001,775918
2009-07-10$6.61$7.5048.4%18.3%57.9%13.3%81.2%13.3%7.4%7.2K-219.4K-1.7K0.0043.006301,775918
2009-07-13$6.93$7.5057.1%18.7%59.2%18.3%0.0%9.3%4.9%13.6K-302.1K-1.8K0.0035.975001,806918
2009-07-14$7.06$7.5054.1%18.9%58.7%16.6%65.8%15.7%3.7%17.3K-338.8K-1.9K0.8067.2525201,827918
2009-07-15$7.23$7.5057.4%17.8%59.2%18.5%0.0%0.0%4.4%24.4K-429.3K-2.0K0.0057.6512001,852938
2009-07-16$7.38$7.5063.3%18.1%59.0%22.0%63.3%16.2%4.7%29.2K-548.2K-2.1K0.0553.624321,903938
2009-07-17$7.24$7.5061.4%17.6%59.4%20.9%61.4%18.3%5.1%30.1K-438.7K-1.9K3.2053.7915481,912816
2009-07-20$7.74$7.5056.7%16.3%61.6%18.2%56.7%35.8%3.8%6.5K-357.0K-1.8K0.0055.4029101,076553
2009-07-21$7.54$7.5056.3%16.1%57.5%17.9%56.3%0.0%-1.7%11.4K-450.1K-2.1K0.5964.4141241,367553
2009-07-22$7.60$7.5059.8%17.1%57.5%19.9%59.8%15.9%4.4%11.5K-458.9K-2.1K2.2758.8522501,391553
2009-07-23$7.71$7.5059.7%17.1%56.8%19.9%59.7%18.3%2.0%11.2K-495.9K-2.3K1.2223.879111,412603
2009-07-24$7.78$7.5057.0%16.3%56.2%18.3%0.0%18.4%3.7%11.9K-509.6K-2.2K0.0021.00001,418609
2009-07-27$8.05$7.5056.8%16.3%57.0%18.2%0.0%14.8%5.1%12.5K-587.9K-2.2K0.0027.64001,418609
2009-07-28$8.01$7.5056.3%16.1%57.0%17.9%56.2%15.8%3.9%11.7K-553.7K-2.1K0.3623.5328101,365569
2009-07-29$8.00$7.5052.8%15.1%57.0%15.9%0.0%20.5%3.8%12.5K-562.5K-2.1K0.5928.1517101,366579
2009-07-30$8.18$7.5051.3%14.7%55.8%15.0%50.7%9.7%7.9%13.2K-628.3K-2.0K4.0036.6420801,381579
2009-07-31$8.18$7.5050.6%14.5%52.4%14.5%51.6%0.0%9.1%11.7K-606.9K-2.2K0.1435.4072101,381659