BDN Options History — September 2009

In September 2009, BDN traded between $9.58 and $11.46. ATM implied volatility averaged 59.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 8.5% (HV 20d: 51.0%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2009-09-15: Highest Volume — 240 contracts
2009-09-23: Largest IV spike — 23.0% change
2009-09-14: Highest IV Rank — 20.5%
2009-09-14: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.66	$9.58	$11.46	$10.09	$11.04
Max Pain	$7.86	$7.50	$10.00	$10.00	$7.50
ATM IV	59.5%	48.9%	63.4%	58.9%	60.0%
Expected Move	17.2%	14.0%	18.2%	16.9%	17.2%
HV 20d	51.0%	42.4%	60.8%	60.8%	51.8%
HV 60d	55.9%	53.8%	57.4%	56.0%	55.1%
IV Rank	16.7%	8.8%	20.5%	17.8%	15.7%
IV Percentile	20.6%	4.4%	27.0%	22.2%	18.7%
Term Structure	2.0%	-0.9%	7.2%	0.7%	7.2%
VWIV	59.0%	46.6%	66.6%	57.9%	58.2%
Skew 25d	17.6%	-1.7%	45.1%	25.0%	2.7%
Skew 10d	39.7%	-2.1%	62.4%	42.3%	42.0%
Call IV 25d	51.5%	26.3%	63.7%	55.4%	57.7%
Put IV 25d	69.1%	55.9%	85.4%	80.4%	60.4%
Bid-Ask Spread %	43.70	20.89	59.98	46.43	42.06
Gamma HHI	0.47	0.37	0.63	0.57	0.38
Net GEX	10.0K	7.6K	15.8K	11.0K	8.9K
Net DEX	-750.4K	-1.1M	-476.7K	-635.5K	-702.5K
Net VEX	-2.4K	-2.8K	-2.2K	-2.7K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.00	6.10	0.14	0.06
Total Volume	47.143	0	240	0	36
Total OI	2,628.286	2,482	2,893	2,540	2,559

Daily Data (21 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
2009-09-01	$10.09	$10.00	58.9%	16.9%	60.8%	17.8%	0.0%	25.0%	0.7%	11.0K	-635.5K	-2.7K	0.00	46.43	0	0	1,379	1,161
2009-09-02	$9.58	$10.00	57.7%	16.6%	58.9%	17.1%	57.9%	-1.7%	5.3%	9.8K	-476.7K	-2.7K	0.14	46.93	44	6	1,379	1,161
2009-09-03	$9.80	$10.00	56.0%	16.0%	59.3%	16.0%	55.9%	23.3%	5.0%	10.9K	-515.4K	-2.7K	0.00	51.37	14	0	1,415	1,161
2009-09-04	$10.06	$7.50	56.9%	17.4%	53.4%	16.6%	0.0%	35.0%	0.4%	12.5K	-636.0K	-2.5K	0.00	59.98	33	0	1,420	1,161
2009-09-08	$10.30	$7.50	57.7%	18.1%	54.3%	17.1%	63.1%	36.1%	-0.7%	13.9K	-751.0K	-2.4K	4.32	43.06	25	108	1,429	1,161
2009-09-09	$10.32	$7.50	57.9%	17.7%	51.6%	17.2%	61.8%	36.1%	0.8%	13.0K	-733.5K	-2.8K	0.00	43.97	8	0	1,447	1,263
2009-09-10	$10.45	$7.50	61.8%	17.7%	49.5%	19.5%	61.6%	18.7%	-0.2%	14.1K	-810.4K	-2.5K	0.05	30.59	20	1	1,444	1,263
2009-09-11	$10.46	$7.50	60.6%	17.4%	49.5%	18.8%	0.0%	19.4%	1.6%	15.8K	-834.4K	-2.5K	0.00	35.46	50	0	1,464	1,264
2009-09-14	$10.87	$7.50	63.4%	18.2%	50.3%	20.5%	46.6%	45.1%	1.6%	11.2K	-1.0M	-2.5K	6.10	20.89	20	122	1,497	1,254
2009-09-15	$11.12	$7.50	62.9%	18.0%	44.5%	20.2%	55.3%	9.9%	1.5%	8.3K	-1.1M	-2.4K	0.14	34.79	210	30	1,517	1,376
2009-09-16	$11.46	$7.50	52.5%	15.1%	45.2%	11.0%	61.1%	12.6%	0.8%	7.7K	-1.0M	-2.4K	0.00	48.41	82	0	1,441	1,406
2009-09-17	$11.19	$7.50	61.5%	17.6%	46.0%	16.6%	49.5%	12.8%	1.9%	7.8K	-935.9K	-2.4K	0.00	55.22	10	0	1,386	1,406
2009-09-18	$11.05	$7.50	60.5%	17.3%	43.3%	15.9%	60.3%	16.9%	2.6%	8.2K	-839.0K	-2.4K	0.00	41.18	21	0	1,381	1,406
2009-09-21	$10.87	$7.50	61.5%	17.6%	42.4%	16.6%	0.0%	12.8%	0.7%	7.8K	-677.9K	-2.3K	0.00	56.17	10	0	1,250	1,232
2009-09-22	$11.43	$7.50	48.9%	14.0%	45.7%	8.8%	66.6%	16.1%	5.3%	8.4K	-805.4K	-2.3K	0.04	42.07	23	1	1,260	1,232
2009-09-23	$10.93	$7.50	60.1%	17.2%	47.9%	15.7%	0.0%	9.3%	4.5%	7.8K	-705.7K	-2.4K	0.00	57.62	36	0	1,268	1,232
2009-09-24	$10.33	$7.50	62.1%	17.8%	51.9%	17.0%	62.1%	12.0%	-0.9%	7.6K	-549.2K	-2.3K	0.00	33.72	2	0	1,292	1,232
2009-09-25	$10.36	$7.50	63.1%	18.1%	51.5%	17.6%	63.1%	7.5%	-0.8%	7.6K	-561.9K	-2.3K	0.14	44.56	22	3	1,290	1,232
2009-09-28	$11.07	$7.50	62.1%	17.8%	57.0%	17.0%	62.5%	14.5%	1.2%	8.7K	-722.0K	-2.2K	2.83	41.72	6	17	1,312	1,232
2009-09-29	$11.01	$7.50	62.3%	17.9%	55.4%	17.1%	0.0%	5.8%	2.7%	8.9K	-706.9K	-2.2K	2.00	41.41	10	20	1,297	1,232
2009-09-30	$11.04	$7.50	60.0%	17.2%	51.8%	15.7%	58.2%	2.7%	7.2%	8.9K	-702.5K	-2.2K	0.06	42.06	34	2	1,307	1,252