BDN Options History — October 2009

In October 2009, BDN traded between $9.56 and $11.31. ATM implied volatility averaged 52.5%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 1.9% (HV 20d: 50.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 5.38.

Notable Days

  • 2009-10-20: Highest Volume — 513 contracts
  • 2009-10-12: Largest IV spike — 41.9% change
  • 2009-10-01: Highest IV Rank — 19.1%
  • 2009-10-01: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.47$9.56$11.31$10.60$9.56
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV52.5%34.6%65.5%65.5%59.0%
Expected Move16.4%13.5%18.8%18.8%16.9%
HV 20d50.6%43.1%55.1%50.3%47.0%
HV 60d54.1%51.7%55.3%54.9%52.2%
IV Rank11.0%0.0%19.1%19.1%15.1%
IV Percentile9.1%0.0%28.6%28.6%24.2%
Term Structure0.8%-4.7%5.5%-4.3%-4.7%
VWIV56.8%47.2%66.3%66.3%47.2%
Skew 25d13.4%-7.0%28.2%24.0%28.2%
Skew 10d31.2%-6.3%82.0%82.0%31.6%
Call IV 25d48.5%35.4%67.1%67.1%35.4%
Put IV 25d61.9%37.9%91.1%91.1%63.6%
Bid-Ask Spread %45.4723.3874.7638.5728.74
Gamma HHI0.470.350.600.390.46
Net GEX3.2K-8.9K11.2K8.1K-5.6K
Net DEX-370.6K-570.0K-43.1K-389.4K-43.1K
Net VEX-2.4K-3.1K-1.9K-2.3K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.380.00101.601.800.91
Total Volume63.13615132810
Total OI2,371.3181,7552,6222,3832,390

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$10.60$10.0065.5%18.8%50.3%19.1%66.3%24.0%-4.3%8.1K-389.4K-2.3K1.8038.5710181,1291,254
2009-10-02$10.87$10.0057.5%16.5%50.5%14.1%0.0%16.3%3.0%8.3K-442.0K-2.3K0.1843.1757101,1291,272
2009-10-05$11.31$10.0038.2%15.9%51.4%2.2%55.9%14.9%1.0%7.8K-537.5K-2.0K0.0037.851801,1341,269
2009-10-06$11.24$10.0041.4%17.3%51.2%4.2%0.0%13.1%3.9%9.8K-549.9K-2.2K0.0025.232501,1521,269
2009-10-07$10.81$10.0048.5%17.0%53.4%8.5%0.0%-7.0%2.1%8.6K-442.6K-2.1K0.0026.978001,1571,269
2009-10-08$10.69$10.0056.4%17.2%53.5%13.4%52.7%18.1%0.3%7.6K-393.8K-2.1K0.0026.82901,1261,269
2009-10-09$10.65$10.0034.6%17.6%53.5%0.0%61.6%-0.6%-3.3%7.0K-409.4K-1.9K0.0323.3811531,1351,269
2009-10-12$10.68$10.0049.1%17.0%51.7%9.0%0.0%11.7%-0.5%8.6K-483.7K-2.1K0.0072.13101,2321,272
2009-10-13$10.33$10.0047.4%16.8%52.1%7.9%0.0%11.5%-1.5%10.2K-399.0K-2.1K0.2153.48140301,2321,272
2009-10-14$10.84$10.0051.6%16.8%54.0%10.5%58.8%23.8%1.6%8.2K-570.0K-2.1K0.8974.7628251,3051,302
2009-10-15$10.65$10.0057.2%16.4%53.7%14.0%57.6%12.3%2.1%8.6K-536.7K-2.2K0.0056.071001,3101,312
2009-10-16$10.25$10.0057.2%16.4%55.1%14.0%0.0%13.7%0.6%11.2K-433.3K-2.3K0.0049.4010501,3101,312
2009-10-19$10.28$10.0058.5%16.8%55.0%14.8%55.8%14.2%1.4%7.5K-467.5K-2.3K0.0456.65251980775
2009-10-20$10.07$10.0055.7%16.0%51.6%13.1%55.7%11.0%2.1%8.1K-448.6K-2.2K101.6054.1955081,000774
2009-10-21$10.44$10.0056.0%16.1%51.6%13.2%56.1%15.7%0.6%-8.9K-231.1K-3.1K6.4053.175321,0051,477
2009-10-22$10.72$10.0056.9%16.3%48.3%13.8%57.5%16.2%0.6%-4.5K-370.3K-2.8K0.0058.652301,0101,310
2009-10-23$10.57$10.0053.5%15.3%48.6%11.7%0.0%13.8%2.0%-4.3K-367.4K-2.8K0.0055.12301,0261,310
2009-10-26$10.27$10.0055.8%16.0%43.1%13.1%0.0%9.4%0.4%-5.3K-266.4K-2.8K0.0054.691001,0291,310
2009-10-27$10.10$10.0052.3%15.0%43.3%10.9%0.0%12.4%3.4%-6.7K-207.8K-2.7K0.0055.804001,0291,310
2009-10-28$9.58$10.0055.0%15.8%46.5%12.6%0.0%8.8%1.7%-5.6K-49.6K-2.7K0.8328.3412101,0611,310
2009-10-29$9.91$10.0047.1%13.5%46.9%7.8%47.2%0.0%5.5%-8.7K-114.0K-2.6K0.9127.0711101,0511,320
2009-10-30$9.56$10.0059.0%16.9%47.0%15.1%0.0%28.2%-4.7%-5.6K-43.1K-2.7K0.0028.740101,0601,330