BDN Options History — November 2009

In November 2009, BDN traded between $9.48 and $10.54. ATM implied volatility averaged 52.1%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 7.3% (HV 20d: 44.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.90.

Notable Days

2009-11-05: Highest Volume — 132 contracts
2009-11-27: Largest IV spike — 21.6% change
2009-11-27: Highest IV Rank — 14.3%
2009-11-27: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.93	$9.48	$10.54	$9.52	$9.82
Max Pain	$10.88	$10.00	$12.50	$10.00	$10.00
ATM IV	52.1%	44.3%	57.8%	48.0%	47.8%
Expected Move	15.0%	12.7%	16.6%	13.8%	13.7%
HV 20d	44.7%	38.5%	49.6%	43.7%	38.5%
HV 60d	48.0%	45.4%	50.4%	49.8%	45.5%
IV Rank	10.8%	6.0%	14.3%	8.3%	8.2%
IV Percentile	8.9%	1.2%	28.2%	2.8%	3.2%
Term Structure	0.4%	-8.6%	7.0%	4.8%	2.5%
VWIV	50.1%	36.6%	55.5%	54.2%	47.8%
Skew 25d	18.1%	-6.6%	29.8%	25.6%	8.9%
Skew 10d	25.3%	-4.0%	41.0%	30.2%	15.7%
Call IV 25d	38.8%	30.4%	52.8%	37.5%	36.9%
Put IV 25d	56.8%	41.0%	63.1%	63.1%	45.8%
Bid-Ask Spread %	50.25	14.98	84.08	74.65	19.81
Gamma HHI	0.70	0.55	0.98	0.55	0.70
Net GEX	-23.9K	-339.2K	12.5K	-8.0K	12.5K
Net DEX	-229.3K	-609.2K	55.6K	36.9K	-416.8K
Net VEX	-2.2K	-2.5K	-1.7K	-2.5K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.00	4.00	0.00	0.00
Total Volume	33.2	0	132	52	12
Total OI	2,348.2	1,794	2,600	2,390	1,890

Daily Data (20 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
2009-11-02	$9.52	$10.00	48.0%	13.8%	43.7%	8.3%	0.0%	25.6%	4.8%	-8.0K	36.9K	-2.5K	0.00	74.65	52	0	1,060	1,330
2009-11-03	$9.87	$10.00	54.2%	15.5%	46.5%	12.1%	54.2%	27.5%	-0.3%	-8.1K	-95.2K	-2.5K	0.41	29.64	17	7	1,059	1,330
2009-11-04	$9.67	$10.00	54.1%	15.5%	45.3%	12.1%	54.4%	7.7%	-2.3%	-8.1K	-75.5K	-2.5K	0.00	34.41	30	0	1,068	1,337
2009-11-05	$9.75	$10.00	55.5%	15.9%	45.5%	12.9%	55.5%	8.1%	-3.8%	-8.4K	-66.2K	-2.5K	3.26	30.47	31	101	1,068	1,337
2009-11-06	$9.48	$10.00	54.9%	15.3%	46.2%	12.5%	0.0%	25.1%	0.4%	-11.4K	55.6K	-2.5K	0.00	55.83	3	0	1,073	1,438
2009-11-09	$9.92	$10.00	49.6%	15.5%	49.6%	9.3%	0.0%	28.1%	0.4%	-17.8K	-73.7K	-2.5K	2.00	64.62	10	20	1,076	1,438
2009-11-10	$9.85	$10.00	52.1%	15.2%	48.4%	10.8%	36.6%	27.2%	-0.2%	-16.3K	-79.0K	-2.4K	0.00	82.36	0	40	1,088	1,432
2009-11-11	$10.00	$12.50	51.0%	14.5%	45.1%	10.2%	50.5%	25.5%	3.1%	-18.7K	-106.3K	-2.3K	0.00	84.08	28	0	1,088	1,452
2009-11-12	$9.95	$12.50	53.3%	15.3%	44.9%	11.5%	0.0%	29.8%	1.7%	-21.6K	-132.7K	-2.4K	0.00	56.51	0	15	1,102	1,452
2009-11-13	$10.31	$12.50	53.4%	15.3%	44.9%	11.7%	0.0%	29.6%	0.6%	-26.5K	-289.7K	-2.2K	0.00	59.55	21	0	1,102	1,446
2009-11-16	$10.54	$12.50	53.1%	15.2%	45.6%	11.4%	0.0%	12.9%	0.7%	10.0K	-609.2K	-1.8K	0.00	55.94	17	0	1,114	1,446
2009-11-17	$10.18	$12.50	52.2%	15.0%	46.7%	10.9%	52.2%	-6.6%	2.1%	-27.6K	-269.8K	-2.1K	0.00	58.16	39	0	1,128	1,446
2009-11-18	$10.37	$12.50	53.9%	15.4%	45.3%	11.9%	53.8%	13.6%	0.6%	9.9K	-560.3K	-1.8K	4.00	58.52	5	20	1,110	1,446
2009-11-19	$10.19	$12.50	53.7%	15.4%	44.6%	11.8%	53.7%	28.7%	-0.1%	-41.8K	-273.3K	-2.0K	0.00	54.63	50	0	1,112	1,466
2009-11-20	$9.98	$10.00	55.7%	16.0%	44.9%	13.0%	0.0%	13.2%	-8.6%	-339.2K	-21.0K	-2.0K	3.50	58.69	8	28	1,134	1,466
2009-11-23	$10.08	$10.00	44.3%	12.7%	44.0%	6.0%	44.3%	25.3%	7.0%	10.7K	-442.2K	-1.7K	0.09	14.98	46	4	1,000	794
2009-11-24	$9.81	$10.00	49.0%	14.1%	44.6%	8.9%	0.0%	8.5%	1.2%	11.0K	-410.1K	-1.8K	1.83	22.68	12	22	1,045	797
2009-11-25	$9.83	$10.00	47.5%	13.6%	40.3%	8.0%	47.5%	5.8%	2.9%	11.0K	-394.5K	-1.9K	0.13	24.48	23	3	1,067	817
2009-11-27	$9.57	$10.00	57.8%	16.6%	39.5%	14.3%	0.0%	16.9%	-4.9%	10.5K	-363.6K	-1.9K	0.00	64.90	0	0	1,090	820
2009-11-30	$9.82	$10.00	47.8%	13.7%	38.5%	8.2%	47.8%	8.9%	2.5%	12.5K	-416.8K	-1.8K	0.00	19.81	12	0	1,090	800