BDN Options History — December 2009

In December 2009, BDN traded between $9.95 and $11.85. ATM implied volatility averaged 43.3%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 4.0% (HV 20d: 39.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2009-12-04: Highest Volume — 265 contracts
  • 2009-12-23: Largest IV drop — 40.9% change
  • 2009-12-22: Highest IV Rank — 11.5%
  • 2009-12-22: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.81$9.95$11.85$9.95$11.40
Max Pain$7.84$7.50$10.00$10.00$7.50
ATM IV43.3%31.5%53.2%45.2%41.5%
Expected Move12.7%9.0%15.3%12.9%11.9%
HV 20d39.3%34.6%43.1%38.7%34.6%
HV 60d44.5%40.5%47.5%45.2%40.8%
IV Rank5.9%0.0%11.5%6.5%6.1%
IV Percentile4.0%0.0%17.9%1.6%3.6%
Term Structure3.9%-5.1%8.4%5.9%-0.2%
VWIV44.3%23.3%60.8%45.2%23.3%
Skew 25d4.5%-8.2%17.3%10.6%-8.2%
Skew 10d8.8%-8.3%35.9%14.7%-7.1%
Call IV 25d40.3%31.2%53.0%35.2%44.1%
Put IV 25d44.9%30.2%55.4%45.8%35.9%
Bid-Ask Spread %44.4716.9783.0024.8327.58
Gamma HHI0.650.460.770.700.48
Net GEX19.5K13.4K26.5K13.4K15.8K
Net DEX-869.2K-1.2M-452.6K-452.6K-992.1K
Net VEX-2.3K-2.7K-1.7K-1.8K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.008.330.000.00
Total Volume45.5450265374
Total OI2,243.4551,8952,3831,8952,251

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$9.95$10.0045.2%12.9%38.7%6.5%45.2%10.6%5.9%13.4K-452.6K-1.8K0.0024.833701,095800
2009-12-02$10.43$10.0044.1%12.7%40.1%5.9%0.0%17.3%5.9%16.1K-602.2K-1.7K0.0032.2217501,126800
2009-12-03$10.35$10.0046.9%13.5%39.4%7.6%0.0%17.0%3.4%17.4K-701.0K-2.2K0.0034.668101,275800
2009-12-04$10.77$7.5038.9%14.2%41.5%2.7%50.4%4.3%1.8%18.7K-851.0K-2.3K0.0050.9526501,349800
2009-12-07$10.33$7.5046.8%14.4%43.1%7.5%0.0%16.0%1.9%20.9K-786.8K-2.7K0.5043.5020101,503800
2009-12-08$10.07$7.5046.2%14.2%41.5%7.2%0.0%12.9%3.8%20.9K-706.0K-2.6K0.0046.14001,492796
2009-12-09$10.23$7.5045.9%14.4%41.7%7.0%50.4%10.6%2.8%21.3K-735.1K-2.6K0.0059.395401,488796
2009-12-10$10.08$7.5044.9%12.9%41.8%6.4%0.0%7.2%6.3%24.1K-685.0K-2.5K8.3359.053251,524796
2009-12-11$10.31$7.5044.6%12.8%42.5%6.2%44.6%8.6%6.9%24.2K-758.5K-2.6K0.0083.001801,527821
2009-12-14$10.40$7.5045.0%12.9%40.7%6.4%45.0%9.7%6.4%26.5K-816.4K-2.5K0.0057.464001,540821
2009-12-15$10.34$7.5046.2%13.2%39.9%7.2%44.6%-4.5%8.2%26.0K-818.7K-2.5K0.0032.541101,540821
2009-12-16$10.72$7.5045.7%13.1%39.9%6.8%39.7%-6.3%8.4%22.8K-952.8K-2.4K4.4059.485221,541821
2009-12-17$10.76$7.5049.6%14.2%39.4%9.2%0.0%15.4%4.2%21.7K-924.1K-2.4K0.0033.17001,540843
2009-12-18$10.78$7.5048.1%13.8%38.8%8.4%47.8%-4.5%5.9%20.0K-945.5K-2.4K0.0052.321001,540843
2009-12-21$11.07$7.5046.6%13.4%38.6%7.4%47.7%-1.4%2.1%22.3K-930.0K-2.1K0.0068.731701,416830
2009-12-22$11.22$7.5053.2%15.3%38.7%11.5%44.9%9.7%-5.1%19.6K-957.0K-2.3K0.0034.175501,421830
2009-12-23$11.58$7.5031.5%9.0%37.7%0.0%60.8%-6.8%6.8%18.2K-1.1M-2.1K0.0047.831201,424830
2009-12-24$11.80$7.5031.7%9.1%37.8%0.1%50.5%-2.2%6.1%13.7K-1.2M-1.8K0.0016.976501,414830
2009-12-28$11.85$7.5034.7%9.9%35.4%1.9%39.5%-3.2%2.6%14.4K-1.1M-2.0K1.2554.2220251,364830
2009-12-29$11.68$7.5039.2%11.2%36.0%4.7%0.0%0.0%-1.3%15.5K-1.1M-2.1K0.0035.53001,384855
2009-12-30$11.66$7.5035.3%10.1%36.2%2.3%30.2%-6.9%2.1%15.3K-1.1M-1.9K0.0024.670281,384855
2009-12-31$11.40$7.5041.5%11.9%34.6%6.1%23.3%-8.2%-0.2%15.8K-992.1K-2.1K0.0027.58401,384867