BDN Options History — January 2010

In January 2010, BDN traded between $11.11 and $11.73. ATM implied volatility averaged 44.7%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 18.3% (HV 20d: 26.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.27.

Notable Days

2010-01-11: Highest Volume — 102 contracts
2010-01-22: Largest IV spike — 29.7% change
2010-01-11: Highest IV Rank — 15.7%
2010-01-04: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.43	$11.11	$11.73	$11.24	$11.23
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	44.7%	34.8%	57.4%	37.4%	44.3%
Expected Move	12.4%	10.0%	14.3%	14.3%	12.7%
HV 20d	26.5%	23.6%	35.0%	35.0%	26.3%
HV 60d	37.4%	34.1%	40.1%	40.0%	34.2%
IV Rank	8.0%	2.0%	15.7%	3.6%	7.8%
IV Percentile	9.6%	1.6%	36.9%	2.0%	7.9%
Term Structure	2.8%	-4.0%	19.0%	3.0%	11.9%
VWIV	44.0%	39.8%	49.3%	41.7%	45.7%
Skew 25d	5.6%	-17.6%	18.5%	-13.2%	8.8%
Skew 10d	3.6%	-20.9%	17.2%	-14.8%	12.1%
Call IV 25d	41.8%	33.3%	57.1%	50.1%	39.7%
Put IV 25d	47.4%	36.4%	53.5%	36.9%	48.5%
Bid-Ask Spread %	52.57	28.58	87.70	35.23	63.73
Gamma HHI	0.50	0.45	0.55	0.48	0.50
Net GEX	9.5K	7.6K	11.9K	8.9K	9.7K
Net DEX	-525.3K	-596.7K	-451.3K	-506.1K	-461.5K
Net VEX	-2.0K	-2.1K	-1.6K	-1.9K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	2.00	0.00	0.00
Total Volume	20.105	0	102	18	0
Total OI	1,454.947	933	1,943	1,819	1,027

Daily Data (19 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
2010-01-04	$11.24	$12.50	37.4%	14.3%	35.0%	3.6%	0.0%	-13.2%	3.0%	8.9K	-506.1K	-1.9K	0.00	35.23	18	0	952	867
2010-01-05	$11.35	$12.50	48.3%	13.1%	32.4%	10.2%	0.0%	-17.6%	2.2%	9.2K	-522.6K	-1.9K	0.00	40.12	38	0	961	867
2010-01-06	$11.49	$12.50	44.5%	12.4%	28.0%	7.9%	0.0%	-7.9%	3.5%	10.4K	-579.8K	-1.9K	0.00	29.91	0	0	991	867
2010-01-07	$11.60	$12.50	45.4%	12.8%	25.5%	8.4%	0.0%	-10.9%	1.6%	10.7K	-596.7K	-1.9K	0.83	28.58	12	10	991	867
2010-01-08	$11.55	$12.50	50.1%	12.8%	25.6%	11.3%	0.0%	-3.5%	2.3%	10.6K	-589.7K	-1.9K	0.00	42.80	16	0	989	862
2010-01-11	$11.55	$12.50	57.4%	12.6%	24.5%	15.7%	0.0%	6.7%	0.1%	10.8K	-584.3K	-1.8K	0.00	37.53	102	0	994	862
2010-01-12	$11.42	$12.50	49.9%	13.0%	24.6%	11.2%	0.0%	6.1%	0.4%	10.1K	-592.1K	-2.0K	0.00	34.73	20	0	1,081	862
2010-01-13	$11.67	$12.50	52.3%	12.3%	25.3%	12.6%	0.0%	18.5%	0.3%	11.9K	-565.6K	-2.1K	0.00	46.94	8	0	1,031	862
2010-01-14	$11.48	$12.50	44.3%	12.7%	26.2%	7.8%	0.0%	6.8%	1.0%	7.6K	-542.3K	-2.0K	0.00	50.68	25	0	1,039	862
2010-01-15	$11.44	$12.50	41.9%	12.0%	23.6%	6.3%	41.7%	14.9%	2.6%	7.9K	-541.8K	-2.1K	0.80	53.23	5	4	1,050	862
2010-01-19	$11.73	$12.50	41.6%	11.9%	24.9%	6.1%	0.0%	18.4%	-0.3%	8.4K	-501.0K	-2.0K	0.00	80.20	23	0	775	158
2010-01-20	$11.52	$12.50	43.9%	12.6%	26.1%	7.5%	0.0%	14.6%	1.8%	8.6K	-488.3K	-2.1K	2.00	53.06	2	4	798	158
2010-01-21	$11.22	$12.50	37.2%	10.7%	26.6%	3.5%	49.3%	6.6%	19.0%	8.4K	-451.3K	-2.0K	0.09	56.00	33	3	799	161
2010-01-22	$11.11	$12.50	48.3%	13.8%	26.4%	10.2%	43.6%	6.6%	0.4%	8.4K	-486.9K	-1.8K	0.83	65.12	12	10	832	158
2010-01-25	$11.39	$12.50	34.8%	10.0%	25.4%	2.0%	39.8%	10.7%	4.9%	9.5K	-479.4K	-2.1K	0.00	87.70	22	0	844	163
2010-01-26	$11.30	$12.50	43.8%	12.6%	24.4%	7.5%	45.7%	12.6%	-1.5%	9.7K	-482.4K	-2.1K	0.00	53.63	5	0	854	163
2010-01-27	$11.55	$12.50	40.6%	11.7%	25.8%	5.6%	0.0%	15.7%	3.0%	10.5K	-521.1K	-1.6K	0.00	54.25	1	0	854	163
2010-01-28	$11.34	$12.50	43.8%	12.6%	26.1%	7.5%	0.0%	12.4%	-4.0%	9.7K	-488.4K	-2.1K	0.00	85.46	9	0	855	163
2010-01-29	$11.23	$12.50	44.3%	12.7%	26.3%	7.8%	0.0%	8.8%	11.9%	9.7K	-461.5K	-2.0K	0.00	63.73	0	0	864	163