BDN Options History — June 2010

In June 2010, BDN traded between $10.75 and $12.18. ATM implied volatility averaged 38.5%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 11.3% (HV 20d: 49.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.05.

Notable Days

  • 2010-06-21: Highest Volume — 49 contracts
  • 2010-06-04: Largest IV spike — 38.0% change
  • 2010-06-29: Highest IV Rank — 57.6%
  • 2010-06-08: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.48$10.75$12.18$11.26$10.75
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV38.5%26.8%52.5%42.7%46.5%
Expected Move11.7%7.7%15.5%12.3%13.3%
HV 20d49.8%39.5%56.8%53.6%41.1%
HV 60d45.3%42.9%46.4%42.9%46.0%
IV Rank23.4%0.0%57.6%27.9%44.2%
IV Percentile23.5%0.0%65.1%31.0%50.0%
Term Structure4.0%-8.3%21.7%-8.3%5.5%
VWIV39.8%27.1%52.2%27.1%52.2%
Skew 25d-0.6%-15.2%20.4%-15.2%-10.8%
Skew 10d2.8%-7.6%17.1%-7.6%-2.1%
Call IV 25d40.9%20.2%58.5%50.3%58.1%
Put IV 25d40.3%31.8%53.4%35.1%47.3%
Bid-Ask Spread %36.1224.6649.0948.7929.93
Gamma HHI0.600.430.730.550.43
Net GEX16.5K11.5K23.8K13.7K11.6K
Net DEX-395.9K-578.7K-204.8K-360.0K-204.8K
Net VEX-1.9K-2.2K-1.4K-2.2K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.600.600.00
Total Volume9.68204902
Total OI1,367.1821,3101,4101,3591,358

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$11.26$10.0042.7%12.3%53.6%27.9%0.0%-15.2%-8.3%13.7K-360.0K-2.2K0.0048.79001,042317
2010-06-02$11.59$10.0031.0%8.9%54.6%6.2%0.0%20.4%21.7%15.4K-425.4K-2.2K0.6044.78531,042317
2010-06-03$11.74$10.0026.8%7.7%55.0%0.0%27.1%4.9%13.9%16.9K-464.9K-2.1K0.0049.091001,047317
2010-06-04$11.09$10.0037.0%14.4%56.8%18.5%43.3%5.6%-0.3%13.0K-309.2K-2.0K0.0026.961501,056317
2010-06-07$10.84$10.0043.2%15.4%56.1%29.8%46.6%4.4%-2.3%11.5K-251.1K-1.9K0.0031.342001,041317
2010-06-08$11.02$10.0040.6%15.5%50.9%25.0%42.2%9.7%-3.4%12.7K-285.9K-2.0K0.0028.23201,036317
2010-06-09$11.03$10.0039.9%14.9%50.2%25.4%0.0%4.6%-1.4%12.9K-287.7K-1.9K0.0024.660101,036317
2010-06-10$11.64$10.0043.3%12.4%54.2%31.9%0.0%11.3%2.8%15.8K-411.2K-2.0K0.0029.01001,036327
2010-06-11$11.77$10.0041.1%11.8%54.3%27.7%0.0%10.3%5.0%17.1K-452.4K-2.0K0.0031.991001,036327
2010-06-14$11.88$10.0040.2%11.5%53.2%25.9%0.0%-4.7%4.5%18.5K-478.1K-1.9K0.0034.902001,046327
2010-06-15$12.18$10.0036.8%10.5%53.9%19.4%36.9%-1.8%6.9%23.8K-578.7K-1.8K0.0033.552201,061327
2010-06-16$12.07$10.0041.4%11.9%53.4%28.4%0.0%-3.2%1.0%21.8K-546.4K-2.0K0.0035.07001,083327
2010-06-17$12.00$10.0040.3%11.6%53.0%26.2%0.0%-3.8%2.1%21.2K-527.3K-1.9K0.0036.19001,083327
2010-06-18$11.98$10.0035.9%10.3%47.7%18.7%36.1%-2.5%7.3%21.8K-518.5K-1.8K0.0036.631401,083327
2010-06-21$11.86$10.0036.4%10.4%46.5%19.8%36.6%-2.8%7.0%18.1K-473.0K-1.7K0.0037.614901,017293
2010-06-22$11.43$10.0032.7%9.4%46.7%12.3%37.7%-6.7%6.7%16.6K-393.9K-1.8K0.0040.141001,066293
2010-06-23$11.49$10.0032.5%9.3%46.7%11.8%0.0%-5.8%6.9%17.1K-404.2K-1.8K0.0040.240101,066293
2010-06-24$11.32$10.0036.0%10.3%46.3%20.4%0.0%-10.7%3.2%16.1K-352.8K-1.7K0.0039.56001,066303
2010-06-25$11.52$10.0032.0%9.2%39.5%11.4%0.0%-0.9%8.1%18.0K-419.6K-1.7K0.0040.96001,066303
2010-06-28$11.36$10.0038.7%11.1%39.8%26.6%0.0%-10.8%-1.3%16.5K-358.2K-1.7K0.0041.56001,066303
2010-06-29$10.78$10.0052.5%15.1%42.7%57.6%52.2%-5.2%2.7%12.3K-207.6K-1.4K0.0033.361101,046303
2010-06-30$10.75$10.0046.5%13.3%41.1%44.2%0.0%-10.8%5.5%11.6K-204.8K-1.4K0.0029.93201,055303