BDN Options History — August 2010

In August 2010, BDN traded between $10.58 and $11.73. ATM implied volatility averaged 36.4%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 1.1% (HV 20d: 35.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.32.

Notable Days

2010-08-19: Highest Volume — 60 contracts
2010-08-03: Largest IV spike — 32.8% change
2010-08-24: Highest IV Rank — 59.7%
2010-08-24: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.06	$10.58	$11.73	$11.73	$10.99
Max Pain	$11.36	$10.00	$12.50	$10.00	$10.00
ATM IV	36.4%	24.5%	49.0%	24.5%	35.5%
Expected Move	10.7%	7.0%	14.0%	7.0%	10.2%
HV 20d	35.2%	29.5%	40.4%	40.0%	29.5%
HV 60d	40.8%	35.2%	45.0%	45.0%	35.2%
IV Rank	28.5%	0.0%	59.7%	0.0%	26.9%
IV Percentile	24.8%	0.0%	65.5%	0.0%	20.2%
Term Structure	4.8%	-4.0%	20.4%	10.6%	9.5%
VWIV	34.9%	25.0%	49.0%	25.0%	33.4%
Skew 25d	6.7%	-5.3%	19.9%	6.2%	0.0%
Skew 10d	15.6%	-3.8%	50.5%	3.3%	-0.7%
Call IV 25d	33.2%	26.0%	38.3%	26.0%	36.9%
Put IV 25d	39.8%	30.8%	54.1%	32.2%	36.9%
Bid-Ask Spread %	75.23	47.19	109.50	47.23	109.34
Gamma HHI	0.58	0.52	0.65	0.60	0.55
Net GEX	5.9K	3.8K	9.5K	7.9K	4.0K
Net DEX	-66.3K	-166.9K	4.8K	-143.4K	4.5K
Net VEX	-1.2K	-1.4K	-1.0K	-1.3K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.00	2.00	0.00	0.00
Total Volume	11.545	0	60	40	0
Total OI	816.455	752	854	752	831

Daily Data (22 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
2010-08-02	$11.73	$10.00	24.5%	7.0%	40.0%	0.0%	25.0%	6.2%	10.6%	7.9K	-143.4K	-1.3K	0.00	47.23	40	0	541	211
2010-08-03	$11.57	$10.00	32.5%	9.3%	35.3%	17.1%	0.0%	-1.0%	-4.0%	8.3K	-142.3K	-1.4K	0.00	57.32	20	0	579	211
2010-08-04	$11.54	$10.00	26.4%	7.6%	34.8%	4.1%	0.0%	6.8%	7.4%	8.4K	-145.0K	-1.4K	0.00	68.77	1	0	599	211
2010-08-05	$11.35	$10.00	27.2%	7.8%	35.1%	5.8%	0.0%	5.2%	8.5%	7.5K	-121.2K	-1.4K	0.00	47.19	4	0	600	211
2010-08-06	$11.51	$12.50	27.6%	10.0%	33.2%	6.6%	0.0%	5.8%	0.7%	8.4K	-137.3K	-1.4K	0.00	52.73	0	0	604	211
2010-08-09	$11.72	$12.50	29.0%	10.1%	33.5%	9.6%	0.0%	-3.9%	2.7%	9.5K	-166.9K	-1.4K	2.00	50.39	10	20	604	211
2010-08-10	$11.36	$12.50	33.1%	9.8%	35.6%	18.2%	0.0%	6.6%	3.0%	8.0K	-127.4K	-1.3K	0.00	51.22	0	0	614	201
2010-08-11	$10.81	$12.50	36.3%	12.5%	40.1%	28.6%	0.0%	14.9%	3.0%	5.1K	-63.5K	-1.2K	0.00	53.61	0	0	614	201
2010-08-12	$10.60	$12.50	44.5%	12.7%	40.4%	48.4%	0.0%	13.1%	2.1%	4.1K	-40.1K	-1.1K	0.00	52.01	0	2	614	201
2010-08-13	$10.58	$12.50	44.5%	12.7%	39.3%	48.7%	0.0%	12.5%	1.1%	4.0K	-39.1K	-1.1K	0.00	52.71	0	0	614	201
2010-08-16	$10.61	$12.50	44.7%	12.8%	38.9%	49.3%	0.0%	19.9%	0.6%	3.8K	-33.7K	-1.0K	0.00	51.92	1	0	614	201
2010-08-17	$10.99	$12.50	43.5%	12.5%	39.7%	46.3%	0.0%	13.2%	4.0%	5.9K	-71.7K	-1.1K	0.00	62.21	10	0	614	201
2010-08-18	$10.97	$12.50	43.1%	12.4%	37.6%	45.5%	0.0%	10.8%	-0.1%	6.1K	-75.2K	-1.1K	0.00	59.76	0	10	623	201
2010-08-19	$10.78	$12.50	44.5%	12.8%	34.4%	48.8%	0.0%	10.7%	2.4%	5.4K	-61.5K	-1.1K	1.00	99.04	30	30	623	201
2010-08-20	$10.75	$12.50	45.2%	13.0%	34.3%	50.5%	0.0%	12.9%	1.6%	5.1K	-35.1K	-1.1K	0.00	100.58	0	25	623	231
2010-08-23	$10.75	$12.50	37.1%	10.6%	33.2%	30.8%	32.4%	8.2%	15.2%	5.0K	-16.3K	-1.2K	0.17	103.62	12	2	593	220
2010-08-24	$10.80	$10.00	49.0%	14.0%	33.2%	59.7%	49.0%	12.0%	-1.7%	4.3K	3.0K	-1.1K	0.00	99.91	0	32	585	222
2010-08-25	$10.94	$10.00	34.2%	9.8%	33.4%	23.5%	33.4%	0.1%	10.3%	4.2K	4.8K	-1.2K	0.00	109.50	5	0	585	248
2010-08-26	$10.97	$10.00	33.1%	9.5%	31.7%	21.0%	0.0%	-1.5%	20.4%	5.0K	-37.5K	-1.3K	0.00	109.12	0	0	583	248
2010-08-27	$11.08	$10.00	30.7%	8.8%	31.9%	15.2%	0.0%	-0.4%	12.1%	4.1K	4.0K	-1.1K	0.00	108.11	0	0	583	248
2010-08-30	$10.93	$10.00	33.9%	9.7%	29.6%	23.0%	0.0%	-5.3%	-2.7%	4.8K	-18.8K	-1.1K	0.00	108.78	0	0	583	248
2010-08-31	$10.99	$10.00	35.5%	10.2%	29.5%	26.9%	0.0%	0.0%	9.5%	4.0K	4.5K	-1.1K	0.00	109.34	0	0	583	248