BDN Options History — September 2010

In September 2010, BDN traded between $11.41 and $12.62. ATM implied volatility averaged 34.1%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.7% (HV 20d: 27.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2010-09-21: Highest Volume — 45 contracts
2010-09-28: Largest IV spike — 51.0% change
2010-09-28: Highest IV Rank — 48.4%
2010-09-28: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.04	$11.41	$12.62	$11.41	$12.25
Max Pain	$12.26	$10.00	$12.50	$10.00	$12.50
ATM IV	34.1%	23.0%	43.6%	33.7%	30.7%
Expected Move	10.0%	6.6%	12.5%	9.7%	8.8%
HV 20d	27.3%	19.6%	33.0%	32.8%	30.3%
HV 60d	34.2%	32.4%	36.0%	35.9%	32.4%
IV Rank	24.3%	0.0%	48.4%	22.4%	18.2%
IV Percentile	21.0%	0.0%	54.0%	14.7%	7.9%
Term Structure	3.7%	-15.0%	17.0%	-15.0%	12.5%
VWIV	36.3%	32.6%	41.0%	36.5%	41.0%
Skew 25d	11.6%	-8.1%	96.2%	7.0%	26.5%
Skew 10d	12.6%	-7.0%	136.9%	6.5%	22.0%
Call IV 25d	32.6%	22.6%	40.6%	32.6%	28.2%
Put IV 25d	44.2%	29.6%	130.3%	39.6%	54.6%
Bid-Ask Spread %	117.53	102.14	133.92	108.70	119.75
Gamma HHI	0.77	0.60	0.91	0.60	0.82
Net GEX	13.4K	6.8K	25.6K	6.8K	14.5K
Net DEX	-131.4K	-212.0K	-45.5K	-45.5K	-144.3K
Net VEX	-1.2K	-1.3K	-1.1K	-1.2K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.00	5.00	0.00	2.00
Total Volume	8.714	0	45	5	15
Total OI	855.952	807	896	831	868

Daily Data (21 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
2010-09-01	$11.41	$10.00	33.7%	9.7%	32.8%	22.4%	36.5%	7.0%	-15.0%	6.8K	-45.5K	-1.2K	0.00	108.70	5	0	583	248
2010-09-02	$11.59	$10.00	32.4%	9.3%	32.7%	19.2%	32.6%	4.3%	-4.7%	8.4K	-52.1K	-1.2K	0.00	107.51	4	0	583	248
2010-09-03	$11.81	$12.50	25.4%	9.7%	33.0%	2.1%	0.0%	-6.2%	3.3%	10.1K	-102.1K	-1.3K	1.31	113.25	13	17	583	248
2010-09-07	$11.65	$12.50	31.0%	10.6%	32.8%	15.8%	0.0%	-8.1%	-2.0%	9.1K	-80.0K	-1.2K	0.00	118.65	0	0	596	253
2010-09-08	$11.75	$12.50	32.2%	9.8%	30.8%	18.7%	0.0%	-7.6%	4.6%	9.9K	-81.1K	-1.2K	0.00	113.06	0	0	596	253
2010-09-09	$11.83	$12.50	40.0%	11.5%	24.1%	37.8%	0.0%	-7.6%	-2.7%	9.5K	-82.1K	-1.1K	0.00	113.60	10	0	596	253
2010-09-10	$12.00	$12.50	34.7%	10.0%	22.5%	25.0%	0.0%	5.7%	7.6%	12.6K	-123.4K	-1.3K	0.00	121.89	0	0	605	253
2010-09-13	$12.32	$12.50	32.6%	9.4%	23.4%	19.9%	35.3%	96.2%	1.8%	16.2K	-167.2K	-1.2K	0.00	113.86	35	0	605	253
2010-09-14	$12.24	$12.50	39.6%	11.3%	23.9%	36.8%	0.0%	1.2%	-1.7%	17.9K	-194.8K	-1.3K	0.00	108.78	0	0	640	253
2010-09-15	$12.28	$12.50	35.8%	10.3%	21.5%	27.4%	0.0%	1.7%	5.4%	19.2K	-182.9K	-1.2K	0.00	102.14	0	0	640	253
2010-09-16	$12.27	$12.50	38.0%	10.9%	21.4%	33.0%	0.0%	1.5%	1.1%	19.8K	-185.0K	-1.2K	0.00	127.44	3	0	640	253
2010-09-17	$12.36	$12.50	37.7%	10.8%	19.6%	32.3%	36.6%	3.2%	-0.6%	25.6K	-185.3K	-1.2K	0.00	105.77	4	0	643	253
2010-09-20	$12.62	$12.50	35.5%	10.2%	19.9%	27.0%	37.1%	4.8%	2.7%	16.4K	-212.0K	-1.1K	5.00	120.98	2	10	569	238
2010-09-21	$12.34	$12.50	37.6%	10.8%	22.5%	32.0%	34.6%	10.8%	-2.7%	13.0K	-194.4K	-1.2K	0.80	133.92	25	20	571	238
2010-09-22	$12.06	$12.50	23.0%	6.6%	24.9%	0.0%	0.0%	13.1%	14.0%	15.4K	-92.8K	-1.1K	0.00	129.85	0	0	596	258
2010-09-23	$11.64	$12.50	29.6%	8.5%	28.6%	15.5%	0.0%	5.3%	5.7%	8.7K	-59.8K	-1.1K	0.00	133.53	0	0	596	258
2010-09-24	$12.18	$12.50	41.7%	11.9%	32.3%	43.9%	0.0%	25.2%	10.0%	10.1K	-174.1K	-1.1K	0.00	117.02	14	0	596	258
2010-09-27	$12.05	$12.50	28.8%	8.3%	32.7%	13.8%	0.0%	17.1%	11.3%	13.4K	-108.1K	-1.1K	0.00	122.13	6	0	604	258
2010-09-28	$12.17	$12.50	43.6%	12.5%	32.1%	48.4%	0.0%	27.1%	17.0%	11.2K	-173.5K	-1.1K	0.00	120.93	0	0	610	258
2010-09-29	$12.07	$12.50	31.7%	9.1%	32.4%	20.5%	0.0%	22.9%	9.1%	13.0K	-119.8K	-1.1K	0.00	115.47	0	0	610	258
2010-09-30	$12.25	$12.50	30.7%	8.8%	30.3%	18.2%	41.0%	26.5%	12.5%	14.5K	-144.3K	-1.1K	2.00	119.75	5	10	610	258