BDN Options History — December 2010

In December 2010, BDN traded between $10.22 and $11.65. ATM implied volatility averaged 63.1%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 37.2% (HV 20d: 26.0%). 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 13 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2010-12-10: Highest Volume — 244 contracts
2010-12-22: Largest IV spike — 165.2% change
2010-12-14: Highest IV Rank — 100.0%
2010-12-30: Largest Expected Move — 30.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.97	$10.22	$11.65	$11.30	$11.65
Max Pain	$12.16	$10.00	$12.50	$10.00	$12.50
ATM IV	63.1%	32.1%	123.7%	54.3%	67.8%
Expected Move	15.8%	9.2%	30.1%	15.6%	19.4%
HV 20d	26.0%	21.6%	28.9%	28.5%	26.3%
HV 60d	26.5%	24.6%	27.3%	27.3%	26.2%
IV Rank	44.9%	10.5%	100.0%	41.0%	45.4%
IV Percentile	80.4%	17.9%	100.0%	94.8%	95.6%
Term Structure	0.6%	-84.9%	67.1%	6.3%	-11.2%
VWIV	62.4%	33.4%	183.0%	33.4%	108.3%
Skew 25d	6.9%	-10.1%	27.0%	2.7%	9.7%
Skew 10d	16.0%	2.7%	49.3%	28.1%	26.8%
Call IV 25d	33.6%	20.4%	44.3%	37.3%	31.6%
Put IV 25d	40.5%	28.0%	55.8%	40.0%	41.3%
Bid-Ask Spread %	148.89	125.75	172.25	148.38	140.92
Gamma HHI	0.53	0.44	0.66	0.64	0.51
Net GEX	3.9K	652	6.9K	2.6K	6.5K
Net DEX	-112.1K	-251.8K	29.2K	-11.4K	-239.8K
Net VEX	-667	-1.0K	-236	-381	-841
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.00	3.00	0.00	1.00
Total Volume	15.909	0	244	0	2
Total OI	561.636	370	679	370	660

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
2010-12-01	$11.30	$10.00	54.3%	15.6%	28.5%	41.0%	0.0%	2.7%	6.3%	2.6K	-11.4K	-381	0.00	148.38	0	0	241	129
2010-12-02	$11.25	$10.00	41.2%	11.8%	28.5%	24.7%	0.0%	-6.5%	-13.4%	2.7K	-16.4K	-407	0.00	172.25	10	0	241	129
2010-12-03	$11.15	$10.00	99.9%	28.6%	28.4%	97.8%	0.0%	-10.1%	-84.9%	2.6K	-16.8K	-435	0.00	169.60	0	0	251	129
2010-12-06	$11.07	$12.50	45.8%	11.8%	27.6%	30.4%	33.4%	4.5%	3.9%	2.5K	-5.2K	-357	0.00	125.75	6	0	251	129
2010-12-07	$10.92	$12.50	57.0%	9.8%	27.6%	44.4%	0.0%	12.2%	17.9%	2.6K	-4.4K	-340	0.00	131.99	0	0	248	129
2010-12-08	$10.73	$12.50	63.5%	11.9%	24.6%	52.4%	43.7%	15.3%	36.2%	1.7K	11.7K	-333	0.00	144.04	0	1	248	129
2010-12-09	$10.47	$12.50	51.2%	10.4%	23.8%	37.2%	0.0%	7.9%	5.5%	961	29.2K	-266	0.00	143.53	50	0	248	130
2010-12-10	$10.55	$12.50	53.7%	10.1%	24.1%	40.2%	34.8%	7.5%	3.2%	652	-17.6K	-236	0.20	138.60	204	40	298	130
2010-12-13	$10.66	$12.50	58.9%	9.2%	24.1%	46.7%	38.9%	-1.7%	2.1%	3.9K	-119.1K	-803	0.83	148.46	6	5	490	170
2010-12-14	$10.54	$12.50	123.7%	16.1%	23.7%	100.0%	0.0%	16.0%	-33.5%	5.8K	-141.5K	-838	0.00	142.44	0	5	496	175
2010-12-15	$10.32	$12.50	45.6%	13.1%	22.6%	23.7%	40.3%	-2.6%	-8.1%	4.9K	-113.0K	-1.0K	3.00	156.69	1	3	495	180
2010-12-16	$10.22	$12.50	60.7%	17.4%	21.6%	38.4%	62.4%	13.0%	-21.3%	5.4K	-92.9K	-996	0.00	160.66	2	0	495	183
2010-12-17	$10.41	$12.50	37.6%	10.8%	23.0%	15.8%	34.1%	10.2%	6.5%	3.3K	-85.9K	-868	0.00	144.76	2	0	496	183
2010-12-20	$10.64	$12.50	34.2%	9.8%	24.5%	12.6%	0.0%	21.1%	67.1%	3.2K	-103.5K	-779	0.00	142.97	0	0	483	174
2010-12-21	$10.89	$12.50	32.1%	9.2%	25.9%	10.5%	44.8%	-1.4%	39.8%	4.5K	-134.0K	-810	0.00	132.22	4	0	483	174
2010-12-22	$11.32	$12.50	85.2%	24.4%	28.9%	62.4%	0.0%	27.0%	7.0%	2.3K	-247.1K	-448	0.00	149.82	0	0	485	174
2010-12-23	$11.26	$12.50	34.0%	9.8%	27.7%	12.4%	0.0%	12.6%	0.2%	5.5K	-214.5K	-936	0.00	154.61	1	0	485	174
2010-12-27	$11.41	$12.50	50.5%	14.5%	28.1%	28.4%	0.0%	3.5%	8.2%	6.3K	-199.6K	-829	0.00	147.28	0	0	486	174
2010-12-28	$11.45	$12.50	100.2%	28.7%	27.7%	77.1%	0.0%	0.0%	-7.3%	4.9K	-245.5K	-969	0.00	162.90	0	0	486	174
2010-12-29	$11.58	$12.50	86.6%	24.8%	27.3%	63.8%	0.0%	0.0%	-8.9%	6.0K	-251.8K	-899	0.00	159.34	5	0	486	174
2010-12-30	$11.62	$12.50	105.0%	30.1%	26.4%	81.8%	183.0%	-2.7%	-1.1%	6.9K	-247.6K	-854	2.00	158.43	1	2	487	174
2010-12-31	$11.65	$12.50	67.8%	19.4%	26.3%	45.4%	108.3%	9.7%	-11.2%	6.5K	-239.8K	-841	1.00	140.92	1	1	486	174