BDN Options History — January 2011

In January 2011, BDN traded between $11.09 and $11.99. ATM implied volatility averaged 44.5%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 19.2% (HV 20d: 25.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.14.

Notable Days

2011-01-04: Highest Volume — 66 contracts
2011-01-14: Largest IV spike — 201.1% change
2011-01-20: Highest IV Rank — 76.6%
2011-01-20: Largest Expected Move — 28.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.52	$11.09	$11.99	$11.99	$11.60
Max Pain	$12.25	$10.00	$12.50	$12.50	$12.50
ATM IV	44.5%	26.2%	99.7%	30.3%	26.6%
Expected Move	13.2%	7.5%	28.6%	8.7%	7.6%
HV 20d	25.4%	19.8%	30.4%	27.6%	24.6%
HV 60d	26.8%	25.5%	27.9%	26.9%	26.2%
IV Rank	22.7%	4.7%	76.6%	8.8%	5.1%
IV Percentile	49.2%	2.4%	98.0%	11.1%	3.6%
Term Structure	-3.5%	-52.6%	41.0%	0.7%	10.4%
VWIV	40.5%	35.0%	46.0%	46.0%	35.0%
Skew 25d	13.1%	-1.5%	84.5%	84.5%	8.4%
Skew 10d	14.1%	-8.4%	95.3%	95.3%	13.0%
Call IV 25d	34.1%	23.5%	43.8%	28.7%	33.6%
Put IV 25d	47.2%	25.8%	113.2%	113.2%	42.0%
Bid-Ask Spread %	120.93	106.38	148.31	109.10	106.38
Gamma HHI	0.59	0.50	0.86	0.56	0.61
Net GEX	6.4K	2.7K	10.1K	10.1K	4.6K
Net DEX	-241.4K	-310.6K	-190.6K	-242.6K	-234.5K
Net VEX	-664	-800	-545	-730	-558
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	1.00	0.00	1.00
Total Volume	12.35	0	66	39	1
Total OI	593.5	326	705	660	374

Daily Data (20 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
2011-01-03	$11.99	$12.50	30.3%	8.7%	27.6%	8.8%	0.0%	84.5%	0.7%	10.1K	-242.6K	-730	0.00	109.10	39	0	486	174
2011-01-04	$11.60	$12.50	31.9%	9.2%	30.4%	10.3%	46.0%	10.9%	7.7%	8.2K	-205.7K	-757	0.00	116.52	66	0	483	174
2011-01-05	$11.72	$10.00	39.2%	11.2%	29.9%	17.4%	0.0%	2.4%	-26.2%	8.7K	-284.1K	-800	0.00	118.62	0	0	531	174
2011-01-06	$11.73	$10.00	52.0%	14.9%	28.9%	29.9%	0.0%	2.6%	-24.8%	8.2K	-310.6K	-765	0.00	116.24	0	0	531	174
2011-01-07	$11.74	$12.50	44.4%	8.2%	26.8%	22.5%	0.0%	4.8%	3.9%	9.3K	-295.3K	-757	0.00	118.27	0	0	531	174
2011-01-10	$11.67	$12.50	36.6%	15.2%	27.1%	14.9%	0.0%	51.3%	-1.3%	8.8K	-274.1K	-673	0.00	134.44	0	40	531	174
2011-01-11	$11.59	$12.50	37.3%	8.7%	27.4%	15.6%	0.0%	4.8%	4.8%	8.4K	-274.2K	-638	0.00	113.33	0	0	531	164
2011-01-12	$11.57	$12.50	42.5%	23.0%	26.9%	20.6%	0.0%	22.0%	13.3%	8.4K	-269.9K	-622	0.00	131.91	0	0	531	164
2011-01-13	$11.48	$12.50	26.2%	7.5%	25.5%	4.7%	0.0%	6.6%	-0.4%	8.7K	-261.7K	-598	0.00	117.21	0	0	531	164
2011-01-14	$11.41	$12.50	78.9%	22.6%	25.3%	56.2%	0.0%	-1.5%	-12.7%	7.1K	-238.0K	-683	0.00	148.31	0	0	531	164
2011-01-18	$11.37	$12.50	30.5%	8.7%	25.0%	8.9%	0.0%	3.0%	-6.4%	6.2K	-223.9K	-631	0.00	117.98	0	0	531	164
2011-01-19	$11.18	$12.50	46.9%	13.5%	25.2%	25.0%	0.0%	5.1%	-2.2%	4.4K	-198.9K	-594	0.00	118.51	0	0	531	164
2011-01-20	$11.09	$12.50	99.7%	28.6%	24.2%	76.6%	0.0%	3.4%	-52.6%	2.7K	-190.6K	-660	0.00	132.55	0	0	531	164
2011-01-21	$11.16	$12.50	32.1%	9.2%	19.8%	10.5%	0.0%	2.3%	41.0%	3.4K	-194.7K	-639	0.00	115.99	48	0	531	164
2011-01-24	$11.39	$12.50	31.6%	9.1%	21.1%	10.0%	0.0%	6.9%	-1.5%	3.4K	-205.0K	-545	0.00	115.00	26	0	281	45
2011-01-25	$11.66	$12.50	65.6%	18.8%	22.2%	43.3%	0.0%	25.9%	5.8%	3.6K	-230.7K	-601	0.00	122.28	19	0	307	45
2011-01-26	$11.50	$12.50	38.4%	11.0%	22.8%	16.7%	0.0%	5.3%	-9.7%	4.3K	-226.9K	-727	0.00	119.02	4	0	326	45
2011-01-27	$11.61	$12.50	65.7%	18.8%	22.7%	43.4%	0.0%	11.6%	-9.7%	4.6K	-241.9K	-623	1.00	132.65	2	2	330	45
2011-01-28	$11.39	$12.50	34.3%	9.8%	23.6%	12.7%	0.0%	1.9%	-10.6%	4.3K	-223.9K	-669	0.00	114.35	0	0	330	45
2011-01-31	$11.60	$12.50	26.6%	7.6%	24.6%	5.1%	35.0%	8.4%	10.4%	4.6K	-234.5K	-558	0.00	106.38	0	1	329	45