BDN Options History — February 2011

In February 2011, BDN traded between $11.75 and $12.32. ATM implied volatility averaged 31.9%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 11.5% (HV 20d: 20.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.05.

Notable Days

2011-02-16: Highest Volume — 1,110 contracts
2011-02-09: Largest IV spike — 47.0% change
2011-02-09: Highest IV Rank — 34.6%
2011-02-09: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.01	$11.75	$12.32	$11.78	$12.30
Max Pain	$11.97	$10.00	$12.50	$12.50	$10.00
ATM IV	31.9%	25.0%	56.8%	32.0%	29.3%
Expected Move	8.6%	6.2%	12.4%	9.2%	8.4%
HV 20d	20.5%	18.9%	22.9%	22.9%	20.6%
HV 60d	24.1%	22.9%	26.4%	26.4%	23.5%
IV Rank	10.3%	3.5%	34.6%	10.4%	7.8%
IV Percentile	22.4%	1.6%	90.9%	19.4%	12.3%
Term Structure	-2.1%	-27.9%	10.2%	1.8%	8.0%
VWIV	27.6%	17.7%	36.8%	24.9%	36.8%
Skew 25d	21.3%	-5.3%	59.8%	25.3%	12.1%
Skew 10d	22.8%	-7.5%	79.2%	10.5%	7.6%
Call IV 25d	29.1%	13.5%	41.8%	25.2%	32.2%
Put IV 25d	50.4%	23.5%	93.5%	50.5%	44.2%
Bid-Ask Spread %	112.12	99.34	130.45	115.65	112.39
Gamma HHI	0.65	0.48	0.93	0.58	0.93
Net GEX	15.2K	3.9K	32.0K	3.9K	31.6K
Net DEX	-517.9K	-957.3K	-247.1K	-247.1K	-957.3K
Net VEX	-1.8K	-4.0K	-535	-656	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.50	0.00	0.50
Total Volume	66.263	0	1,110	9	1
Total OI	831.211	375	1,534	375	1,534

Daily Data (19 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
2011-02-01	$11.78	$12.50	32.0%	9.2%	22.9%	10.4%	0.0%	25.3%	1.8%	3.9K	-247.1K	-656	0.00	115.65	9	0	329	46
2011-02-02	$11.79	$12.50	38.3%	11.0%	19.5%	16.5%	0.0%	34.3%	-12.7%	4.6K	-258.8K	-629	0.00	116.88	4	0	338	46
2011-02-03	$11.75	$12.50	37.9%	10.9%	19.2%	16.1%	0.0%	22.3%	-27.9%	4.8K	-258.0K	-565	0.00	119.03	4	0	342	46
2011-02-04	$11.77	$12.50	28.0%	6.2%	19.2%	6.4%	24.9%	-2.7%	1.3%	5.6K	-257.8K	-564	0.00	109.57	14	0	346	46
2011-02-07	$12.00	$12.50	33.8%	6.9%	20.4%	12.1%	0.0%	45.7%	-0.9%	6.3K	-285.2K	-562	0.00	111.31	27	0	360	46
2011-02-08	$12.10	$12.50	38.6%	8.2%	20.4%	16.9%	0.0%	-2.5%	-3.3%	7.6K	-311.7K	-535	0.10	105.94	20	2	378	46
2011-02-09	$11.90	$12.50	56.8%	12.4%	21.2%	34.6%	0.0%	3.6%	-12.1%	6.4K	-295.1K	-610	0.00	130.45	0	0	398	47
2011-02-10	$11.95	$12.50	31.8%	9.1%	21.2%	10.2%	0.0%	4.8%	-2.2%	6.2K	-305.9K	-708	0.00	117.89	0	0	398	47
2011-02-11	$12.16	$12.50	26.3%	7.5%	21.6%	4.8%	29.3%	45.2%	1.0%	7.8K	-327.0K	-609	0.00	103.68	9	0	398	47
2011-02-14	$12.25	$12.50	28.1%	8.0%	21.4%	6.5%	30.9%	53.9%	-3.7%	6.8K	-344.2K	-642	0.00	105.82	6	0	407	47
2011-02-15	$12.14	$12.50	29.8%	8.5%	21.7%	8.3%	0.0%	10.4%	4.3%	6.1K	-340.4K	-667	0.00	119.94	0	0	413	47
2011-02-16	$12.21	$12.50	27.8%	8.0%	20.4%	6.3%	0.0%	59.8%	1.2%	6.9K	-335.2K	-684	0.00	116.16	1,110	0	413	47
2011-02-17	$12.32	$12.50	31.3%	9.0%	19.9%	9.7%	0.0%	-5.3%	-1.1%	32.0K	-951.7K	-4.0K	0.00	99.34	10	0	1,473	47
2011-02-18	$12.14	$12.50	25.9%	7.4%	21.1%	4.4%	26.1%	56.6%	3.8%	31.3K	-918.5K	-3.9K	0.00	101.95	4	0	1,483	47
2011-02-22	$12.03	$12.50	25.0%	7.2%	20.7%	3.5%	17.7%	13.5%	10.2%	30.2K	-895.1K	-3.8K	0.00	111.70	9	0	1,483	46
2011-02-23	$11.92	$10.00	27.8%	8.0%	19.6%	6.3%	0.0%	9.3%	-0.5%	30.1K	-879.9K	-3.7K	0.50	110.08	20	10	1,488	46
2011-02-24	$11.83	$10.00	26.5%	7.6%	19.0%	5.0%	0.0%	9.3%	0.0%	30.2K	-829.5K	-3.6K	0.00	111.07	0	0	1,488	46
2011-02-25	$11.89	$10.00	32.2%	9.2%	18.9%	10.6%	0.0%	8.9%	-7.8%	29.7K	-840.9K	-3.6K	0.00	111.38	0	0	1,488	46
2011-02-28	$12.30	$10.00	29.3%	8.4%	20.6%	7.8%	36.8%	12.1%	8.0%	31.6K	-957.3K	-3.7K	0.00	112.39	0	1	1,488	46