BDN Options History — March 2011

In March 2011, BDN traded between $11.58 and $12.31. ATM implied volatility averaged 25.0%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.7% (HV 20d: 23.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.49.

Notable Days

  • 2011-03-31: Highest Volume — 1,680 contracts
  • 2011-03-08: Largest IV spike — 40.4% change
  • 2011-03-08: Highest IV Rank — 12.7%
  • 2011-03-15: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.93$11.58$12.31$11.93$12.14
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV25.0%18.0%34.4%24.2%28.8%
Expected Move7.3%5.2%9.0%6.9%8.2%
HV 20d23.4%17.8%24.8%23.2%17.8%
HV 60d23.1%20.3%24.6%24.3%20.3%
IV Rank4.9%0.0%12.7%2.8%10.2%
IV Percentile7.0%0.0%38.5%0.8%17.9%
Term Structure5.4%-5.4%19.6%1.0%-5.4%
VWIV31.0%19.9%39.0%39.0%28.0%
Skew 25d7.8%-3.2%21.1%7.1%2.3%
Skew 10d10.1%-5.5%36.8%2.5%1.1%
Call IV 25d26.0%15.9%36.3%30.8%27.2%
Put IV 25d33.8%25.8%45.3%38.0%29.4%
Bid-Ask Spread %107.20101.67113.77110.85105.50
Gamma HHI0.920.810.990.880.98
Net GEX33.4K30.8K42.9K31.0K42.9K
Net DEX-875.3K-1.0M-754.2K-885.7K-963.2K
Net VEX-3.6K-3.9K-3.4K-3.6K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.0019.670.000.00
Total Volume94.1301,68021,680
Total OI1,697.4351,5351,8971,5351,897

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$11.93$10.0024.2%6.9%23.2%2.8%0.0%7.1%1.0%31.0K-885.7K-3.6K0.00110.85021,48847
2011-03-02$11.89$10.0023.4%6.7%22.6%2.0%0.0%16.9%3.2%30.8K-841.5K-3.5K0.00112.50001,48847
2011-03-03$12.17$10.0025.0%7.2%24.0%3.5%0.0%17.9%14.4%31.7K-930.9K-3.7K0.00113.77001,48847
2011-03-04$12.06$10.0023.5%8.7%24.3%2.1%0.0%14.5%3.8%31.6K-908.1K-3.6K0.00104.98001,48847
2011-03-07$12.03$10.0024.5%8.5%24.3%3.1%0.0%16.1%3.5%31.6K-897.2K-3.6K0.00107.73001,48847
2011-03-08$12.31$10.0034.4%9.0%24.7%12.7%39.0%1.2%2.5%33.7K-981.5K-3.7K0.00103.782101,48847
2011-03-09$12.29$10.0027.0%8.0%24.6%5.5%34.3%2.2%5.2%35.2K-1.0M-3.6K1.44103.0518261,50747
2011-03-10$12.12$10.0024.9%7.1%24.3%3.4%37.3%2.6%7.4%34.6K-946.2K-3.7K0.55101.7851281,52473
2011-03-11$12.08$10.0029.1%8.3%24.4%7.5%0.0%12.4%1.7%35.3K-936.9K-3.7K19.67107.133591,569101
2011-03-14$11.98$10.0025.4%7.3%23.7%3.9%0.0%8.0%5.6%32.0K-916.3K-3.7K0.00106.70201,566133
2011-03-15$11.77$10.0031.4%9.0%24.2%9.8%27.5%-3.2%-3.3%31.4K-814.1K-3.5K0.28106.8340111,568133
2011-03-16$11.58$10.0023.9%6.8%24.6%2.4%0.0%13.5%6.0%32.7K-754.2K-3.7K1.83110.1412221,608143
2011-03-17$11.69$10.0026.3%7.5%24.8%4.8%0.0%5.1%5.1%30.8K-779.5K-3.7K0.00111.07051,618165
2011-03-18$11.72$10.0018.0%5.2%24.6%0.0%19.9%5.4%11.4%32.0K-779.4K-3.9K0.00108.251601,618170
2011-03-21$11.83$10.0022.6%6.5%24.5%4.4%0.0%5.5%10.0%31.2K-853.2K-3.7K0.00110.671101,601162
2011-03-22$11.84$10.0020.0%5.7%24.3%1.9%0.0%18.7%19.6%31.7K-847.5K-3.6K0.00102.171201,611162
2011-03-23$11.83$10.0020.4%5.8%24.1%2.3%0.0%21.1%15.4%31.8K-832.7K-3.6K0.00101.67901,622162
2011-03-24$11.67$10.0022.3%6.4%24.4%4.1%0.0%-2.0%4.8%35.0K-779.2K-3.7K0.00109.52001,631162
2011-03-25$11.72$10.0024.8%7.1%24.4%6.4%0.0%-0.2%3.2%33.2K-804.1K-3.5K0.00110.45501,631162
2011-03-28$11.75$10.0027.0%7.7%20.8%8.5%0.0%10.2%2.2%33.7K-823.3K-3.4K0.00110.711301,636162
2011-03-29$11.97$10.0027.6%7.9%19.1%9.1%28.0%1.0%-3.8%34.5K-890.9K-3.7K0.01103.006711,649162
2011-03-30$12.13$10.0021.4%6.1%19.6%3.2%0.0%2.0%10.6%40.0K-955.3K-3.8K0.00103.245101,713163
2011-03-31$12.14$10.0028.8%8.2%17.8%10.2%0.0%2.3%-5.4%42.9K-963.2K-3.7K0.00105.501,68001,734163