BDN Options History — June 2011

In June 2011, BDN traded between $11.06 and $12.16. ATM implied volatility averaged 29.5%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.9% (HV 20d: 27.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2011-06-01: Highest Volume — 199 contracts
  • 2011-06-17: Largest IV spike — 163.1% change
  • 2011-06-17: Highest IV Rank — 52.6%
  • 2011-06-17: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.50$11.06$12.16$12.16$11.59
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV29.5%20.7%73.0%27.3%30.4%
Expected Move8.6%5.9%20.9%7.8%8.7%
HV 20d27.6%24.0%29.8%27.1%24.0%
HV 60d22.1%20.9%23.4%21.4%23.4%
IV Rank11.8%3.5%52.6%9.7%12.6%
IV Percentile28.4%2.0%95.2%20.2%38.9%
Term Structure-1.4%-16.0%6.6%-1.5%-12.8%
VWIV32.5%28.0%37.2%30.4%32.4%
Skew 25d2.4%-20.9%15.6%2.6%8.6%
Skew 10d6.8%-8.2%48.1%3.2%6.5%
Call IV 25d30.1%16.2%52.4%35.8%17.7%
Put IV 25d32.5%24.7%46.5%38.4%26.3%
Bid-Ask Spread %105.1696.63120.04107.64110.67
Gamma HHI0.930.870.970.970.94
Net GEX38.7K21.5K58.9K58.7K38.4K
Net DEX-306.8K-732.3K-84.1K-687.1K-153.6K
Net VEX-2.6K-3.8K-1.8K-3.4K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.002.500.032.50
Total Volume2101991990
Total OI1,985.0451,8302,0471,8302,047

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$12.16$12.5027.3%7.8%27.1%9.7%30.4%2.6%-1.5%58.7K-687.1K-3.4K0.03107.6419361,610220
2011-06-02$12.07$12.5021.5%6.2%26.5%4.3%0.0%14.0%6.5%58.9K-732.3K-3.8K0.00109.620301,738223
2011-06-03$12.01$12.5024.5%7.9%26.4%7.1%0.0%0.1%1.1%58.6K-618.0K-3.6K0.00106.34001,738253
2011-06-06$11.72$12.5023.5%10.7%27.6%6.1%37.2%-7.2%-8.6%43.7K-526.1K-3.4K0.0096.630201,738253
2011-06-07$11.82$12.5024.6%7.2%27.8%7.2%28.0%15.5%-1.1%54.4K-491.0K-3.3K0.15105.651321,738273
2011-06-08$11.70$12.5031.3%6.9%26.2%13.5%0.0%7.6%1.6%50.3K-406.8K-3.1K0.00102.130181,733273
2011-06-09$11.55$12.5028.2%8.1%26.1%10.5%32.4%-5.1%-6.1%43.7K-390.1K-3.1K0.0097.08601,733273
2011-06-10$11.30$12.5031.1%8.9%26.9%13.2%34.7%-7.4%-6.5%36.2K-294.0K-2.8K0.00101.796201,733273
2011-06-13$11.24$12.5027.2%7.8%26.8%9.6%0.0%10.3%6.3%27.3K-129.8K-2.1K0.0099.24301,763273
2011-06-14$11.46$12.5024.5%7.0%27.9%7.1%0.0%4.4%6.6%37.7K-218.8K-2.4K0.00110.87001,760273
2011-06-15$11.13$12.5028.2%8.1%29.5%10.5%0.0%-15.7%2.8%30.4K-245.3K-2.5K0.00102.99001,760273
2011-06-16$11.26$12.5027.8%8.0%29.2%10.1%32.3%5.1%2.2%29.7K-167.4K-2.2K0.00111.94011,727270
2011-06-17$11.28$12.5073.0%20.9%29.1%52.6%0.0%15.6%3.6%32.5K-234.0K-2.4K0.00120.04001,727271
2011-06-20$11.46$12.5022.5%6.4%29.4%5.2%0.0%13.2%-2.8%33.6K-174.3K-2.1K0.0099.99001,688264
2011-06-21$11.48$12.5020.7%5.9%29.4%3.5%0.0%9.7%0.8%35.6K-211.1K-2.3K0.0099.600101,688264
2011-06-22$11.38$12.5023.6%6.8%29.3%6.3%0.0%5.8%0.4%32.2K-186.5K-2.2K0.00103.48101,688274
2011-06-23$11.16$12.5032.4%9.3%29.8%14.5%0.0%-1.2%0.1%21.5K-84.1K-1.8K0.00111.03001,689274
2011-06-24$11.06$12.5031.7%9.1%28.1%13.8%0.0%-20.9%1.7%27.9K-221.6K-2.2K0.00103.200101,689274
2011-06-27$11.14$12.5034.5%9.9%27.4%16.4%0.0%-19.7%-1.2%29.2K-226.7K-2.2K0.00102.89601,689284
2011-06-28$11.40$12.5031.9%9.2%28.1%14.1%0.0%3.6%-16.0%32.3K-146.5K-2.0K2.50109.614101,689284
2011-06-29$11.56$12.5028.9%8.3%24.0%11.2%32.4%12.9%-9.0%38.6K-204.4K-2.2K0.00101.200671,693294
2011-06-30$11.59$12.5030.4%8.7%24.0%12.6%0.0%8.6%-12.8%38.4K-153.6K-2.3K0.00110.67001,693354