BDN Options History — August 2011

In August 2011, BDN traded between $8.46 and $11.85. ATM implied volatility averaged 42.5%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 24.1% (HV 20d: 66.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.33.

Notable Days

2011-08-05: Highest Volume — 63 contracts
2011-08-02: Largest IV spike — 49.2% change
2011-08-08: Highest IV Rank — 38.5%
2011-08-18: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.86	$8.46	$11.85	$11.85	$9.94
Max Pain	$11.96	$10.00	$12.50	$12.50	$10.00
ATM IV	42.5%	25.6%	58.0%	25.6%	40.5%
Expected Move	11.6%	7.3%	13.6%	7.3%	11.6%
HV 20d	66.6%	23.6%	80.1%	23.6%	78.2%
HV 60d	43.9%	24.4%	49.8%	24.4%	49.5%
IV Rank	24.0%	8.1%	38.5%	8.1%	22.1%
IV Percentile	76.2%	19.4%	91.3%	19.4%	73.8%
Term Structure	-0.9%	-12.2%	10.0%	0.0%	1.6%
VWIV	41.3%	40.5%	42.1%	42.1%	40.5%
Skew 25d	9.0%	-9.1%	71.3%	11.2%	7.1%
Skew 10d	13.7%	-9.9%	114.0%	5.9%	12.5%
Call IV 25d	42.1%	29.1%	48.3%	29.2%	48.3%
Put IV 25d	51.2%	35.0%	113.4%	40.4%	55.4%
Bid-Ask Spread %	105.52	95.87	110.32	104.31	109.66
Gamma HHI	0.78	0.62	0.96	0.96	0.72
Net GEX	7.5K	2.7K	25.9K	25.9K	7.6K
Net DEX	-2.7K	-306.0K	91.0K	-306.0K	-20.6K
Net VEX	-1.3K	-2.6K	-618	-2.6K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.00	3.70	0.00	0.00
Total Volume	17.609	0	63	2	4
Total OI	1,223.913	1,148	1,338	1,148	1,338

Daily Data (23 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
2011-08-01	$11.85	$12.50	25.6%	7.3%	23.6%	8.1%	0.0%	11.2%	0.0%	25.9K	-306.0K	-2.6K	0.00	104.31	0	2	984	164
2011-08-02	$11.22	$12.50	38.1%	10.9%	30.6%	19.9%	0.0%	0.2%	-10.6%	18.6K	-179.2K	-2.2K	0.00	103.33	0	16	984	164
2011-08-03	$11.05	$12.50	35.5%	10.2%	30.7%	17.4%	0.0%	-0.3%	-8.1%	15.6K	-110.9K	-2.0K	0.00	102.73	0	5	984	174
2011-08-04	$10.29	$12.50	36.9%	10.6%	38.5%	18.7%	0.0%	-9.1%	-12.2%	10.6K	-33.3K	-1.6K	0.00	98.74	0	5	984	179
2011-08-05	$9.82	$12.50	42.4%	11.8%	40.4%	23.8%	0.0%	2.2%	-6.8%	5.7K	55.5K	-1.1K	0.00	105.54	63	0	984	184
2011-08-08	$8.46	$12.50	58.0%	12.8%	63.7%	38.5%	0.0%	-5.0%	-6.2%	2.7K	91.0K	-618	3.70	109.15	10	37	992	184
2011-08-09	$9.11	$12.50	49.6%	8.9%	70.8%	30.6%	0.0%	11.8%	10.0%	3.3K	70.1K	-824	0.23	109.17	26	6	982	181
2011-08-10	$9.09	$12.50	51.7%	11.9%	70.9%	32.6%	0.0%	-6.5%	-2.9%	4.4K	36.9K	-990	0.00	105.70	0	0	1,003	187
2011-08-11	$9.68	$12.50	46.0%	13.2%	75.9%	27.2%	0.0%	4.4%	-1.1%	6.9K	-11.3K	-1.3K	0.00	103.39	0	43	1,003	187
2011-08-12	$9.56	$12.50	44.6%	12.8%	75.8%	26.0%	0.0%	3.0%	-0.9%	5.8K	14.3K	-1.3K	0.00	102.83	1	0	1,003	230
2011-08-15	$9.99	$12.50	43.5%	12.5%	78.2%	24.9%	0.0%	71.3%	0.4%	7.0K	438	-1.3K	0.00	102.92	0	22	1,004	230
2011-08-16	$10.11	$12.50	45.1%	12.9%	77.5%	26.4%	0.0%	65.0%	-1.6%	7.6K	-12.2K	-1.4K	0.00	103.40	2	0	1,004	252
2011-08-17	$10.10	$12.50	41.4%	11.9%	77.1%	23.0%	0.0%	8.4%	3.0%	8.3K	-32.1K	-1.5K	0.00	103.73	0	32	1,004	252
2011-08-18	$9.72	$12.50	47.4%	13.6%	77.5%	28.5%	0.0%	3.3%	-0.3%	5.8K	14.8K	-1.4K	0.00	104.25	1	0	1,004	284
2011-08-19	$9.48	$12.50	44.0%	12.6%	77.1%	25.3%	0.0%	2.5%	1.6%	5.0K	32.2K	-1.3K	0.00	95.87	4	0	1,004	284
2011-08-22	$9.36	$12.50	41.5%	11.9%	77.1%	23.0%	0.0%	-2.0%	1.1%	4.4K	46.3K	-1.2K	0.00	107.13	0	0	946	283
2011-08-23	$9.42	$12.50	44.9%	12.9%	77.3%	26.2%	0.0%	14.1%	5.5%	3.4K	70.9K	-1.0K	0.00	108.10	0	0	946	283
2011-08-24	$9.64	$12.50	42.2%	12.1%	77.9%	23.6%	42.1%	-3.4%	-4.3%	3.5K	68.6K	-1.1K	0.00	108.28	0	21	946	283
2011-08-25	$9.44	$10.00	32.7%	9.4%	77.3%	14.8%	0.0%	12.6%	7.5%	4.0K	59.6K	-1.1K	0.00	110.32	5	0	946	292
2011-08-26	$9.53	$10.00	42.0%	12.0%	77.5%	23.5%	0.0%	15.0%	7.8%	3.8K	70.4K	-1.0K	0.00	109.74	40	0	951	292
2011-08-29	$9.98	$10.00	41.8%	12.0%	80.1%	23.3%	0.0%	-5.8%	-2.0%	6.3K	13.0K	-1.0K	0.00	108.37	19	0	991	292
2011-08-30	$9.98	$10.00	42.3%	12.1%	78.3%	23.8%	0.0%	7.0%	-1.5%	6.8K	-489	-1.4K	0.00	110.30	41	0	1,010	292
2011-08-31	$9.94	$10.00	40.5%	11.6%	78.2%	22.1%	40.5%	7.1%	1.6%	7.6K	-20.6K	-1.5K	0.00	109.66	4	0	1,046	292