BDN Options History — September 2011

In September 2011, BDN traded between $7.88 and $9.57. ATM implied volatility averaged 47.7%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 1.3% (HV 20d: 49.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2011-09-06: Highest Volume — 33 contracts
2011-09-15: Largest IV drop — 69.2% change
2011-09-14: Highest IV Rank — 74.5%
2011-09-26: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.73	$7.88	$9.57	$9.57	$8.01
Max Pain	$12.26	$10.00	$12.50	$10.00	$12.50
ATM IV	47.7%	25.7%	96.5%	37.0%	38.6%
Expected Move	10.9%	7.4%	15.9%	10.6%	11.1%
HV 20d	49.0%	38.1%	75.4%	75.3%	50.9%
HV 60d	52.8%	50.0%	56.1%	50.0%	56.1%
IV Rank	28.8%	8.2%	74.5%	18.8%	20.3%
IV Percentile	72.4%	19.4%	97.6%	65.5%	66.3%
Term Structure	4.6%	-5.5%	17.4%	1.1%	17.4%
VWIV	29.2%	20.4%	35.2%	34.2%	35.2%
Skew 25d	8.5%	-7.8%	37.7%	6.0%	8.6%
Skew 10d	20.4%	-1.2%	91.6%	7.1%	35.5%
Call IV 25d	39.4%	22.5%	55.5%	48.6%	39.4%
Put IV 25d	47.9%	35.4%	91.4%	54.6%	48.0%
Bid-Ask Spread %	107.22	102.20	110.52	108.59	105.94
Gamma HHI	0.42	0.34	0.61	0.61	0.34
Net GEX	1.8K	276	5.6K	5.6K	531
Net DEX	100.3K	25.1K	140.6K	25.1K	133.9K
Net VEX	-794	-1.2K	-491	-1.2K	-550
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.00	2.50	0.00	0.00
Total Volume	3.571	0	33	0	0
Total OI	1,342.714	1,338	1,349	1,342	1,347

Daily Data (21 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
2011-09-01	$9.57	$10.00	37.0%	10.6%	75.3%	18.8%	0.0%	6.0%	1.1%	5.6K	25.1K	-1.2K	0.00	108.59	0	0	1,050	292
2011-09-02	$9.12	$10.00	38.8%	11.1%	75.4%	20.5%	0.0%	13.3%	1.9%	3.9K	57.3K	-1.1K	0.00	110.52	0	0	1,050	292
2011-09-06	$9.00	$12.50	47.6%	11.2%	52.7%	28.8%	34.2%	-3.5%	-3.4%	3.2K	70.5K	-1.0K	0.00	102.20	33	0	1,050	292
2011-09-07	$9.33	$12.50	32.4%	9.8%	47.3%	14.5%	0.0%	0.8%	-0.4%	3.3K	62.7K	-1.1K	0.00	102.57	0	0	1,046	292
2011-09-08	$9.18	$12.50	46.2%	9.0%	47.7%	27.4%	0.0%	5.1%	7.9%	2.3K	76.2K	-983	0.00	110.25	0	0	1,046	292
2011-09-09	$8.93	$12.50	59.8%	9.3%	42.6%	40.2%	0.0%	0.9%	7.4%	1.9K	88.3K	-906	0.00	109.51	0	0	1,046	292
2011-09-12	$8.93	$12.50	72.2%	9.6%	42.5%	51.7%	0.0%	5.7%	5.9%	1.7K	97.6K	-857	0.00	109.37	0	0	1,046	292
2011-09-13	$8.89	$12.50	83.2%	10.0%	38.6%	62.1%	0.0%	2.6%	4.5%	1.8K	94.6K	-875	0.00	109.51	0	0	1,046	292
2011-09-14	$8.90	$12.50	96.5%	7.9%	38.1%	74.5%	0.0%	10.9%	15.8%	1.7K	98.8K	-815	0.00	103.98	0	0	1,046	292
2011-09-15	$9.34	$12.50	29.7%	8.5%	42.8%	12.0%	31.8%	10.7%	10.8%	2.2K	80.4K	-917	0.09	109.80	11	1	1,046	292
2011-09-16	$9.37	$12.50	29.0%	8.3%	40.9%	11.3%	20.4%	19.3%	15.6%	2.8K	74.2K	-922	0.00	109.17	3	0	1,057	292
2011-09-19	$8.98	$12.50	32.1%	9.2%	42.6%	14.2%	0.0%	3.1%	-5.5%	1.9K	91.2K	-844	0.00	109.21	0	0	1,050	291
2011-09-20	$9.00	$12.50	25.7%	7.4%	42.5%	8.2%	24.3%	7.1%	3.8%	1.9K	94.1K	-826	2.50	103.43	4	10	1,050	291
2011-09-21	$8.37	$12.50	39.1%	11.2%	49.1%	20.7%	0.0%	-7.8%	0.1%	644	131.7K	-550	0.00	110.26	0	5	1,054	291
2011-09-22	$7.94	$12.50	50.8%	14.6%	50.6%	31.8%	0.0%	9.8%	0.3%	339	138.2K	-550	0.00	106.22	0	0	1,054	293
2011-09-23	$8.03	$12.50	50.6%	14.5%	50.9%	31.5%	0.0%	37.7%	1.5%	332	140.0K	-537	0.00	106.21	0	0	1,054	293
2011-09-26	$8.07	$12.50	55.5%	15.9%	50.7%	36.1%	0.0%	35.9%	-3.0%	334	140.6K	-523	0.00	106.29	0	0	1,054	293
2011-09-27	$8.21	$12.50	42.3%	12.1%	47.5%	23.8%	35.2%	0.9%	4.7%	540	135.5K	-544	0.00	105.06	8	0	1,054	293
2011-09-28	$7.88	$12.50	50.1%	14.4%	48.6%	31.1%	0.0%	16.1%	0.4%	276	138.9K	-491	0.00	103.08	0	0	1,054	293
2011-09-29	$8.19	$12.50	44.4%	12.7%	51.8%	25.7%	0.0%	-4.7%	9.3%	506	137.4K	-558	0.00	110.50	0	0	1,054	293
2011-09-30	$8.01	$12.50	38.6%	11.1%	50.9%	20.3%	0.0%	8.6%	17.4%	531	133.9K	-550	0.00	105.94	0	0	1,054	293