BDN Options History — November 2011

In November 2011, BDN traded between $8.06 and $9.60. ATM implied volatility averaged 45.3%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 2.4% (HV 20d: 47.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.44.

Notable Days

2011-11-29: Highest Volume — 450 contracts
2011-11-18: Largest IV spike — 69.8% change
2011-11-18: Highest IV Rank — 37.8%
2011-11-18: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.89	$8.06	$9.60	$8.76	$8.71
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	45.3%	33.8%	57.3%	40.6%	53.9%
Expected Move	12.8%	9.7%	16.4%	11.6%	15.4%
HV 20d	47.7%	40.9%	52.2%	50.2%	44.8%
HV 60d	53.0%	51.9%	55.6%	55.6%	53.2%
IV Rank	26.6%	15.8%	37.8%	22.2%	34.6%
IV Percentile	72.6%	51.2%	89.7%	65.5%	86.9%
Term Structure	-2.5%	-28.3%	8.2%	6.8%	-0.9%
VWIV	47.7%	34.9%	82.9%	40.4%	82.9%
Skew 25d	0.7%	-23.3%	17.6%	2.2%	-15.8%
Skew 10d	8.4%	-6.3%	26.1%	4.8%	1.4%
Call IV 25d	46.5%	32.8%	68.8%	47.3%	68.8%
Put IV 25d	47.2%	39.2%	58.2%	49.5%	52.9%
Bid-Ask Spread %	104.46	91.03	114.16	110.01	106.03
Gamma HHI	0.59	0.42	0.70	0.42	0.48
Net GEX	7.5K	2.9K	11.4K	3.5K	4.1K
Net DEX	-84.3K	-189.3K	56.4K	-30.4K	56.4K
Net VEX	-1.0K	-1.9K	-622	-747	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.44	0.00	22.00	0.00	0.00
Total Volume	45.238	0	450	0	0
Total OI	1,111.857	795	1,620	795	1,620

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
2011-11-01	$8.76	$10.00	40.6%	11.6%	50.2%	22.2%	0.0%	2.2%	6.8%	3.5K	-30.4K	-747	0.00	110.01	0	0	606	189
2011-11-02	$9.04	$10.00	40.8%	11.7%	50.5%	22.3%	0.0%	7.8%	6.1%	3.9K	-41.5K	-779	0.00	110.16	5	0	606	189
2011-11-03	$9.32	$10.00	38.2%	11.0%	50.8%	19.9%	0.0%	17.6%	0.8%	5.1K	-60.4K	-811	0.00	111.30	303	0	611	189
2011-11-04	$9.31	$10.00	37.6%	11.9%	47.3%	19.3%	0.0%	-0.1%	-4.7%	10.1K	-152.1K	-1.2K	0.00	100.56	0	0	904	189
2011-11-07	$9.42	$10.00	49.5%	11.3%	46.1%	30.5%	40.4%	1.2%	-2.4%	11.1K	-162.7K	-1.2K	2.30	99.22	10	23	904	189
2011-11-08	$9.60	$10.00	49.4%	11.5%	46.1%	30.4%	40.6%	6.4%	-1.9%	11.4K	-177.9K	-1.2K	0.00	91.03	10	0	904	210
2011-11-09	$9.21	$10.00	46.7%	14.8%	50.0%	27.9%	0.0%	-2.9%	-6.5%	9.4K	-157.5K	-1.2K	0.00	102.36	0	0	904	210
2011-11-10	$9.20	$10.00	42.9%	12.3%	49.5%	24.4%	44.3%	-0.5%	-0.6%	9.9K	-148.6K	-1.2K	0.00	96.29	3	0	904	210
2011-11-11	$9.51	$10.00	48.6%	13.9%	50.2%	29.7%	0.0%	4.7%	-5.5%	10.6K	-189.3K	-1.2K	0.00	93.00	0	0	907	210
2011-11-14	$9.13	$10.00	50.3%	14.4%	52.2%	31.2%	51.2%	10.3%	-9.4%	9.5K	-132.9K	-1.1K	0.14	98.95	37	5	907	210
2011-11-15	$9.23	$10.00	47.2%	13.5%	47.2%	28.4%	0.0%	-5.1%	-7.4%	10.5K	-145.7K	-1.2K	0.00	98.93	20	0	944	215
2011-11-16	$9.05	$10.00	44.0%	12.6%	48.1%	25.3%	0.0%	14.0%	-12.6%	10.8K	-142.4K	-1.1K	0.00	98.81	0	0	954	215
2011-11-17	$8.81	$10.00	33.8%	9.7%	49.5%	15.8%	34.9%	6.2%	-4.3%	9.1K	-73.0K	-904	0.00	111.14	5	0	954	215
2011-11-18	$8.91	$10.00	57.3%	16.4%	47.3%	37.8%	0.0%	-13.6%	-28.3%	9.6K	-129.5K	-1.1K	0.00	99.50	0	21	959	215
2011-11-21	$8.50	$10.00	47.3%	13.6%	48.8%	28.5%	39.8%	13.8%	-1.5%	6.6K	-40.4K	-764	22.00	112.33	1	22	949	195
2011-11-22	$8.31	$10.00	42.6%	12.2%	48.8%	24.0%	0.0%	-23.3%	5.8%	5.8K	-39.5K	-806	0.00	106.59	0	0	950	198
2011-11-23	$8.07	$10.00	47.7%	13.7%	49.5%	28.8%	0.0%	-10.1%	-4.6%	4.2K	-3.6K	-706	0.00	113.04	0	0	950	198
2011-11-25	$8.06	$10.00	41.8%	12.0%	40.9%	23.3%	0.0%	-10.5%	8.2%	2.9K	15.4K	-634	0.00	114.16	0	0	950	198
2011-11-28	$8.24	$10.00	44.2%	12.7%	42.2%	25.5%	82.9%	15.9%	8.2%	4.8K	-16.2K	-684	0.00	107.77	35	0	950	198
2011-11-29	$8.26	$10.00	47.1%	13.5%	42.2%	28.2%	0.0%	-3.0%	2.2%	3.9K	2.6K	-622	0.00	112.37	0	450	972	198
2011-11-30	$8.71	$10.00	53.9%	15.4%	44.8%	34.6%	0.0%	-15.8%	-0.9%	4.1K	56.4K	-1.9K	0.00	106.03	0	0	972	648