BDN Options History — December 2011

In December 2011, BDN traded between $8.43 and $9.63. ATM implied volatility averaged 50.1%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 11.7% (HV 20d: 38.3%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.31.

Notable Days

2011-12-22: Highest Volume — 323 contracts
2011-12-15: Largest IV drop — 55.5% change
2011-12-14: Highest IV Rank — 96.4%
2011-12-02: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.97	$8.43	$9.63	$8.59	$9.50
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	50.1%	21.6%	101.8%	51.7%	22.2%
Expected Move	11.3%	6.2%	15.6%	14.8%	6.4%
HV 20d	38.3%	30.6%	43.4%	43.4%	30.6%
HV 60d	49.8%	42.4%	53.1%	52.7%	42.6%
IV Rank	33.2%	5.3%	96.4%	32.6%	6.2%
IV Percentile	62.9%	4.0%	99.6%	84.5%	6.0%
Term Structure	5.1%	-7.7%	25.9%	1.5%	12.0%
VWIV	42.6%	31.0%	54.1%	54.1%	42.2%
Skew 25d	11.0%	-7.4%	28.8%	4.3%	-4.1%
Skew 10d	18.7%	-18.6%	68.6%	4.7%	-4.8%
Call IV 25d	33.6%	19.9%	49.9%	49.0%	38.0%
Put IV 25d	44.6%	29.6%	54.6%	53.3%	33.9%
Bid-Ask Spread %	92.20	48.93	112.13	112.00	48.93
Gamma HHI	0.53	0.47	0.72	0.47	0.51
Net GEX	5.6K	-46	17.4K	2.1K	9.9K
Net DEX	27.0K	-184.6K	125.3K	105.0K	-184.6K
Net VEX	-1.8K	-2.3K	-1.6K	-1.8K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	1.24	0.26	0.00
Total Volume	31.429	0	323	0	23
Total OI	1,655.571	1,492	1,788	1,620	1,788

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
2011-12-01	$8.59	$10.00	51.7%	14.8%	43.4%	32.6%	0.0%	4.3%	1.5%	2.1K	105.0K	-1.8K	0.00	112.00	0	0	972	648
2011-12-02	$8.64	$10.00	54.5%	15.6%	41.8%	35.2%	0.0%	4.7%	1.5%	3.0K	79.7K	-1.8K	0.00	112.13	0	17	972	648
2011-12-05	$8.69	$10.00	62.1%	15.6%	41.9%	42.3%	0.0%	18.3%	-5.0%	3.1K	81.8K	-1.8K	0.00	92.25	0	0	972	665
2011-12-06	$8.71	$10.00	67.0%	13.0%	41.6%	46.9%	0.0%	19.0%	10.1%	2.9K	89.5K	-1.8K	0.00	92.86	0	0	972	665
2011-12-07	$8.82	$10.00	56.2%	8.8%	41.2%	36.8%	0.0%	19.4%	-1.8%	3.9K	71.5K	-1.8K	0.00	92.59	0	0	972	665
2011-12-08	$8.47	$10.00	66.7%	15.0%	41.1%	46.6%	0.0%	14.9%	-5.8%	756	125.3K	-1.7K	0.00	95.25	0	0	972	665
2011-12-09	$8.74	$10.00	77.5%	15.5%	43.0%	56.7%	54.1%	28.8%	-3.6%	3.7K	86.9K	-1.8K	0.26	87.76	76	20	972	665
2011-12-12	$8.66	$10.00	89.3%	13.7%	40.9%	67.8%	0.0%	20.9%	7.6%	3.0K	83.3K	-1.9K	0.00	92.72	0	0	1,048	665
2011-12-13	$8.51	$10.00	93.5%	14.1%	39.0%	71.7%	0.0%	18.5%	-2.7%	1.0K	114.4K	-1.7K	0.00	88.06	0	0	1,048	665
2011-12-14	$8.43	$10.00	101.8%	15.4%	38.6%	96.4%	0.0%	14.9%	-7.7%	470	119.5K	-1.8K	0.00	95.55	0	0	1,048	665
2011-12-15	$8.57	$10.00	45.3%	13.0%	38.9%	32.2%	0.0%	13.9%	7.5%	-46	114.5K	-1.8K	0.00	95.20	0	0	1,048	665
2011-12-16	$8.81	$10.00	32.3%	9.3%	39.2%	17.5%	50.4%	16.6%	4.0%	1.6K	78.9K	-1.8K	0.00	93.62	0	10	1,048	665
2011-12-19	$8.87	$10.00	32.3%	9.2%	39.1%	17.4%	44.7%	8.7%	-0.3%	1.5K	80.6K	-1.7K	1.24	91.83	42	52	827	665
2011-12-20	$9.24	$10.00	22.5%	6.4%	37.5%	6.3%	31.0%	10.0%	21.1%	5.5K	51.0K	-1.6K	0.00	83.68	0	1	869	685
2011-12-21	$9.24	$10.00	21.6%	6.2%	36.2%	5.3%	0.0%	9.0%	25.9%	5.4K	54.8K	-1.6K	0.00	83.40	0	0	869	686
2011-12-22	$9.56	$10.00	28.0%	8.0%	35.1%	12.6%	34.2%	6.2%	18.0%	9.3K	-43.3K	-1.7K	0.02	92.30	317	6	869	686
2011-12-23	$9.60	$10.00	29.2%	8.4%	35.0%	14.0%	41.8%	7.8%	17.7%	14.0K	-136.6K	-2.2K	0.00	93.21	15	0	1,021	686
2011-12-27	$9.61	$10.00	31.3%	9.0%	34.7%	16.3%	0.0%	0.1%	3.5%	15.8K	-129.6K	-2.1K	0.00	99.19	0	0	1,021	686
2011-12-28	$9.55	$10.00	37.5%	10.8%	35.0%	23.4%	42.2%	-7.4%	-2.6%	13.6K	-151.3K	-2.1K	0.00	96.49	5	0	1,021	686
2011-12-29	$9.63	$10.00	28.7%	8.2%	30.6%	13.4%	0.0%	6.3%	6.0%	17.4K	-123.7K	-2.0K	0.65	97.18	46	30	1,026	686
2011-12-30	$9.50	$10.00	22.2%	6.4%	30.6%	6.2%	0.0%	-4.1%	12.0%	9.9K	-184.6K	-2.3K	0.00	48.93	23	0	1,072	716