BDN Options History — January 2012

In January 2012, BDN traded between $9.40 and $10.64. ATM implied volatility averaged 29.7%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.8% (HV 20d: 24.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 6.63.

Notable Days

2012-01-23: Highest Volume — 112 contracts
2012-01-23: Largest IV spike — 59.6% change
2012-01-23: Highest IV Rank — 25.6%
2012-01-23: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.01	$9.40	$10.64	$9.47	$10.64
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	29.7%	24.1%	38.7%	30.9%	29.6%
Expected Move	8.5%	6.9%	11.1%	8.9%	8.5%
HV 20d	24.8%	19.6%	31.4%	30.7%	19.6%
HV 60d	38.2%	32.7%	42.4%	42.4%	32.7%
IV Rank	15.0%	8.5%	25.6%	16.5%	14.9%
IV Percentile	37.7%	11.9%	64.3%	42.9%	40.9%
Term Structure	0.4%	-9.2%	12.1%	-6.8%	-5.0%
VWIV	36.9%	27.0%	55.1%	55.1%	30.9%
Skew 25d	25.4%	-9.7%	79.1%	5.5%	-2.5%
Skew 10d	40.6%	-13.1%	117.0%	-6.8%	11.1%
Call IV 25d	33.0%	24.2%	39.6%	34.1%	27.5%
Put IV 25d	58.4%	25.0%	113.6%	39.6%	25.0%
Bid-Ask Spread %	109.57	91.64	124.47	98.85	105.98
Gamma HHI	0.81	0.70	0.98	0.72	0.86
Net GEX	20.7K	4.2K	51.8K	17.4K	5.5K
Net DEX	-228.5K	-598.6K	-20.4K	-79.5K	-282.4K
Net VEX	-1.5K	-2.1K	-995	-2.1K	-995
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.63	0.00	55.00	1.67	2.50
Total Volume	10.95	0	112	16	14
Total OI	1,529.4	956	1,816	1,769	1,047

Daily Data (20 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
2012-01-03	$9.47	$10.00	30.9%	8.9%	30.7%	16.5%	55.1%	5.5%	-6.8%	17.4K	-79.5K	-2.1K	1.67	98.85	6	10	1,053	716
2012-01-04	$9.40	$10.00	24.1%	6.9%	31.0%	8.5%	0.0%	16.5%	7.4%	15.6K	-20.4K	-2.0K	0.00	91.64	10	0	1,053	726
2012-01-05	$9.57	$10.00	30.3%	8.7%	31.4%	15.7%	0.0%	12.8%	-6.0%	20.5K	-103.8K	-2.1K	0.00	99.10	0	0	1,063	726
2012-01-06	$9.54	$10.00	31.0%	9.5%	31.4%	16.6%	0.0%	7.4%	-1.8%	19.9K	-100.6K	-2.1K	0.00	114.65	0	0	1,063	726
2012-01-09	$9.49	$10.00	34.2%	8.1%	26.9%	20.4%	0.0%	79.1%	-1.1%	18.9K	-75.1K	-2.0K	0.00	113.08	0	0	1,063	726
2012-01-10	$9.62	$10.00	29.1%	6.9%	25.4%	14.4%	0.0%	14.8%	12.1%	24.4K	-108.0K	-1.9K	0.00	114.09	0	0	1,063	726
2012-01-11	$9.88	$10.00	24.4%	8.7%	25.9%	8.8%	0.0%	71.8%	0.2%	40.0K	-258.2K	-1.4K	0.00	107.50	12	0	1,063	726
2012-01-12	$9.80	$10.00	31.0%	8.9%	25.0%	16.5%	0.0%	5.4%	-0.4%	36.0K	-179.9K	-2.0K	0.00	113.11	15	0	1,075	726
2012-01-13	$9.66	$10.00	29.8%	8.5%	25.5%	15.2%	0.0%	5.0%	0.6%	27.7K	-121.5K	-1.9K	0.00	110.99	0	0	1,085	726
2012-01-17	$9.92	$10.00	32.5%	9.3%	26.2%	18.3%	32.4%	76.7%	-0.8%	34.2K	-303.4K	-1.3K	0.00	111.36	5	0	1,085	726
2012-01-18	$10.13	$10.00	31.5%	9.0%	25.6%	17.2%	0.0%	66.0%	-0.3%	51.8K	-437.8K	-1.3K	0.00	103.58	4	0	1,090	726
2012-01-19	$10.22	$10.00	31.3%	9.0%	25.6%	16.9%	0.0%	56.3%	-0.0%	39.1K	-476.7K	-1.3K	0.50	113.40	20	10	1,093	721
2012-01-20	$10.37	$10.00	24.2%	7.0%	22.5%	8.6%	27.0%	6.5%	9.1%	30.9K	-598.6K	-1.0K	0.00	113.53	0	1	1,083	721
2012-01-23	$10.34	$10.00	38.7%	11.1%	22.7%	25.6%	39.0%	0.6%	-9.2%	8.7K	-238.1K	-1.0K	55.00	102.06	2	110	437	519
2012-01-24	$10.33	$10.00	26.4%	7.6%	20.1%	11.1%	0.0%	38.2%	4.2%	4.6K	-220.6K	-1.1K	0.00	115.37	0	0	437	610
2012-01-25	$10.43	$10.00	31.8%	9.1%	20.2%	17.5%	0.0%	31.6%	0.2%	4.6K	-223.1K	-1.1K	0.00	110.80	0	0	437	610
2012-01-26	$10.43	$10.00	26.8%	7.7%	20.2%	11.6%	0.0%	32.0%	5.7%	4.2K	-234.2K	-1.1K	0.00	124.47	0	0	437	610
2012-01-27	$10.54	$10.00	26.4%	7.6%	20.0%	11.2%	0.0%	-5.8%	-0.8%	5.1K	-258.4K	-1.0K	0.00	113.95	0	0	437	610
2012-01-30	$10.47	$10.00	29.1%	8.4%	20.3%	14.4%	0.0%	-9.7%	0.8%	4.8K	-250.7K	-1.0K	0.00	113.91	0	0	437	610
2012-01-31	$10.64	$10.00	29.6%	8.5%	19.6%	14.9%	30.9%	-2.5%	-5.0%	5.5K	-282.4K	-995	2.50	105.98	4	10	437	610