BDN Options History — February 2012

In February 2012, BDN traded between $10.66 and $11.39. ATM implied volatility averaged 31.7%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 8.7% (HV 20d: 23.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.10.

Notable Days

2012-02-10: Highest Volume — 145 contracts
2012-02-24: Largest IV spike — 205.4% change
2012-02-24: Highest IV Rank — 74.2%
2012-02-24: Largest Expected Move — 22.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.03	$10.66	$11.39	$10.72	$10.81
Max Pain	$12.19	$10.00	$12.50	$10.00	$12.50
ATM IV	31.7%	19.4%	80.0%	29.3%	31.2%
Expected Move	8.2%	5.6%	22.9%	8.4%	8.9%
HV 20d	23.0%	19.2%	24.8%	19.3%	24.4%
HV 60d	29.6%	25.1%	33.5%	32.2%	25.1%
IV Rank	17.4%	3.0%	74.2%	14.6%	16.8%
IV Percentile	39.4%	1.6%	98.0%	39.3%	48.8%
Term Structure	-3.1%	-86.4%	12.6%	-8.5%	1.3%
VWIV	22.4%	14.9%	30.0%	30.0%	14.9%
Skew 25d	5.3%	-11.5%	13.8%	-2.1%	6.9%
Skew 10d	6.4%	-14.4%	19.7%	-4.7%	6.2%
Call IV 25d	23.4%	15.2%	35.4%	31.5%	26.4%
Put IV 25d	28.7%	23.3%	36.2%	29.4%	33.4%
Bid-Ask Spread %	109.42	103.96	154.25	103.96	104.99
Gamma HHI	0.69	0.52	0.95	0.89	0.63
Net GEX	10.1K	5.9K	13.3K	6.1K	12.4K
Net DEX	-364.9K	-430.4K	-296.6K	-304.8K	-313.4K
Net VEX	-992	-1.2K	-668	-927	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.60	0.60	0.00
Total Volume	18.3	0	145	8	1
Total OI	1,138	1,051	1,284	1,051	1,104

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
2012-02-01	$10.72	$10.00	29.3%	8.4%	19.3%	14.6%	30.0%	-2.1%	-8.5%	6.1K	-304.8K	-927	0.60	103.96	5	3	441	610
2012-02-02	$10.66	$10.00	29.5%	8.4%	19.2%	14.8%	0.0%	5.2%	-7.7%	5.9K	-296.6K	-965	0.00	112.54	9	0	446	610
2012-02-03	$11.18	$0.00	36.6%	7.2%	23.9%	23.1%	0.0%	10.3%	7.4%	7.4K	-377.7K	-824	0.00	104.44	1	0	455	610
2012-02-06	$11.32	$0.00	36.6%	5.7%	23.6%	23.1%	0.0%	10.1%	-3.2%	7.7K	-419.5K	-668	0.00	110.12	9	0	455	610
2012-02-07	$11.27	$0.00	37.2%	5.9%	23.5%	23.9%	0.0%	9.3%	-3.5%	7.8K	-416.3K	-710	0.00	104.87	0	0	464	610
2012-02-08	$11.38	$0.00	34.8%	5.7%	23.5%	21.1%	14.9%	11.3%	6.1%	7.7K	-430.4K	-677	0.00	105.00	47	0	464	610
2012-02-09	$11.36	$12.50	19.4%	5.6%	22.7%	3.0%	0.0%	13.8%	11.2%	8.9K	-418.4K	-794	0.00	104.88	32	0	511	610
2012-02-10	$11.39	$12.50	19.5%	5.6%	22.0%	3.0%	0.0%	11.0%	8.1%	9.6K	-423.8K	-813	0.29	105.04	112	33	530	610
2012-02-13	$11.20	$12.50	27.2%	7.8%	22.4%	12.1%	0.0%	7.6%	12.6%	10.7K	-419.9K	-1.2K	0.00	104.75	20	0	642	630
2012-02-14	$10.95	$12.50	24.7%	7.1%	23.6%	9.2%	0.0%	4.3%	5.9%	10.6K	-369.3K	-1.2K	0.09	104.38	77	7	632	630
2012-02-15	$10.95	$12.50	26.3%	7.5%	22.8%	11.1%	0.0%	5.5%	5.0%	10.7K	-364.3K	-1.2K	0.00	111.84	0	0	649	635
2012-02-16	$10.99	$12.50	28.8%	8.2%	22.8%	13.9%	0.0%	6.3%	6.6%	10.4K	-370.7K	-1.2K	0.00	104.43	0	0	649	635
2012-02-17	$11.00	$12.50	26.6%	7.6%	22.4%	11.4%	0.0%	2.4%	3.3%	12.2K	-378.5K	-1.2K	0.00	110.21	0	0	649	635
2012-02-21	$10.85	$12.50	26.6%	7.6%	23.1%	11.4%	0.0%	-4.2%	6.7%	12.2K	-319.5K	-1.1K	0.00	110.10	0	0	590	514
2012-02-22	$10.78	$12.50	26.7%	7.6%	23.3%	11.4%	0.0%	-8.0%	3.3%	12.3K	-304.9K	-1.1K	0.00	110.93	0	0	590	514
2012-02-23	$11.02	$12.50	26.2%	7.5%	24.2%	10.9%	0.0%	-11.5%	-10.0%	12.6K	-353.3K	-1.0K	0.00	110.82	0	0	590	514
2012-02-24	$10.88	$12.50	80.0%	22.9%	24.8%	74.2%	0.0%	12.9%	-86.4%	10.9K	-328.6K	-1.2K	0.00	154.25	0	0	590	514
2012-02-27	$10.97	$12.50	33.3%	9.6%	24.7%	19.3%	0.0%	8.2%	-10.4%	12.9K	-349.4K	-1.0K	0.00	105.41	0	0	590	514
2012-02-28	$10.91	$12.50	33.6%	9.6%	24.7%	19.6%	0.0%	7.6%	-10.9%	13.3K	-339.0K	-1.0K	0.00	105.46	0	10	590	514
2012-02-29	$10.81	$12.50	31.2%	8.9%	24.4%	16.8%	0.0%	6.9%	1.3%	12.4K	-313.4K	-1.1K	0.00	104.99	1	0	590	514