BDN Options History — March 2012

In March 2012, BDN traded between $10.86 and $11.48. ATM implied volatility averaged 39.6%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 19.9% (HV 20d: 19.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2012-03-14: Highest Volume — 32 contracts
2012-03-15: Largest IV drop — 71.6% change
2012-03-14: Highest IV Rank — 86.7%
2012-03-02: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.20	$10.86	$11.48	$10.86	$11.48
Max Pain	$10.23	$10.00	$12.50	$12.50	$10.00
ATM IV	39.6%	21.3%	90.6%	33.1%	31.3%
Expected Move	8.2%	6.1%	10.4%	9.5%	9.0%
HV 20d	19.7%	17.1%	24.8%	24.3%	17.1%
HV 60d	22.6%	20.5%	26.0%	25.1%	20.5%
IV Rank	26.7%	5.1%	86.7%	19.0%	16.9%
IV Percentile	53.7%	3.6%	98.8%	56.3%	44.8%
Term Structure	-5.6%	-14.1%	4.2%	-10.7%	-9.0%
VWIV	41.9%	30.4%	53.3%	30.4%	53.3%
Skew 25d	1.0%	-4.9%	12.2%	8.1%	2.5%
Skew 10d	5.5%	-1.7%	13.2%	7.8%	1.7%
Call IV 25d	28.3%	19.0%	34.1%	27.0%	33.8%
Put IV 25d	29.2%	23.7%	38.6%	35.1%	36.4%
Bid-Ask Spread %	110.05	103.70	111.76	105.90	111.38
Gamma HHI	0.56	0.48	0.66	0.66	0.52
Net GEX	11.9K	9.0K	13.5K	13.5K	9.5K
Net DEX	-406.2K	-486.1K	-329.1K	-331.1K	-486.1K
Net VEX	-855	-1.1K	-413	-1.0K	-422
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	2.909	0	32	0	2
Total OI	1,124.455	1,105	1,144	1,105	1,144

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-03-01	$10.86	$12.50	33.1%	9.5%	24.3%	19.0%	0.0%	8.1%	-10.7%	13.5K	-331.1K	-1.0K	105.90	0	0	591	514
2012-03-02	$11.03	$12.50	36.4%	10.4%	24.8%	22.9%	0.0%	12.2%	-10.1%	12.7K	-357.7K	-996	105.41	0	0	591	514
2012-03-05	$11.21	$10.00	44.9%	7.7%	18.8%	32.9%	0.0%	4.8%	2.7%	11.9K	-389.2K	-983	104.52	0	0	591	514
2012-03-06	$10.92	$10.00	42.8%	8.7%	20.4%	30.4%	0.0%	-4.9%	-9.3%	12.0K	-329.1K	-1.0K	110.93	0	0	591	514
2012-03-07	$10.98	$10.00	43.5%	7.1%	20.5%	31.3%	0.0%	-3.3%	3.9%	12.9K	-351.4K	-965	111.33	0	0	591	514
2012-03-08	$10.99	$10.00	47.9%	7.4%	20.1%	36.5%	0.0%	-3.5%	2.6%	12.8K	-350.1K	-980	111.61	0	0	591	514
2012-03-09	$10.97	$10.00	48.9%	7.3%	20.1%	37.6%	0.0%	-3.7%	3.1%	12.9K	-350.3K	-974	111.76	0	0	591	514
2012-03-12	$10.98	$10.00	64.6%	7.5%	20.1%	56.2%	0.0%	-3.5%	3.2%	12.9K	-353.6K	-937	111.76	0	0	591	514
2012-03-13	$11.21	$10.00	77.7%	8.2%	20.8%	71.5%	0.0%	0.3%	-9.8%	12.4K	-391.5K	-873	111.40	0	1	591	514
2012-03-14	$11.19	$10.00	90.6%	8.1%	19.0%	86.7%	30.4%	-2.1%	-11.0%	12.6K	-391.7K	-866	111.05	32	0	591	515
2012-03-15	$11.33	$10.00	25.8%	7.4%	19.4%	10.4%	0.0%	0.2%	-14.1%	12.1K	-421.4K	-961	111.16	0	0	622	515
2012-03-16	$11.48	$10.00	23.3%	6.7%	19.9%	7.5%	0.0%	7.0%	-8.8%	9.0K	-469.8K	-458	110.63	0	0	622	515
2012-03-19	$11.43	$10.00	21.3%	6.1%	20.0%	5.1%	53.3%	10.8%	4.2%	11.7K	-421.2K	-1.1K	103.70	29	0	602	515
2012-03-20	$11.33	$10.00	27.7%	7.9%	19.6%	12.7%	0.0%	0.1%	-5.9%	12.5K	-420.3K	-1.1K	110.55	0	0	629	515
2012-03-21	$11.32	$10.00	26.9%	7.7%	19.3%	11.8%	0.0%	-0.1%	-5.5%	12.4K	-417.3K	-1.1K	110.55	0	0	629	515
2012-03-22	$11.15	$10.00	28.4%	8.2%	18.8%	13.6%	0.0%	-2.9%	-5.2%	13.5K	-421.1K	-921	110.91	0	0	629	515
2012-03-23	$11.22	$10.00	31.9%	9.1%	18.2%	17.6%	0.0%	-1.8%	-9.6%	13.4K	-419.9K	-944	111.54	0	0	629	515
2012-03-26	$11.32	$10.00	30.7%	8.8%	18.3%	16.2%	0.0%	0.8%	-7.9%	12.5K	-442.1K	-904	110.69	0	0	629	515
2012-03-27	$11.34	$10.00	30.2%	8.7%	18.1%	15.7%	0.0%	-0.4%	-8.2%	9.5K	-475.0K	-452	111.48	0	0	629	515
2012-03-28	$11.32	$10.00	32.0%	9.2%	17.7%	17.7%	0.0%	-0.2%	-8.7%	9.5K	-470.7K	-420	111.42	0	0	629	515
2012-03-29	$11.39	$10.00	30.8%	8.8%	17.7%	16.4%	0.0%	0.4%	-8.9%	9.5K	-477.0K	-413	111.49	0	0	629	515
2012-03-30	$11.48	$10.00	31.3%	9.0%	17.1%	16.9%	0.0%	2.5%	-9.0%	9.5K	-486.1K	-422	111.38	2	0	629	515