BDN Options History — August 2012

In August 2012, BDN traded between $11.73 and $12.34. ATM implied volatility averaged 22.4%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.8% (HV 20d: 21.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2012-08-03: Highest Volume — 27 contracts
2012-08-16: Largest IV drop — 56.0% change
2012-08-15: Highest IV Rank — 24.9%
2012-08-06: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.11	$11.73	$12.34	$11.73	$12.20
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	22.4%	15.8%	37.3%	24.4%	17.9%
Expected Move	5.8%	4.7%	7.2%	7.0%	5.1%
HV 20d	21.6%	14.5%	26.5%	24.6%	14.5%
HV 60d	26.2%	23.9%	27.3%	26.6%	23.9%
IV Rank	7.1%	0.0%	24.9%	7.4%	2.4%
IV Percentile	13.8%	0.0%	59.5%	16.3%	1.2%
Term Structure	5.7%	-5.6%	13.1%	-5.2%	6.5%
VWIV	22.0%	15.8%	26.8%	15.8%	26.8%
Skew 25d	13.2%	-7.1%	85.8%	12.8%	13.4%
Skew 10d	8.1%	-53.1%	117.4%	13.1%	6.7%
Call IV 25d	22.8%	14.5%	29.7%	28.8%	22.2%
Put IV 25d	36.0%	19.5%	112.0%	41.5%	35.6%
Bid-Ask Spread %	109.31	104.54	113.72	109.59	112.51
Gamma HHI	0.99	0.98	1.00	0.98	0.99
Net GEX	13.0K	8.6K	15.9K	8.6K	15.2K
Net DEX	-138.6K	-170.2K	-92.6K	-92.6K	-163.5K
Net VEX	-838	-930	-754	-754	-836
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	4.174	0	27	0	0
Total OI	405.13	373	422	373	415

Daily Data (23 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
2012-08-01	$11.73	$12.50	24.4%	7.0%	24.6%	7.4%	0.0%	12.8%	-5.2%	8.6K	-92.6K	-754	109.59	0	0	324	49
2012-08-02	$11.98	$12.50	24.8%	7.1%	25.5%	7.9%	0.0%	19.1%	-5.6%	10.0K	-106.1K	-793	111.54	0	0	324	49
2012-08-03	$12.23	$12.50	19.2%	5.5%	26.5%	1.2%	15.8%	-7.1%	8.5%	11.5K	-141.4K	-858	111.00	27	0	324	49
2012-08-06	$12.34	$12.50	19.1%	7.2%	26.4%	1.1%	0.0%	2.6%	1.0%	13.1K	-170.2K	-930	105.22	0	0	349	49
2012-08-07	$12.19	$12.50	15.8%	6.6%	25.9%	0.0%	23.3%	2.8%	1.5%	12.7K	-156.1K	-908	106.69	24	0	349	49
2012-08-08	$12.15	$12.50	23.0%	6.8%	25.7%	8.3%	0.0%	85.8%	1.8%	13.1K	-150.0K	-914	105.37	0	0	373	49
2012-08-09	$12.09	$12.50	21.8%	6.3%	23.6%	6.9%	0.0%	0.1%	1.5%	12.8K	-158.8K	-925	104.54	0	0	373	49
2012-08-10	$11.93	$12.50	28.7%	5.2%	23.8%	14.9%	0.0%	8.1%	6.5%	12.1K	-132.5K	-855	111.03	0	0	373	49
2012-08-13	$11.91	$12.50	33.0%	5.6%	23.8%	20.0%	0.0%	12.9%	10.5%	11.7K	-118.1K	-823	109.70	0	0	373	49
2012-08-14	$11.91	$12.50	34.1%	4.7%	23.5%	21.2%	0.0%	15.0%	11.4%	12.1K	-116.8K	-819	110.47	0	0	373	49
2012-08-15	$12.08	$12.50	37.3%	5.5%	23.9%	24.9%	0.0%	12.5%	13.1%	13.0K	-136.0K	-849	110.20	0	0	373	49
2012-08-16	$11.99	$12.50	16.4%	4.7%	23.2%	0.6%	0.0%	14.8%	11.9%	12.6K	-126.4K	-814	110.19	0	0	367	49
2012-08-17	$12.03	$12.50	20.5%	5.9%	21.5%	5.4%	0.0%	12.9%	10.7%	13.0K	-124.4K	-801	110.03	0	1	367	49
2012-08-20	$12.04	$12.50	18.5%	5.3%	20.5%	3.1%	0.0%	16.4%	8.7%	11.7K	-115.0K	-761	110.77	10	0	340	43
2012-08-21	$12.22	$12.50	20.7%	5.9%	20.0%	5.7%	26.8%	12.3%	11.4%	12.7K	-145.1K	-829	109.35	0	1	350	43
2012-08-22	$12.26	$12.50	19.6%	5.6%	20.0%	4.4%	0.0%	-5.4%	3.1%	13.8K	-150.9K	-849	107.19	9	0	350	44
2012-08-23	$12.06	$12.50	21.6%	6.2%	17.9%	6.7%	0.0%	7.9%	1.0%	13.4K	-137.3K	-834	104.98	0	0	359	44
2012-08-24	$12.20	$12.50	20.5%	5.9%	17.6%	5.4%	0.0%	12.4%	7.3%	13.8K	-148.2K	-832	109.50	12	0	359	44
2012-08-27	$12.19	$12.50	19.4%	5.6%	17.6%	4.2%	0.0%	13.0%	2.5%	15.9K	-129.5K	-787	108.42	6	0	371	44
2012-08-28	$12.17	$12.50	19.0%	5.5%	17.7%	3.7%	0.0%	13.8%	6.7%	14.4K	-139.4K	-806	109.73	0	0	365	44
2012-08-29	$12.33	$12.50	21.4%	6.2%	17.3%	6.5%	0.0%	13.5%	7.0%	15.5K	-159.4K	-831	112.32	6	0	365	44
2012-08-30	$12.28	$12.50	17.8%	5.1%	16.0%	2.2%	0.0%	13.9%	9.0%	15.6K	-169.3K	-865	113.72	0	0	371	44
2012-08-31	$12.20	$12.50	17.9%	5.1%	14.5%	2.4%	0.0%	13.4%	6.5%	15.2K	-163.5K	-836	112.51	0	0	371	44