BDN Options History — September 2012

In September 2012, BDN traded between $12.19 and $12.88. ATM implied volatility averaged 22.4%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.5% (HV 20d: 14.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.00.

Notable Days

2012-09-14: Highest Volume — 28 contracts
2012-09-13: Largest IV spike — 28.9% change
2012-09-20: Highest IV Rank — 11.9%
2012-09-20: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.46	$12.19	$12.88	$12.34	$12.19
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	22.4%	18.1%	26.0%	21.4%	21.5%
Expected Move	6.6%	5.9%	7.5%	6.1%	6.2%
HV 20d	14.0%	13.3%	15.0%	14.7%	13.6%
HV 60d	21.7%	18.8%	24.0%	24.0%	18.8%
IV Rank	7.7%	2.7%	11.9%	6.4%	6.6%
IV Percentile	18.2%	1.6%	32.5%	11.9%	15.1%
Term Structure	1.4%	-2.0%	7.6%	7.5%	2.4%
VWIV	22.4%	18.8%	25.8%	25.8%	22.7%
Skew 25d	17.0%	-4.9%	85.8%	11.8%	0.1%
Skew 10d	22.1%	-7.0%	125.8%	8.3%	-3.2%
Call IV 25d	28.1%	23.0%	33.2%	28.8%	33.2%
Put IV 25d	45.1%	24.7%	113.2%	40.6%	33.3%
Bid-Ask Spread %	111.57	105.16	145.69	112.26	110.61
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	19.2K	13.0K	23.4K	15.6K	13.0K
Net DEX	-208.8K	-305.0K	-149.1K	-175.6K	-188.6K
Net VEX	-767	-836	-653	-836	-692
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	4.316	0	28	0	0
Total OI	420.474	402	445	415	412

Daily Data (19 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
2012-09-04	$12.34	$12.50	21.4%	6.1%	14.7%	6.4%	0.0%	11.8%	7.5%	15.6K	-175.6K	-836	112.26	0	0	371	44
2012-09-05	$12.35	$12.50	21.4%	6.1%	14.0%	6.5%	0.0%	11.8%	6.1%	16.2K	-174.4K	-827	113.45	0	0	371	44
2012-09-06	$12.43	$12.50	21.8%	6.2%	14.0%	6.9%	0.0%	11.7%	7.6%	16.6K	-187.9K	-824	114.92	0	0	371	44
2012-09-07	$12.49	$12.50	19.8%	5.9%	13.9%	4.6%	0.0%	83.1%	1.8%	19.3K	-185.9K	-825	105.16	0	0	371	44
2012-09-10	$12.38	$12.50	19.9%	6.7%	13.4%	4.8%	0.0%	4.2%	0.3%	17.8K	-184.5K	-802	106.80	0	0	371	44
2012-09-11	$12.39	$12.50	19.6%	6.7%	13.3%	4.4%	0.0%	4.5%	-0.0%	18.0K	-176.7K	-788	110.98	0	0	371	44
2012-09-12	$12.52	$12.50	18.1%	6.9%	13.6%	2.7%	0.0%	85.8%	-1.0%	18.6K	-194.3K	-796	108.25	0	3	371	44
2012-09-13	$12.69	$12.50	23.4%	6.7%	13.5%	8.8%	0.0%	74.2%	-0.1%	20.1K	-238.2K	-795	107.11	5	0	371	41
2012-09-14	$12.88	$12.50	25.7%	7.4%	13.7%	11.5%	25.8%	1.9%	-1.6%	17.6K	-286.8K	-783	105.72	28	0	376	41
2012-09-17	$12.81	$12.50	24.8%	7.1%	14.0%	10.4%	0.0%	-4.9%	0.9%	20.9K	-305.0K	-797	145.69	0	0	404	41
2012-09-18	$12.74	$12.50	24.9%	7.1%	14.4%	10.6%	0.0%	3.1%	-0.6%	21.5K	-284.3K	-798	109.11	0	0	404	41
2012-09-19	$12.67	$12.50	25.4%	7.3%	13.9%	11.1%	0.0%	1.8%	-0.8%	22.1K	-280.2K	-787	109.15	0	0	404	41
2012-09-20	$12.49	$12.50	26.0%	7.5%	15.0%	11.9%	0.0%	1.9%	-2.0%	22.4K	-228.2K	-765	107.11	0	0	404	41
2012-09-21	$12.37	$12.50	24.9%	7.1%	14.1%	10.5%	0.0%	1.9%	-0.0%	23.4K	-204.5K	-759	109.21	0	12	404	41
2012-09-24	$12.39	$12.50	21.8%	6.2%	13.6%	6.9%	18.8%	6.5%	4.3%	20.2K	-197.5K	-712	110.00	14	0	374	28
2012-09-25	$12.23	$12.50	22.5%	6.5%	14.5%	7.8%	0.0%	6.7%	1.3%	20.0K	-166.4K	-676	111.94	0	0	374	28
2012-09-26	$12.21	$12.50	21.9%	6.3%	14.5%	7.1%	22.7%	6.7%	-1.7%	20.3K	-158.5K	-667	111.22	20	0	374	28
2012-09-27	$12.21	$12.50	21.1%	6.0%	13.6%	6.1%	0.0%	9.8%	2.5%	20.9K	-149.1K	-653	111.08	0	0	384	28
2012-09-28	$12.19	$12.50	21.5%	6.2%	13.6%	6.6%	0.0%	0.1%	2.4%	13.0K	-188.6K	-692	110.61	0	0	384	28