BDN Options History — June 2015

In June 2015, BDN traded between $13.30 and $14.36. ATM implied volatility averaged 25.4%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 8.0% (HV 20d: 17.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.04.

Notable Days

  • 2015-06-01: Highest Volume — 196 contracts
  • 2015-06-08: Largest IV spike — 52.1% change
  • 2015-06-09: Highest IV Rank — 66.7%
  • 2015-06-29: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.85$13.30$14.36$14.36$13.30
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV25.4%18.6%40.9%24.5%32.6%
Expected Move6.9%5.0%9.7%7.0%9.3%
HV 20d17.5%14.8%20.2%20.2%14.9%
HV 60d18.6%17.2%22.4%22.4%17.2%
IV Rank28.9%12.3%66.7%26.7%46.4%
IV Percentile66.6%18.3%98.8%81.7%95.2%
Term Structure-4.9%-15.8%2.2%-6.7%-15.8%
VWIV23.9%17.8%36.4%27.2%35.9%
Skew 25d0.6%-11.8%11.9%4.2%-11.8%
Skew 10d4.4%-8.4%12.6%-1.2%11.4%
Call IV 25d25.6%19.6%38.0%28.6%38.0%
Put IV 25d26.2%17.3%33.6%32.7%26.3%
Bid-Ask Spread %102.5257.63112.14104.5781.01
Gamma HHI0.750.510.960.960.74
Net GEX5.2K-3.7K26.4K26.4K-2.0K
Net DEX192.3K-986255.5K-986241.6K
Net VEX-1.1K-1.5K-895-1.3K-921
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.041.293.922.632.51
Total Volume144.04568196196130
Total OI677.727441782709498

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$14.36$15.0024.5%7.0%20.2%26.7%27.2%4.2%-6.7%26.4K-986-1.3K2.63104.5754142500209
2015-06-02$14.28$15.0019.6%5.6%20.2%14.6%0.0%9.2%-0.7%23.7K66.4K-1.2K0.00107.88068500209
2015-06-03$14.13$15.0024.7%7.1%19.9%27.3%24.1%-3.6%-1.8%16.7K116.5K-1.5K1.81108.795498500277
2015-06-04$14.24$15.0021.7%5.4%20.0%19.8%20.3%-1.8%-3.8%19.6K137.9K-1.4K1.74104.105494500277
2015-06-05$14.04$15.0021.0%5.5%17.8%18.3%20.2%-4.4%-2.7%11.6K184.4K-1.3K1.7457.635494500280
2015-06-08$13.96$15.0032.0%5.0%17.6%45.0%17.8%0.4%-0.4%11.3K195.0K-1.2K1.74108.055494500280
2015-06-09$13.75$15.0040.9%7.8%16.6%66.7%18.8%9.8%2.2%6.5K195.6K-1.2K1.74103.815494500280
2015-06-10$13.85$15.0020.1%5.8%16.7%15.9%19.8%11.9%-0.7%9.1K186.3K-1.2K1.74104.365494500280
2015-06-11$13.90$15.0018.6%5.3%16.9%12.3%19.1%1.3%-1.1%8.8K178.5K-1.2K1.74107.735494500280
2015-06-12$13.81$15.0019.8%5.7%16.7%15.3%20.2%-0.9%-1.9%5.7K233.2K-1.0K1.74107.295494500280
2015-06-15$13.67$15.0028.5%8.2%16.3%36.4%22.1%8.1%0.4%-3.5K247.5K-9351.74104.885494500280
2015-06-16$13.62$15.0029.0%8.3%16.2%37.6%23.0%8.5%-0.7%921236.7K-9681.74105.225494500280
2015-06-17$13.69$15.0028.6%8.2%16.4%36.6%23.8%7.2%-0.7%-552254.7K-8951.74105.215494500280
2015-06-18$13.89$15.0020.6%5.9%17.5%17.3%21.2%0.2%-3.7%-3.5K215.3K-1.1K2.29107.314194500280
2015-06-19$13.93$15.0020.3%5.8%17.5%16.5%21.1%0.7%-3.7%-3.7K221.1K-1.0K2.29106.984194502280
2015-06-22$14.00$15.0021.2%6.1%17.7%18.8%21.7%1.6%-7.9%-3.7K231.4K-1.0K3.92107.152494161280
2015-06-23$13.85$15.0024.4%7.0%18.0%26.4%25.4%-0.2%-12.5%-2.2K237.5K-1.1K1.36102.847298207275
2015-06-24$13.79$15.0024.1%6.9%17.5%25.6%25.8%-6.8%-13.2%-2.1K200.9K-1.2K1.36107.557298207275
2015-06-25$13.55$15.0026.6%7.6%18.3%31.7%26.6%-6.4%-13.4%-2.5K255.5K-9261.2994.327293207275
2015-06-26$13.62$15.0026.8%7.7%16.4%32.3%31.5%-2.3%-5.1%-1.0K196.8K-1.1K3.44112.142793207276
2015-06-29$13.40$15.0033.7%9.7%14.8%49.1%36.4%-11.5%-14.3%-678198.8K-1.1K2.51106.583793212276
2015-06-30$13.30$15.0032.6%9.3%14.9%46.4%35.9%-11.8%-15.8%-2.0K241.6K-9212.5181.013793222276