BDN Options History — July 2015

In July 2015, BDN traded between $13.38 and $13.81. ATM implied volatility averaged 30.4%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 16.9% (HV 20d: 13.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 31.77.

Notable Days

  • 2015-07-15: Highest Volume — 756 contracts
  • 2015-07-15: Largest IV drop — 57.5% change
  • 2015-07-13: Highest IV Rank — 100.0%
  • 2015-07-10: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.67$13.38$13.81$13.38$13.78
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV30.4%20.9%55.0%24.7%24.8%
Expected Move8.0%5.5%21.1%7.1%7.1%
HV 20d13.5%10.1%15.9%15.0%10.6%
HV 60d16.3%15.4%16.8%16.8%15.6%
IV Rank40.9%17.6%100.0%27.2%27.1%
IV Percentile77.0%33.7%100.0%80.2%75.4%
Term Structure2.6%-97.7%93.6%93.6%-8.1%
VWIV36.2%34.5%38.0%34.5%38.0%
Skew 25d0.5%-6.3%5.5%0.0%1.0%
Skew 10d5.3%-7.1%75.9%-3.0%3.0%
Call IV 25d24.7%19.8%37.0%30.6%27.9%
Put IV 25d25.2%18.8%32.0%30.6%28.9%
Bid-Ask Spread %107.6496.71120.00107.80108.82
Gamma HHI0.670.570.860.770.58
Net GEX-12.7K-23.8K-1.1K-2.3K-21.9K
Net DEX370.9K133.0K570.7K254.6K457.5K
Net VEX-2.2K-3.4K-906-906-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio31.772.4388.002.4388.00
Total Volume481.364127756127712
Total OI801.5914981,1884981,005

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$13.38$15.0024.7%7.1%15.0%27.2%34.5%0.0%93.6%-2.3K254.6K-9062.43107.803790222276
2015-07-02$13.41$15.0032.5%9.3%14.6%46.1%38.0%-4.9%-12.1%-2.3K247.3K-9952.57108.413795222286
2015-07-06$13.52$0.0032.6%7.1%14.5%46.5%0.0%5.5%5.3%-2.9K277.2K-9612.57106.183795222299
2015-07-07$13.75$0.0038.8%5.5%15.9%61.5%0.0%2.4%10.6%-2.6K259.6K-1.0K2.5096.713895222299
2015-07-08$13.67$0.0038.5%6.0%15.1%60.8%0.0%0.4%7.5%-1.3K140.3K-1.1K2.50108.273895228299
2015-07-09$13.60$0.0042.8%6.3%14.9%71.4%0.0%-1.6%4.6%-1.1K133.0K-1.1K2.50107.953895228299
2015-07-10$13.70$0.0045.6%21.1%15.1%78.2%0.0%-1.0%-97.7%-2.0K214.8K-1.2K2.50120.003895228299
2015-07-13$13.81$0.0055.0%19.4%15.2%100.0%0.0%2.0%1.1%-2.4K234.6K-1.1K2.50117.723895228299
2015-07-14$13.80$0.0049.7%5.6%14.8%87.2%0.0%1.8%0.2%-3.9K248.6K-1.1K2.50112.403895228299
2015-07-15$13.76$0.0021.1%6.0%14.7%18.2%0.0%1.1%-6.2%-2.9K241.7K-1.1K18.89108.6938718228299
2015-07-16$13.80$0.0020.9%6.0%14.7%17.6%0.0%1.5%0.2%-23.4K560.6K-3.1K18.63108.5638708228960
2015-07-17$13.80$0.0021.1%6.1%13.7%18.3%0.0%1.7%-2.6%-22.9K570.7K-3.2K22.77107.6831706228959
2015-07-20$13.70$0.0021.3%6.1%13.8%18.8%0.0%0.5%83.6%-22.7K491.7K-3.1K50.29107.5814704116889
2015-07-21$13.70$0.0025.7%7.4%13.7%29.4%0.0%1.6%-4.0%-18.8K476.6K-3.3K50.29108.7514704116889
2015-07-22$13.73$0.0024.9%7.1%13.2%27.3%0.0%0.6%-3.9%-23.1K467.0K-3.1K50.29108.9714704116889
2015-07-23$13.74$0.0025.2%7.2%13.1%28.1%0.0%0.5%-4.1%-23.8K458.4K-3.1K50.29107.6614704116889
2015-07-24$13.65$0.0022.1%6.3%11.7%20.7%0.0%-1.6%-4.6%-21.5K482.9K-3.1K50.2997.7314704116889
2015-07-27$13.52$0.0026.3%7.5%12.1%30.7%0.0%2.7%2.2%-22.1K492.7K-3.1K50.29102.5514704116889
2015-07-28$13.55$0.0025.3%7.3%10.5%28.3%0.0%3.5%3.3%-21.6K508.3K-3.1K50.29102.7914704116889
2015-07-29$13.64$0.0027.1%7.8%10.3%32.7%0.0%-0.6%-5.5%-22.2K489.6K-3.1K88.00108.828704116889
2015-07-30$13.65$0.0023.8%6.8%10.1%24.6%0.0%-6.3%-5.7%-12.5K452.8K-3.4K88.00104.028704116889
2015-07-31$13.78$0.0024.8%7.1%10.6%27.1%0.0%1.0%-8.1%-21.9K457.5K-3.1K88.00108.828704116889