BDN Options History — August 2015

In August 2015, BDN traded between $12.15 and $13.99. ATM implied volatility averaged 27.8%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 9.7% (HV 20d: 18.1%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 92.89.

Notable Days

  • 2015-08-26: Highest Volume — 731 contracts
  • 2015-08-12: Largest IV drop — 58.7% change
  • 2015-08-11: Highest IV Rank — 72.8%
  • 2015-08-07: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.31$12.15$13.99$13.99$12.15
ATM IV27.8%18.1%43.7%26.7%30.2%
Expected Move7.9%5.2%20.4%7.6%8.7%
HV 20d18.1%11.4%31.2%11.4%30.9%
HV 60d16.5%14.7%21.2%14.8%21.2%
IV Rank33.1%10.9%72.8%31.7%37.4%
IV Percentile72.1%11.1%98.0%82.9%88.5%
Term Structure-4.4%-100.4%9.9%-11.6%-4.1%
Skew 25d-4.3%-88.9%5.2%-1.5%2.9%
Skew 10d-7.2%-155.7%8.9%-5.3%5.9%
Call IV 25d31.5%17.1%107.3%30.8%39.6%
Put IV 25d27.2%18.1%42.5%29.3%42.5%
Bid-Ask Spread %110.62102.88140.45114.27104.41
Gamma HHI0.630.570.750.570.73
Net GEX-23.0K-24.4K-19.4K-23.8K-19.4K
Net DEX555.6K441.8K745.8K441.8K723.1K
Net VEX-2.7K-3.0K-2.1K-2.9K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio92.890.00140.8088.0026.07
Total Volume613.09507310731
Total OI1,003.9529911,0061,0051,001

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$13.99$0.0026.7%7.6%11.4%31.7%0.0%-1.5%-11.6%-23.8K441.8K-2.9K0.00114.2700116889
2015-08-04$13.73$0.0033.0%9.4%12.1%46.8%0.0%2.4%-9.1%-22.1K452.8K-3.0K88.00107.278704116889
2015-08-05$13.52$0.0027.2%7.8%13.2%33.0%0.0%-7.8%-7.9%-24.4K516.5K-2.9K88.00107.368704116889
2015-08-06$13.62$0.0027.9%5.7%13.3%34.7%0.0%3.4%7.0%-23.8K532.7K-2.9K88.00107.438704116889
2015-08-07$13.57$0.0028.8%20.4%13.1%36.8%0.0%-88.9%-100.4%-23.8K521.2K-2.9K88.00140.458704116889
2015-08-10$13.59$0.0036.6%6.1%12.7%55.7%0.0%5.2%8.5%-24.2K511.6K-2.8K140.80102.885704116889
2015-08-11$13.69$0.0043.7%6.1%13.1%72.8%0.0%2.9%9.8%-24.1K505.1K-2.9K0.00108.0800116889
2015-08-12$13.59$0.0018.1%5.2%13.3%10.9%0.0%-3.2%9.0%-23.9K518.8K-2.9K140.80108.175704116889
2015-08-13$13.58$0.0019.4%5.6%13.2%14.1%0.0%-4.3%5.4%-23.2K528.3K-2.9K140.80107.535704116889
2015-08-14$13.69$0.0023.4%6.7%13.6%23.6%0.0%2.0%6.6%-23.4K487.4K-2.9K140.80113.905704116889
2015-08-17$13.75$0.0021.6%6.2%13.4%19.4%0.0%2.1%9.9%-23.9K492.5K-2.9K140.80107.035704116889
2015-08-18$13.85$0.0021.1%6.0%13.7%18.1%0.0%2.8%-7.0%-24.0K473.9K-2.8K140.80107.375704116889
2015-08-19$13.85$0.0021.4%6.1%13.6%15.1%0.0%2.8%-3.9%-24.1K463.2K-2.8K0.00112.0810116889
2015-08-20$13.72$0.0026.4%7.6%14.1%27.7%0.0%-0.3%2.6%-23.5K493.0K-2.8K140.80108.815704117889
2015-08-21$13.44$0.0023.5%6.7%15.7%20.5%0.0%-3.2%3.9%-24.2K504.7K-2.7K140.80108.285704117889
2015-08-24$12.58$0.0033.7%9.7%28.0%46.1%0.0%4.2%-4.0%-21.9K649.9K-2.5K140.80133.055704117889
2015-08-25$12.17$0.0029.7%8.5%29.8%36.1%0.0%1.8%-1.7%-20.4K702.4K-2.3K41.41104.5517704117889
2015-08-26$12.43$0.0030.9%8.9%31.0%39.1%0.0%-4.0%-2.8%-21.5K745.8K-2.2K26.07106.0927704102889
2015-08-27$12.52$0.0030.6%8.8%31.2%38.3%0.0%-4.7%-1.7%-22.0K703.6K-2.3K26.07105.3527704112889
2015-08-28$12.50$0.0030.3%8.7%30.8%37.5%0.0%-5.4%-1.7%-21.7K698.4K-2.3K26.07108.6027704112889
2015-08-31$12.15$0.0030.2%8.7%30.9%37.4%0.0%2.9%-4.1%-19.4K723.1K-2.1K26.07104.4127704112889