BDN Options History — September 2015

In September 2015, BDN traded between $11.72 and $12.51. ATM implied volatility averaged 30.2%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.0% (HV 20d: 31.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 20.01.

Notable Days

  • 2015-09-09: Highest Volume — 743 contracts
  • 2015-09-16: Largest IV spike — 21.7% change
  • 2015-09-04: Highest IV Rank — 56.0%
  • 2015-09-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.13$11.72$12.51$11.84$12.33
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV30.2%23.6%37.6%35.7%32.5%
Expected Move8.4%6.6%10.2%10.2%9.3%
HV 20d31.2%22.5%36.3%31.4%22.5%
HV 60d23.1%21.6%24.2%21.8%23.8%
IV Rank37.3%20.7%56.0%51.1%43.1%
IV Percentile83.9%58.7%94.8%94.4%89.7%
Term Structure-3.4%-9.0%4.9%-5.6%-4.7%
VWIV28.7%22.5%36.5%30.9%32.5%
Skew 25d1.9%-5.1%12.9%2.4%3.7%
Skew 10d0.9%-9.1%13.5%2.0%2.9%
Call IV 25d33.2%23.9%43.0%43.0%36.1%
Put IV 25d35.1%27.5%46.2%45.3%39.8%
Bid-Ask Spread %102.6464.55108.16103.7664.55
Gamma HHI0.770.740.820.760.77
Net GEX-19.8K-22.6K-17.0K-17.7K-21.4K
Net DEX737.8K694.1K775.8K756.5K720.8K
Net VEX-1.9K-2.1K-1.8K-2.0K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.014.9137.0537.054.91
Total Volume514.2380743723201
Total OI1,015.0489961,0501,0011,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$11.84$0.0035.7%10.2%31.4%51.1%0.0%2.4%-5.6%-17.7K756.5K-2.0K37.05103.7619704112889
2015-09-02$11.87$0.0033.8%9.7%31.4%46.4%0.0%5.4%-2.1%-17.5K740.4K-2.0K32.00106.8722704114889
2015-09-03$12.05$15.0033.9%8.8%32.0%46.6%30.9%1.0%-5.5%-18.4K741.8K-2.1K32.0093.9722704117889
2015-09-04$11.74$15.0037.6%8.5%32.7%56.0%24.5%6.2%-9.0%-17.0K750.2K-1.9K22.7199.2131704117889
2015-09-08$11.94$15.0034.4%6.6%33.7%48.0%0.0%5.6%1.8%-17.7K755.1K-1.9K0.00107.9700117889
2015-09-09$11.72$15.0029.1%8.3%33.6%34.6%24.8%-4.6%-8.3%-17.2K763.6K-1.8K22.97102.6531712117889
2015-09-10$11.85$15.0031.0%8.9%34.2%39.4%31.5%-1.3%-8.0%-17.9K764.2K-1.8K22.97105.2031712117879
2015-09-11$12.01$15.0030.6%8.8%34.9%38.4%31.9%0.1%-5.6%-18.7K775.8K-1.8K22.97105.7231712117879
2015-09-14$12.04$15.0027.6%7.9%34.7%30.8%25.9%-1.9%-6.5%-18.8K751.2K-1.9K22.97106.8731712117879
2015-09-15$12.23$15.0023.6%6.8%35.4%20.7%0.0%7.9%0.8%-21.2K741.7K-1.9K0.00106.0200117879
2015-09-16$12.31$15.0028.7%8.2%35.3%33.6%29.8%2.9%-4.3%-21.4K728.9K-1.9K27.38107.9726712117879
2015-09-17$12.50$15.0030.0%8.6%36.1%36.7%30.5%3.2%-4.4%-22.2K694.1K-2.1K27.38103.7926712123879
2015-09-18$12.34$15.0027.6%7.9%36.1%30.8%28.2%1.5%-1.8%-21.0K712.0K-2.0K33.90104.0821712133879
2015-09-21$12.51$15.0027.7%7.9%36.3%30.9%28.0%-5.1%-0.0%-21.1K694.6K-2.0K22.97106.5331712138879
2015-09-22$12.26$15.0025.1%7.2%28.6%24.3%22.5%1.4%-0.8%-21.1K701.0K-2.0K22.97104.8131712138879
2015-09-23$12.32$15.0029.3%8.4%26.1%35.1%29.8%-3.3%-0.9%-22.3K714.3K-1.9K5.03106.9834171143879
2015-09-24$12.17$15.0027.6%7.9%25.3%30.8%24.8%-2.2%-3.4%-20.3K737.2K-1.9K5.03101.2634171153894
2015-09-25$12.20$15.0027.3%7.8%25.1%29.9%25.1%4.2%-3.2%-20.3K746.8K-1.9K5.03106.3534171153894
2015-09-28$12.09$15.0031.9%9.2%25.3%41.7%30.5%-1.1%-5.6%-20.0K761.7K-1.8K5.03102.8234171153894
2015-09-29$12.36$15.0029.3%8.4%24.5%35.1%36.5%12.9%4.9%-22.6K742.5K-1.9K4.91108.1634167153894
2015-09-30$12.33$15.0032.5%9.3%22.5%43.1%32.5%3.7%-4.7%-21.4K720.8K-2.0K4.9164.5534167153897