BDN Options History — October 2015

In October 2015, BDN traded between $12.10 and $13.68. ATM implied volatility averaged 29.2%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 7.3% (HV 20d: 21.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 4.42.

Notable Days

  • 2015-10-22: Highest Volume — 230 contracts
  • 2015-10-14: Largest IV drop — 39.4% change
  • 2015-10-13: Highest IV Rank — 75.4%
  • 2015-10-22: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.04$12.10$13.68$12.10$13.52
Max Pain$12.81$12.50$15.00$15.00$12.50
ATM IV29.2%22.3%45.2%33.2%23.7%
Expected Move7.7%6.4%9.6%9.5%6.8%
HV 20d21.9%18.4%24.5%23.7%22.5%
HV 60d25.7%24.1%27.4%24.1%26.8%
IV Rank34.7%17.4%75.4%44.9%20.8%
IV Percentile73.6%42.5%98.0%91.3%51.6%
Term Structure-3.0%-11.3%3.9%-6.8%1.8%
VWIV26.5%20.5%31.3%31.3%27.1%
Skew 25d13.2%-8.5%62.2%-1.0%-8.5%
Skew 10d31.5%-10.3%126.8%-4.4%-10.3%
Call IV 25d28.1%24.5%41.0%41.0%30.0%
Put IV 25d41.3%21.5%88.2%39.9%21.5%
Bid-Ask Spread %101.5344.23110.31103.98103.14
Gamma HHI0.670.560.790.770.60
Net GEX-24.0K-27.4K-19.7K-19.7K-27.4K
Net DEX549.2K407.9K722.1K711.0K440.2K
Net VEX-2.0K-2.2K-1.8K-1.8K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.420.005.974.915.97
Total Volume207.13620230201230
Total OI1,044.7739951,0631,0351,049

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$12.10$15.0033.2%9.5%23.7%44.9%31.3%-1.0%-6.8%-19.7K711.0K-1.8K4.91103.9834167153882
2015-10-02$12.22$15.0030.3%8.7%23.3%37.5%29.4%5.9%-1.7%-20.3K722.1K-1.9K4.91109.1934167158882
2015-10-05$12.58$0.0026.9%7.8%23.1%28.9%0.0%60.6%-2.1%-23.3K701.3K-1.9K0.0075.18200158882
2015-10-06$12.66$0.0027.6%7.5%22.6%30.8%0.0%59.7%-3.0%-22.8K640.0K-2.0K3.09101.1254167178882
2015-10-07$12.79$0.0033.8%8.3%21.2%46.4%0.0%4.6%-3.6%-22.2K617.0K-2.1K3.09106.3054167178882
2015-10-08$12.81$0.0028.9%7.8%21.1%34.1%0.0%1.3%-3.3%-23.1K613.4K-2.0K3.09102.1354167178882
2015-10-09$12.87$0.0034.0%7.9%20.8%46.9%0.0%47.8%-2.7%-23.0K567.5K-2.1K3.09107.2454167178882
2015-10-12$13.04$0.0042.1%6.4%21.1%67.4%20.9%-0.4%3.9%-23.9K550.4K-2.1K4.91107.5934167178882
2015-10-13$12.92$12.5045.2%8.3%21.1%75.4%29.2%3.8%-4.3%-23.2K560.6K-2.0K4.91108.1334167181882
2015-10-14$12.81$12.5027.4%7.9%21.4%30.3%27.4%3.4%-1.4%-22.0K583.1K-2.0K4.91109.7134167181882
2015-10-15$12.80$12.5029.7%8.5%20.9%36.1%29.7%62.2%-4.4%-22.4K598.9K-2.0K4.9194.7834167181882
2015-10-16$12.93$12.5027.4%7.8%20.4%30.2%27.2%42.1%-3.4%-25.7K547.7K-1.9K3.48103.1648167179882
2015-10-19$13.05$12.5027.4%7.9%20.1%30.3%26.8%-1.5%-1.6%-23.9K554.5K-2.0K3.34104.6347157136859
2015-10-20$13.14$12.5026.0%7.4%18.4%26.7%23.2%13.6%1.4%-25.0K520.8K-2.0K3.34106.4747157148859
2015-10-21$13.04$12.5025.7%7.4%18.8%25.8%22.4%4.9%1.7%-26.1K516.7K-1.9K3.5544.2347167148859
2015-10-22$13.68$12.5033.6%9.6%23.8%45.9%30.3%7.1%-10.8%-24.5K407.9K-2.1K5.97107.0533197148869
2015-10-23$13.54$12.5023.5%6.7%24.5%20.3%20.5%0.8%-1.1%-26.0K458.9K-2.2K5.97107.8133197150899
2015-10-26$13.47$12.5022.3%6.4%24.2%17.4%24.1%-4.3%-5.2%-25.9K449.3K-2.1K5.97108.2733197150899
2015-10-27$13.53$12.5024.3%7.0%23.4%22.5%27.1%-5.7%-6.5%-25.4K464.4K-2.1K5.97110.3133197150899
2015-10-28$13.67$12.5023.1%6.6%23.3%19.3%22.7%-2.6%-2.4%-25.2K439.9K-2.2K5.97108.6833197150899
2015-10-29$13.67$12.5025.9%7.4%21.7%26.5%30.4%-3.1%-11.3%-26.0K417.5K-2.0K5.97104.5533197150899
2015-10-30$13.52$12.5023.7%6.8%22.5%20.8%27.1%-8.5%1.8%-27.4K440.2K-1.9K5.97103.1433197150899