BDN Options History — November 2015

In November 2015, BDN traded between $12.77 and $13.79. ATM implied volatility averaged 26.6%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 1.9% (HV 20d: 24.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 11.98.

Notable Days

  • 2015-11-19: Highest Volume — 769 contracts
  • 2015-11-30: Largest IV spike — 18.1% change
  • 2015-11-05: Highest IV Rank — 39.2%
  • 2015-11-04: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.37$12.77$13.79$13.76$13.76
Max Pain$14.63$12.50$15.00$12.50$15.00
ATM IV26.6%22.5%30.9%27.8%26.6%
Expected Move7.2%5.4%8.8%8.0%7.6%
HV 20d24.7%21.2%28.3%21.2%22.1%
HV 60d26.1%22.5%28.9%27.1%22.5%
IV Rank28.2%17.8%39.2%31.3%28.2%
IV Percentile64.6%40.1%84.9%74.6%65.1%
Term Structure-1.5%-12.8%8.4%-12.8%-10.1%
VWIV26.2%16.6%46.6%32.7%24.7%
Skew 25d5.1%-3.3%36.8%-1.1%5.7%
Skew 10d14.2%-3.0%105.8%0.2%7.9%
Call IV 25d25.3%18.8%34.6%30.5%26.4%
Put IV 25d30.4%19.7%61.3%29.4%32.1%
Bid-Ask Spread %100.8425.90129.25109.17109.59
Gamma HHI0.670.580.790.580.61
Net GEX-27.5K-29.6K-25.6K-25.6K-26.4K
Net DEX501.4K400.2K626.2K427.7K400.2K
Net VEX-1.7K-2.0K-1.1K-2.0K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.985.9724.605.9724.60
Total Volume266.7507692305
Total OI1,050.251,0481,0591,0491,048

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$13.76$12.5027.8%8.0%21.2%31.3%32.7%-1.1%-12.8%-25.6K427.7K-2.0K5.97109.1733197150899
2015-11-03$13.64$12.5030.2%8.7%21.7%37.3%30.6%-0.5%-10.1%-26.8K420.5K-1.9K5.97110.2733197150899
2015-11-04$13.47$12.5030.7%8.8%22.3%38.6%30.1%-3.3%-10.5%-27.4K443.6K-1.9K5.97108.7633197150899
2015-11-05$13.62$15.0030.9%5.5%22.5%39.2%19.7%1.5%8.1%-26.9K455.2K-1.9K5.97104.7833197150899
2015-11-06$13.15$15.0028.2%5.4%26.2%32.4%0.0%-2.0%8.4%-26.9K557.0K-1.9K0.00108.5800150899
2015-11-09$12.77$15.0026.9%7.0%27.9%28.9%0.0%1.9%1.7%-27.1K615.0K-1.8K0.00104.8800150899
2015-11-10$12.96$15.0030.5%6.2%28.3%38.1%16.6%36.8%7.9%-27.9K626.2K-1.7K8.57102.6923197150899
2015-11-11$12.97$15.0026.3%7.5%28.1%27.5%21.9%34.0%-0.1%-27.8K591.0K-1.7K8.57101.6023197150899
2015-11-12$12.95$15.0022.7%6.5%28.1%18.4%26.9%2.3%4.8%-28.2K595.1K-1.7K8.5784.4823197150899
2015-11-13$12.95$15.0026.3%7.5%27.8%27.4%46.6%2.6%0.4%-28.1K586.9K-1.7K8.57129.2523197150899
2015-11-16$13.04$15.0022.8%6.5%27.8%18.6%0.0%-0.1%8.1%-27.4K590.6K-1.7K0.0089.0600150899
2015-11-17$13.13$15.0025.9%7.4%27.8%26.6%24.9%1.9%1.1%-29.6K567.0K-1.6K6.35103.0631197150899
2015-11-18$13.30$15.0028.7%8.2%28.0%33.6%18.9%3.7%-1.2%-28.4K515.4K-1.7K6.35102.9131197160899
2015-11-19$13.44$15.0024.1%6.9%22.2%21.8%24.6%0.3%0.1%-28.6K479.1K-1.6K23.81109.3531738160899
2015-11-20$13.66$15.0025.4%7.3%22.7%25.2%23.6%3.3%-3.7%-26.9K447.5K-1.7K23.81109.6731738160899
2015-11-23$13.66$15.0026.9%7.7%22.6%28.9%0.0%3.5%-3.9%-28.1K429.8K-1.3K0.00109.3100149899
2015-11-24$13.65$15.0025.2%7.2%22.6%24.6%0.0%4.2%-3.5%-27.9K434.0K-1.5K0.0084.9500149899
2015-11-25$13.76$15.0023.5%6.7%22.4%20.4%24.9%5.1%-7.9%-26.8K430.0K-1.6K24.60108.6030738149899
2015-11-27$13.79$15.0022.5%6.4%22.5%17.8%24.7%3.2%-6.0%-27.2K416.3K-1.5K24.6025.9030738149899
2015-11-30$13.76$15.0026.6%7.6%22.1%28.2%0.0%5.7%-10.1%-26.4K400.2K-1.1K0.00109.5905149899