BDN Options History — December 2015

In December 2015, BDN traded between $12.75 and $13.87. ATM implied volatility averaged 27.8%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 7.3% (HV 20d: 20.4%). 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 4 of 22 days. Put/call ratio averaged 3.78.

Notable Days

  • 2015-12-02: Highest Volume — 763 contracts
  • 2015-12-29: Largest IV spike — 38.9% change
  • 2015-12-30: Highest IV Rank — 49.0%
  • 2015-12-30: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.24$12.75$13.87$13.87$13.67
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV27.8%23.1%34.8%26.1%28.1%
Expected Move7.8%6.2%10.0%7.5%8.1%
HV 20d20.4%17.2%23.7%21.4%21.5%
HV 60d22.3%21.7%22.9%21.7%21.8%
IV Rank31.2%19.3%49.0%27.0%32.2%
IV Percentile67.9%39.3%92.9%61.9%71.0%
Term Structure-4.3%-18.0%5.4%-8.3%-18.0%
VWIV27.6%18.0%39.1%25.7%39.1%
Skew 25d-1.3%-18.1%7.7%7.7%-18.1%
Skew 10d1.0%-20.1%12.2%9.3%-20.1%
Call IV 25d29.5%18.0%37.3%26.0%37.3%
Put IV 25d28.1%18.8%33.7%33.7%19.3%
Bid-Ask Spread %97.3168.24110.00110.00104.76
Gamma HHI0.860.560.980.560.74
Net GEX-26.4K-32.3K-15.2K-24.8K-15.2K
Net DEX493.9K338.8K647.9K377.3K339.3K
Net VEX-1.3K-1.6K-896-972-906
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.780.0014.300.002.83
Total Volume297.1361176311245
Total OI1,225.7271,0531,2611,0531,251

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$13.87$15.0026.1%7.5%21.4%27.0%0.0%7.7%-8.3%-24.8K377.3K-9720.00110.00110149904
2015-12-02$13.54$15.0026.7%7.7%22.9%28.5%25.7%-5.6%4.2%-26.5K476.0K-1.6K3.8085.95159604160904
2015-12-03$13.27$15.0024.4%7.8%23.6%22.6%27.6%-2.8%-1.7%-26.1K483.2K-1.6K5.5477.61109604275904
2015-12-04$13.45$15.0027.1%6.2%23.7%29.4%24.3%6.5%5.4%-25.2K447.5K-1.6K5.5473.80109604320904
2015-12-07$13.31$15.0026.1%8.1%20.3%27.0%28.9%7.5%-2.5%-25.7K490.9K-1.6K14.3092.0510143320904
2015-12-08$13.21$15.0034.4%6.3%17.3%47.9%23.4%-1.0%2.0%-27.7K490.6K-1.4K2.58103.7974191330900
2015-12-09$13.07$15.0026.3%7.5%17.2%27.5%26.6%0.8%-3.8%-28.4K545.5K-1.5K2.58103.4674191330900
2015-12-10$12.94$15.0027.5%7.9%17.5%30.6%27.4%0.5%-4.4%-28.0K564.9K-1.5K2.5895.3074191330900
2015-12-11$12.76$15.0025.8%7.4%18.2%26.1%25.8%-0.6%-1.6%-31.1K632.0K-1.4K2.30102.0283191330900
2015-12-14$12.77$15.0026.5%7.6%18.2%28.1%26.6%-4.2%-0.5%-31.7K647.9K-1.4K3.54107.6654191359900
2015-12-15$12.89$15.0026.0%7.5%18.4%26.8%26.2%3.9%-1.4%-31.2K594.1K-1.4K3.5479.2754191361900
2015-12-16$13.13$15.0027.4%7.8%19.4%30.2%29.7%3.5%1.4%-26.9K526.5K-1.5K3.54108.7054191361900
2015-12-17$13.05$15.0028.3%8.1%18.9%32.6%28.3%-0.2%-6.3%-28.7K546.0K-1.4K3.54103.1554191361891
2015-12-18$12.90$15.0027.7%7.9%18.8%31.0%27.6%-2.1%-3.0%-31.2K597.8K-1.3K3.5491.0854191361900
2015-12-21$12.75$15.0028.7%8.2%17.8%33.5%28.3%0.1%-4.7%-32.3K613.1K-1.2K3.35100.7254181361890
2015-12-22$12.95$15.0028.8%8.2%19.0%33.7%28.6%-1.2%-3.6%-32.2K579.6K-1.2K3.3568.2454181361890
2015-12-23$13.40$15.0028.6%8.2%23.1%33.3%32.8%2.4%-3.6%-29.0K454.4K-1.3K3.35106.8554181361890
2015-12-24$13.44$15.0023.1%6.6%22.9%19.3%18.0%-12.8%-6.8%-23.5K404.7K-1.0K3.35104.5154181361890
2015-12-28$13.54$15.0024.5%7.0%23.0%22.8%20.9%-7.0%-9.6%-18.6K369.0K-8963.35103.1954181361890
2015-12-29$13.69$15.0034.0%9.7%23.4%46.9%31.5%-3.5%-14.4%-19.3K345.7K-1.1K3.35109.1954181361890
2015-12-30$13.71$15.0034.8%10.0%23.2%49.0%32.8%-2.8%-14.1%-18.7K338.8K-1.1K3.35109.4654181361890
2015-12-31$13.67$15.0028.1%8.1%21.5%32.2%39.1%-18.1%-18.0%-15.2K339.3K-9062.83104.7664181361890