BDN Options History — January 2016

Name: BDN Options Analytics - January 2016
Creator: Options Analysis Suite

In January 2016, BDN traded between $11.97 and $13.97. ATM implied volatility averaged 32.4%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.2% (HV 20d: 27.2%). Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.40.

Notable Days

2016-01-14: Highest Volume — 284 contracts
2016-01-11: Largest IV spike — 43.8% change
2016-01-11: Highest IV Rank — 100.0%
2016-01-21: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.85	$11.97	$13.97	$13.52	$12.72
ATM IV	32.4%	25.1%	58.5%	30.9%	26.8%
Expected Move	7.3%	4.7%	9.0%	7.4%	7.7%
HV 20d	27.2%	20.6%	31.8%	20.6%	29.4%
HV 60d	24.1%	21.9%	24.8%	21.9%	24.7%
IV Rank	40.5%	22.4%	100.0%	39.2%	26.4%
IV Percentile	74.9%	48.0%	100.0%	83.7%	58.3%
Term Structure	0.7%	-8.5%	7.0%	4.3%	3.6%
Skew 25d	6.7%	-7.0%	77.9%	8.4%	0.3%
Skew 10d	17.6%	-9.4%	128.9%	81.9%	-4.2%
Call IV 25d	26.1%	16.9%	33.7%	19.5%	31.6%
Put IV 25d	32.7%	16.5%	107.5%	27.9%	32.0%
Bid-Ask Spread %	87.13	23.35	111.79	102.09	107.57
Gamma HHI	0.78	0.52	0.96	0.67	0.81
Net GEX	-10.6K	-85.5K	10.6K	-11.3K	10.6K
Net DEX	151.9K	-115.2K	517.1K	339.2K	-115.2K
Net VEX	-825	-1.1K	-509	-771	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.03	3.73	2.83	0.03
Total Volume	232.368	135	284	245	245
Total OI	919.895	400	1,243	1,238	616

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$13.52	$0.00	30.9%	7.4%	20.6%	39.2%	0.0%	8.4%	4.3%	-11.3K	339.2K	-771	2.83	102.09	64	181	348	890
2016-01-05	$13.88	$0.00	35.9%	4.7%	22.1%	51.7%	0.0%	12.6%	6.4%	-7.6K	280.9K	-851	3.07	102.20	59	181	345	890
2016-01-06	$13.97	$0.00	37.4%	5.1%	21.7%	55.5%	0.0%	5.1%	7.0%	-10.5K	248.7K	-965	3.07	109.60	59	181	350	890
2016-01-07	$13.67	$0.00	39.1%	5.6%	23.1%	59.7%	0.0%	-0.1%	3.3%	-6.4K	313.6K	-747	3.07	103.69	59	181	350	890
2016-01-08	$13.23	$0.00	40.7%	6.7%	25.8%	63.8%	0.0%	-7.0%	-8.5%	-23.8K	405.3K	-767	3.07	104.56	59	181	350	890
2016-01-11	$13.37	$0.00	58.5%	6.7%	25.7%	100.0%	0.0%	7.5%	6.5%	-17.1K	373.9K	-708	2.59	73.15	59	153	350	890
2016-01-12	$12.96	$0.00	41.3%	7.8%	27.7%	60.1%	0.0%	5.6%	-1.4%	-41.6K	428.9K	-655	2.78	23.42	55	153	350	892
2016-01-13	$12.76	$0.00	27.4%	7.9%	28.3%	27.9%	0.0%	4.8%	-1.1%	-66.4K	517.1K	-636	3.73	93.52	41	153	351	892
2016-01-14	$12.71	$0.00	26.0%	7.5%	28.2%	24.6%	0.0%	4.0%	-1.0%	-85.5K	512.8K	-546	1.17	47.04	131	153	351	892
2016-01-15	$12.55	$0.00	27.4%	7.8%	27.5%	27.7%	0.0%	77.9%	1.0%	-2.9K	176.7K	-710	0.84	105.67	131	110	461	782
2016-01-19	$12.50	$0.00	27.5%	7.9%	27.5%	28.1%	0.0%	3.0%	-1.3%	5.8K	-55.7K	-651	0.05	91.22	128	7	365	35
2016-01-20	$12.01	$0.00	30.4%	8.7%	30.5%	34.8%	0.0%	-0.5%	-2.9%	3.8K	-23.3K	-509	0.03	96.15	232	7	365	37
2016-01-21	$11.97	$0.00	31.6%	9.0%	30.3%	37.5%	0.0%	-1.2%	-2.2%	6.9K	-59.2K	-883	0.03	23.35	232	7	569	37
2016-01-22	$12.33	$0.00	25.1%	7.2%	31.8%	22.4%	0.0%	-4.8%	0.9%	7.8K	-69.9K	-929	0.03	108.15	232	7	569	37
2016-01-25	$12.37	$0.00	28.5%	8.2%	28.9%	30.4%	0.0%	3.1%	-3.0%	8.4K	-77.8K	-962	0.03	90.08	232	7	569	37
2016-01-26	$12.53	$0.00	29.2%	8.4%	29.4%	32.0%	0.0%	0.4%	-2.1%	9.5K	-100.0K	-1.1K	0.03	103.67	238	7	569	37
2016-01-27	$12.55	$0.00	25.8%	7.4%	29.2%	24.1%	0.0%	5.1%	0.8%	9.4K	-94.7K	-1.1K	0.03	111.79	238	7	579	37
2016-01-28	$12.53	$0.00	25.5%	7.3%	28.7%	23.5%	0.0%	2.4%	2.6%	9.9K	-114.7K	-1.1K	0.03	58.47	238	7	579	37
2016-01-29	$12.72	$0.00	26.8%	7.7%	29.4%	26.4%	0.0%	0.3%	3.6%	10.6K	-115.2K	-1.1K	0.03	107.57	238	7	579	37