BDN Options History — February 2016

In February 2016, BDN traded between $11.29 and $12.96. ATM implied volatility averaged 30.5%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.8% (HV 20d: 33.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.11.

Notable Days

2016-02-18: Highest Volume — 312 contracts
2016-02-08: Largest IV spike — 41.9% change
2016-02-08: Highest IV Rank — 66.8%
2016-02-03: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.19	$11.29	$12.96	$12.82	$12.34
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	30.5%	25.8%	44.2%	29.6%	28.9%
Expected Move	8.2%	6.7%	11.0%	8.5%	8.3%
HV 20d	33.3%	28.5%	37.1%	29.7%	33.7%
HV 60d	27.2%	24.1%	28.7%	24.7%	28.7%
IV Rank	33.4%	20.4%	66.8%	32.8%	27.9%
IV Percentile	71.6%	46.0%	98.0%	76.6%	71.0%
Term Structure	0.5%	-11.0%	7.8%	-1.8%	0.2%
VWIV	27.1%	22.8%	33.8%	26.5%	28.9%
Skew 25d	2.2%	-7.6%	22.3%	-4.0%	0.5%
Skew 10d	3.5%	-8.1%	27.0%	-7.1%	1.3%
Call IV 25d	30.7%	25.1%	38.4%	35.6%	27.1%
Put IV 25d	32.9%	26.8%	50.2%	31.7%	27.5%
Bid-Ask Spread %	68.73	25.39	108.70	68.85	28.38
Gamma HHI	0.70	0.56	0.83	0.82	0.56
Net GEX	8.0K	4.4K	11.5K	11.0K	8.4K
Net DEX	-72.9K	-134.2K	-13.1K	-119.5K	-89.3K
Net VEX	-897	-1.2K	-605	-1.1K	-912
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.03	0.17	0.03	0.17
Total Volume	249.4	180	312	245	180
Total OI	651.2	616	695	616	659

Daily Data (20 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
2016-02-01	$12.82	$0.00	29.6%	8.5%	29.7%	32.8%	0.0%	-4.0%	-1.8%	11.0K	-119.5K	-1.1K	0.03	68.85	238	7	579	37
2016-02-02	$12.59	$0.00	31.6%	9.1%	30.1%	37.7%	0.0%	3.3%	-7.6%	9.8K	-108.0K	-1.0K	0.03	102.02	238	7	579	37
2016-02-03	$12.73	$0.00	38.3%	11.0%	28.5%	53.1%	0.0%	0.8%	-11.0%	10.5K	-114.7K	-1.1K	0.03	71.39	238	7	579	37
2016-02-04	$12.96	$12.50	30.0%	6.7%	29.4%	33.9%	26.5%	12.5%	7.8%	11.5K	-134.2K	-1.2K	0.03	104.93	259	7	579	37
2016-02-05	$12.53	$12.50	31.1%	7.3%	30.6%	36.5%	25.4%	3.2%	2.3%	10.9K	-111.9K	-1.0K	0.10	108.70	259	25	600	37
2016-02-08	$11.84	$12.50	44.2%	8.0%	34.5%	66.8%	24.5%	-0.9%	3.2%	6.7K	-49.7K	-863	0.10	104.06	259	25	600	57
2016-02-09	$11.63	$12.50	37.8%	7.8%	34.2%	52.0%	23.6%	-1.3%	3.1%	5.7K	-33.3K	-763	0.10	107.25	259	27	600	57
2016-02-10	$11.66	$12.50	26.6%	7.6%	33.1%	26.0%	22.8%	-0.9%	1.6%	5.8K	-34.1K	-754	0.10	107.66	260	27	600	59
2016-02-11	$11.29	$12.50	31.1%	8.9%	34.3%	36.3%	27.7%	-7.6%	-1.2%	4.4K	-13.1K	-605	0.11	93.90	260	28	601	59
2016-02-12	$11.56	$12.50	27.3%	7.8%	35.9%	27.6%	28.7%	-1.3%	4.9%	5.0K	-19.1K	-688	0.10	83.08	277	28	601	60
2016-02-16	$11.71	$12.50	34.0%	9.7%	36.3%	43.1%	33.8%	-2.1%	0.5%	6.3K	-36.4K	-786	0.10	83.09	277	28	618	60
2016-02-17	$11.92	$12.50	30.1%	8.6%	37.1%	30.9%	30.1%	3.9%	1.0%	7.1K	-44.4K	-793	0.10	107.39	277	28	618	60
2016-02-18	$12.09	$12.50	26.5%	7.6%	34.7%	21.9%	26.5%	22.3%	2.8%	7.3K	-38.1K	-735	0.10	41.86	284	28	618	60
2016-02-19	$12.12	$12.50	25.8%	7.4%	34.7%	20.4%	25.9%	2.2%	2.1%	7.2K	-54.6K	-823	0.15	30.26	183	28	635	60
2016-02-22	$12.38	$12.50	26.7%	7.7%	33.9%	22.5%	26.7%	2.3%	1.9%	8.2K	-90.3K	-953	0.16	25.83	162	26	578	58
2016-02-23	$12.40	$12.50	27.3%	7.8%	33.9%	23.9%	27.3%	3.2%	0.2%	8.1K	-83.7K	-935	0.15	26.47	170	26	578	58
2016-02-24	$12.29	$12.50	27.3%	7.8%	33.7%	24.1%	27.3%	3.1%	0.7%	8.0K	-80.6K	-914	0.15	27.11	170	26	597	58
2016-02-25	$12.47	$12.50	28.5%	8.2%	34.1%	27.0%	28.6%	1.7%	-1.1%	8.8K	-100.4K	-990	0.17	25.39	154	26	597	58
2016-02-26	$12.41	$12.50	27.1%	7.8%	34.1%	23.4%	27.1%	3.6%	1.3%	9.1K	-102.5K	-961	0.17	26.99	154	26	601	58
2016-02-29	$12.34	$12.50	28.9%	8.3%	33.7%	27.9%	28.9%	0.5%	0.2%	8.4K	-89.3K	-912	0.17	28.38	154	26	601	58