BDN Options History — March 2016

In March 2016, BDN traded between $12.76 and $14.11. ATM implied volatility averaged 26.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.4% (HV 20d: 26.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.12.

Notable Days

2016-03-16: Highest Volume — 387 contracts
2016-03-29: Largest IV drop — 38.4% change
2016-03-28: Highest IV Rank — 38.0%
2016-03-28: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.34	$12.76	$14.11	$12.80	$14.09
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	26.8%	19.8%	33.4%	29.3%	19.8%
Expected Move	7.8%	5.7%	9.6%	8.4%	5.7%
HV 20d	26.4%	21.5%	36.2%	36.2%	21.5%
HV 60d	29.5%	29.0%	30.1%	29.4%	29.7%
IV Rank	22.1%	4.3%	38.0%	28.6%	4.3%
IV Percentile	51.0%	3.6%	86.1%	72.2%	3.6%
Term Structure	-1.1%	-14.2%	4.8%	-0.7%	4.8%
VWIV	25.7%	20.1%	31.0%	29.3%	20.1%
Skew 25d	3.7%	-7.3%	12.6%	12.6%	7.2%
Skew 10d	11.7%	-1.9%	37.4%	32.8%	9.5%
Call IV 25d	24.5%	19.9%	33.4%	33.0%	20.6%
Put IV 25d	28.1%	17.3%	45.6%	45.6%	27.8%
Bid-Ask Spread %	19.82	8.08	34.51	25.27	9.34
Gamma HHI	0.60	0.53	0.67	0.61	0.66
Net GEX	13.1K	10.3K	18.0K	10.8K	17.6K
Net DEX	-213.2K	-323.8K	-139.1K	-139.1K	-279.1K
Net VEX	-1.1K	-1.3K	-853	-1.1K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.02	0.35	0.17	0.14
Total Volume	227.636	101	387	180	294
Total OI	609.864	530	689	659	654

Daily Data (22 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
2016-03-01	$12.80	$12.50	29.3%	8.4%	36.2%	28.6%	29.3%	12.6%	-0.7%	10.8K	-139.1K	-1.1K	0.17	25.27	154	26	601	58
2016-03-02	$12.98	$12.50	29.6%	8.5%	35.9%	29.2%	29.3%	1.6%	-0.7%	11.8K	-166.4K	-1.1K	0.16	34.51	165	26	601	58
2016-03-03	$13.14	$12.50	26.7%	8.1%	35.9%	22.2%	27.0%	7.2%	0.3%	13.5K	-206.6K	-1.2K	0.17	17.39	155	26	621	58
2016-03-04	$13.11	$12.50	21.6%	8.1%	35.4%	9.8%	27.1%	6.8%	0.3%	13.6K	-216.8K	-1.3K	0.17	17.12	155	26	631	58
2016-03-07	$13.20	$12.50	24.7%	8.4%	33.0%	17.4%	29.7%	-3.4%	-0.3%	13.8K	-223.3K	-1.3K	0.17	22.56	155	26	631	58
2016-03-08	$12.85	$12.50	27.6%	7.7%	27.1%	24.5%	26.9%	8.6%	2.0%	11.6K	-176.7K	-1.1K	0.33	16.03	80	26	631	58
2016-03-09	$12.95	$12.50	27.9%	8.0%	25.8%	25.2%	27.6%	5.2%	0.6%	11.6K	-178.9K	-1.1K	0.33	16.01	80	26	606	58
2016-03-10	$12.76	$12.50	28.7%	8.2%	26.8%	27.2%	28.8%	8.2%	-0.2%	11.1K	-153.7K	-1.1K	0.35	16.29	75	26	606	58
2016-03-11	$13.10	$12.50	25.4%	7.3%	24.1%	19.1%	25.4%	4.2%	1.5%	11.0K	-179.9K	-1.0K	0.12	28.51	210	26	586	58
2016-03-14	$13.11	$12.50	31.3%	9.0%	23.4%	33.4%	31.0%	9.2%	-2.6%	10.3K	-175.8K	-926	0.12	10.08	210	26	520	58
2016-03-15	$13.29	$12.50	30.1%	8.6%	23.4%	30.6%	29.5%	10.2%	-1.7%	11.8K	-200.9K	-872	0.04	10.78	214	8	520	38
2016-03-16	$13.44	$12.50	28.9%	8.3%	23.1%	27.5%	21.9%	5.9%	0.3%	12.7K	-220.8K	-899	0.02	20.90	379	8	513	36
2016-03-17	$13.61	$12.50	31.9%	9.2%	23.0%	35.1%	20.9%	9.3%	-2.6%	14.1K	-245.6K	-958	0.02	20.87	379	8	513	36
2016-03-18	$13.42	$12.50	24.6%	7.0%	24.1%	17.0%	23.1%	-7.3%	-3.2%	12.5K	-218.6K	-904	0.04	26.58	225	8	513	36
2016-03-21	$13.40	$12.50	30.6%	8.8%	23.4%	31.1%	22.1%	7.6%	-2.6%	12.1K	-188.6K	-853	0.03	21.21	238	6	496	34
2016-03-22	$13.42	$12.50	23.8%	6.8%	23.4%	14.1%	24.7%	-6.3%	-0.6%	12.3K	-208.1K	-931	0.03	26.66	238	6	526	34
2016-03-23	$13.38	$12.50	24.1%	6.9%	23.1%	14.9%	25.3%	-4.6%	0.6%	11.4K	-198.6K	-900	0.03	26.87	238	7	526	34
2016-03-24	$13.50	$12.50	28.6%	8.2%	22.8%	26.1%	25.6%	-6.4%	-8.3%	13.9K	-224.9K	-992	0.03	26.10	238	7	526	35
2016-03-28	$13.65	$12.50	33.4%	9.6%	22.7%	38.0%	26.6%	-3.8%	-14.2%	15.0K	-246.2K	-982	0.03	26.59	238	7	526	35
2016-03-29	$14.10	$12.50	20.6%	5.9%	24.4%	6.3%	21.8%	5.3%	1.3%	18.0K	-317.3K	-1.1K	0.11	8.08	242	27	526	35
2016-03-30	$14.11	$12.50	19.8%	5.7%	21.7%	4.3%	22.6%	3.9%	1.9%	18.0K	-323.8K	-1.3K	0.14	8.24	257	37	556	55
2016-03-31	$14.09	$12.50	19.8%	5.7%	21.5%	4.3%	20.1%	7.2%	4.8%	17.6K	-279.1K	-1.2K	0.14	9.34	257	37	569	85