BDN Options History — April 2016

In April 2016, BDN traded between $13.70 and $15.06. ATM implied volatility averaged 26.4%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.8% (HV 20d: 17.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-04-06: Highest Volume — 904 contracts
  • 2016-04-13: Largest IV drop — 36.3% change
  • 2016-04-11: Highest IV Rank — 62.6%
  • 2016-04-13: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.34$13.70$15.06$14.10$14.95
Max Pain$14.88$12.50$15.00$12.50$15.00
ATM IV26.4%20.6%43.4%20.6%21.6%
Expected Move6.6%5.3%7.7%5.9%6.2%
HV 20d17.6%15.2%21.5%21.3%15.8%
HV 60d26.7%25.0%29.2%29.2%25.4%
IV Rank20.7%6.4%62.6%6.4%8.9%
IV Percentile38.9%8.3%97.2%8.3%15.5%
Term Structure0.2%-2.3%8.5%4.1%0.6%
VWIV23.4%18.3%27.0%20.6%21.6%
Skew 25d7.7%-6.8%101.8%7.0%-2.2%
Skew 10d11.1%-8.6%141.7%10.1%-3.7%
Call IV 25d23.8%18.5%26.9%22.0%23.8%
Put IV 25d31.4%17.7%124.7%29.0%21.6%
Bid-Ask Spread %25.128.9540.988.9519.97
Gamma HHI0.930.650.990.670.96
Net GEX37.3K16.6K58.3K17.9K56.9K
Net DEX-384.1K-613.9K-208.4K-281.1K-548.2K
Net VEX-2.4K-2.8K-1.2K-1.2K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.052.560.142.56
Total Volume641.952267904294267
Total OI1,148.0956531,3246531,200

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$14.10$12.5020.6%5.9%21.3%6.4%20.6%7.0%4.1%17.9K-281.1K-1.2K0.148.952573756885
2016-04-04$14.02$0.0023.5%7.0%21.5%13.4%24.2%-3.5%0.7%16.6K-272.8K-1.2K0.0535.506923756885
2016-04-05$13.99$15.0025.9%7.2%21.5%19.3%25.3%-4.5%0.4%37.2K-407.8K-1.9K0.0836.68692521,00385
2016-04-06$13.91$15.0029.4%7.3%18.8%28.0%25.5%-4.9%-1.8%33.4K-333.5K-1.9K0.2935.077022021,003130
2016-04-07$13.70$15.0035.9%5.3%19.9%44.2%18.3%-0.2%8.5%24.3K-208.4K-2.4K0.2940.987022021,043280
2016-04-08$13.87$15.0032.2%7.0%19.0%35.1%24.9%-5.1%-1.0%29.4K-273.6K-2.5K0.2932.967022021,043280
2016-04-11$13.89$15.0043.4%5.9%17.2%62.6%25.0%-6.8%-1.7%30.1K-281.3K-2.5K0.2317.577021601,043280
2016-04-12$14.04$15.0042.3%5.7%17.4%59.9%23.4%-4.8%-0.3%35.3K-316.2K-2.5K0.2320.127021601,043281
2016-04-13$14.03$15.0026.9%7.7%17.0%22.0%27.0%-4.0%-2.1%27.5K-319.3K-2.6K0.2337.017021601,043281
2016-04-14$14.11$15.0023.3%6.7%16.7%13.0%23.7%-1.1%-0.3%29.4K-307.5K-2.4K0.2332.707021601,043281
2016-04-15$14.20$15.0025.2%7.2%16.4%17.8%25.2%-1.4%-1.9%31.2K-356.7K-2.5K0.2437.206641601,043281
2016-04-18$14.25$15.0021.4%6.1%15.2%8.2%22.9%101.8%1.1%33.9K-268.1K-2.4K0.3119.49489154813249
2016-04-19$14.35$15.0024.6%7.1%15.2%16.3%24.5%-0.8%-0.9%36.0K-324.2K-2.5K0.3122.28491154827249
2016-04-20$14.25$15.0026.3%7.5%15.6%20.5%26.3%-2.4%-2.3%33.0K-311.3K-2.5K0.3121.95491154827249
2016-04-21$14.70$15.0021.0%6.0%18.3%7.4%21.0%2.5%2.9%48.9K-466.0K-2.5K0.3721.69521194827249
2016-04-22$14.71$15.0022.5%6.4%18.3%10.9%22.5%2.4%0.2%45.3K-450.9K-2.7K0.3718.70521194848289
2016-04-25$14.93$15.0022.2%6.4%18.6%10.2%22.2%92.7%0.2%50.8K-536.3K-2.7K2.4217.2580194848289
2016-04-26$15.03$15.0022.7%6.5%15.4%11.5%22.7%-0.7%-0.6%53.2K-598.6K-2.8K2.3216.2588204873289
2016-04-27$15.02$15.0022.3%6.4%15.4%10.6%22.3%-1.2%-1.1%55.4K-590.7K-2.8K2.5618.8375192893299
2016-04-28$15.06$15.0021.1%6.1%15.3%7.6%21.1%-2.0%-0.9%58.3K-613.9K-2.7K2.5616.4075192893307
2016-04-29$14.95$15.0021.6%6.2%15.8%8.9%21.6%-2.2%0.6%56.9K-548.2K-2.8K2.5619.9775192893307