BDN Options History — May 2016

In May 2016, BDN traded between $14.76 and $15.79. ATM implied volatility averaged 21.5%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.1% (HV 20d: 18.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.38.

Notable Days

2016-05-20: Highest Volume — 985 contracts
2016-05-11: Largest IV spike — 24.9% change
2016-05-05: Highest IV Rank — 14.3%
2016-05-09: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.29	$14.76	$15.79	$15.17	$15.79
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	21.5%	16.6%	23.8%	20.8%	16.6%
Expected Move	6.3%	4.8%	6.7%	6.0%	4.8%
HV 20d	18.4%	15.0%	22.3%	15.9%	20.6%
HV 60d	20.2%	18.7%	25.3%	25.3%	19.2%
IV Rank	8.7%	0.0%	14.3%	6.7%	0.0%
IV Percentile	13.5%	0.0%	25.4%	8.3%	0.0%
Term Structure	0.5%	-1.5%	8.4%	1.8%	8.4%
VWIV	21.6%	14.5%	23.6%	20.7%	14.5%
Skew 25d	21.3%	-3.1%	102.5%	1.7%	0.4%
Skew 10d	45.6%	-5.7%	145.0%	5.5%	-1.5%
Call IV 25d	22.1%	18.7%	25.9%	23.9%	19.4%
Put IV 25d	43.4%	19.8%	126.3%	25.6%	19.8%
Bid-Ask Spread %	17.51	14.34	26.06	19.42	26.06
Gamma HHI	0.92	0.66	0.96	0.95	0.92
Net GEX	59.8K	9.0K	100.1K	61.8K	38.5K
Net DEX	-739.9K	-1.1M	-168.1K	-692.2K	-1.1M
Net VEX	-2.3K	-2.6K	-1.5K	-2.6K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.03	2.76	2.76	0.05
Total Volume	353.905	117	985	263	550
Total OI	1,204	1,173	1,230	1,200	1,187

Daily Data (21 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
2016-05-02	$15.17	$15.00	20.8%	6.0%	15.9%	6.7%	20.7%	1.7%	1.8%	61.8K	-692.2K	-2.6K	2.76	19.42	70	193	893	307
2016-05-03	$15.01	$15.00	23.2%	6.7%	16.6%	12.7%	23.2%	-2.7%	-0.0%	59.2K	-596.2K	-2.6K	2.64	18.80	70	185	908	308
2016-05-04	$15.28	$15.00	23.3%	6.7%	17.0%	12.9%	23.3%	-2.5%	-0.5%	62.1K	-735.8K	-2.6K	2.32	18.63	72	167	908	307
2016-05-05	$15.36	$15.00	23.8%	6.3%	15.3%	14.3%	21.9%	50.6%	-0.3%	62.6K	-798.4K	-2.6K	2.65	15.50	63	167	910	309
2016-05-06	$15.47	$15.00	20.1%	6.1%	15.1%	5.1%	21.4%	39.7%	1.0%	67.0K	-856.4K	-2.5K	2.65	16.60	63	167	911	319
2016-05-09	$15.60	$15.00	19.1%	6.7%	15.1%	2.7%	23.6%	29.7%	0.0%	46.4K	-990.0K	-2.2K	2.65	15.65	63	167	911	319
2016-05-10	$15.63	$15.00	18.1%	6.5%	15.0%	0.0%	22.7%	4.4%	-0.7%	41.5K	-1.0M	-2.1K	1.80	15.65	93	167	911	319
2016-05-11	$15.31	$15.00	22.6%	6.5%	17.5%	11.2%	22.6%	3.8%	-0.5%	61.5K	-761.6K	-2.3K	2.11	14.34	79	167	889	319
2016-05-12	$15.51	$15.00	22.6%	6.5%	17.8%	11.4%	22.6%	33.2%	0.1%	52.7K	-921.1K	-2.2K	2.11	15.19	79	167	889	319
2016-05-13	$15.36	$15.00	22.9%	6.6%	18.5%	12.1%	22.9%	54.2%	-1.5%	72.5K	-841.1K	-2.2K	2.11	15.17	79	167	889	319
2016-05-16	$15.43	$15.00	22.3%	6.4%	18.5%	10.4%	22.3%	40.3%	0.3%	62.4K	-913.4K	-2.0K	2.11	15.56	79	167	889	319
2016-05-17	$15.31	$15.00	22.5%	6.5%	18.9%	11.0%	22.5%	3.1%	0.2%	83.9K	-870.4K	-2.1K	2.11	14.37	79	167	889	319
2016-05-18	$14.84	$15.00	22.9%	6.6%	22.3%	11.9%	22.9%	96.0%	-1.0%	94.4K	-405.0K	-2.1K	0.33	16.61	88	29	889	319
2016-05-19	$14.76	$15.00	22.1%	6.3%	19.6%	9.9%	22.0%	102.5%	0.2%	100.1K	-280.6K	-2.0K	0.33	17.99	88	29	897	319
2016-05-20	$14.90	$15.00	21.7%	6.2%	19.9%	9.0%	21.7%	-2.0%	-0.2%	9.0K	-168.1K	-1.9K	0.03	18.23	956	29	897	319
2016-05-23	$14.88	$15.00	20.4%	5.9%	19.2%	5.8%	20.4%	-3.1%	1.1%	57.3K	-491.2K	-2.5K	0.05	14.42	521	28	882	291
2016-05-24	$15.19	$15.00	22.9%	6.6%	20.4%	12.1%	23.0%	-1.6%	-1.1%	53.7K	-657.2K	-2.5K	0.05	19.35	514	28	882	291
2016-05-25	$15.29	$15.00	21.9%	6.3%	20.5%	9.4%	21.9%	-0.5%	0.0%	57.3K	-714.4K	-2.5K	0.05	18.78	514	28	886	291
2016-05-26	$15.47	$15.00	21.9%	6.3%	20.9%	9.4%	22.0%	-2.1%	-0.7%	58.3K	-801.1K	-2.4K	0.05	20.97	514	28	886	291
2016-05-27	$15.61	$15.00	20.0%	5.7%	20.8%	4.7%	16.5%	1.9%	4.5%	53.2K	-921.6K	-1.9K	0.05	20.49	523	28	886	291
2016-05-31	$15.79	$15.00	16.6%	4.8%	20.6%	0.0%	14.5%	0.4%	8.4%	38.5K	-1.1M	-1.5K	0.05	26.06	522	28	896	291