BDN Options History — June 2016

In June 2016, BDN traded between $15.74 and $16.79. ATM implied volatility averaged 22.8%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.4% (HV 20d: 16.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2016-06-30: Highest Volume — 704 contracts
  • 2016-06-09: Largest IV drop — 43.7% change
  • 2016-06-24: Highest IV Rank — 33.6%
  • 2016-06-24: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.08$15.74$16.79$15.94$16.79
Max Pain$12.61$12.50$15.00$15.00$12.50
ATM IV22.8%15.6%30.0%20.1%19.6%
Expected Move6.6%4.5%8.6%5.8%5.6%
HV 20d16.5%11.4%20.1%20.1%18.6%
HV 60d17.4%16.0%19.2%19.2%18.1%
IV Rank16.4%0.0%33.6%8.4%9.4%
IV Percentile22.9%0.0%73.0%4.8%2.4%
Term Structure-2.2%-9.9%5.3%4.1%3.3%
VWIV25.4%16.9%45.3%20.7%45.3%
Skew 25d2.4%-8.1%12.5%-0.8%2.9%
Skew 10d7.4%-1.8%11.4%-1.8%-1.8%
Call IV 25d19.9%14.6%25.9%22.3%22.1%
Put IV 25d22.4%13.7%34.7%21.5%24.9%
Bid-Ask Spread %22.497.8143.5326.2426.91
Gamma HHI0.710.530.890.890.71
Net GEX19.6K12.2K38.5K33.4K38.5K
Net DEX-935.8K-1.2M-492.2K-1.1M-849.5K
Net VEX-1.4K-2.1K-1.2K-1.5K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.040.480.480.04
Total Volume210.727128704142704
Total OI1,096.7738451,3071,1881,249

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$15.94$15.0020.1%5.8%20.1%8.4%20.7%-0.8%4.1%33.4K-1.1M-1.5K0.4826.249646897291
2016-06-02$16.05$12.5020.4%6.4%19.4%9.1%22.1%5.8%0.5%26.4K-1.2M-1.4K0.4619.1210146897311
2016-06-03$16.04$12.5021.4%6.5%19.4%11.5%22.8%7.2%1.2%27.2K-1.2M-1.4K0.4614.7010146907311
2016-06-06$16.01$12.5023.1%6.9%19.4%15.6%24.4%7.3%-0.1%26.9K-1.2M-1.4K0.4016.0411446907311
2016-06-07$16.00$12.5024.4%7.0%19.3%18.8%24.8%7.4%-0.7%27.7K-1.2M-1.4K0.3916.3311846921311
2016-06-08$16.23$12.5027.6%7.9%19.8%26.4%27.9%11.4%-3.8%18.9K-1.2M-1.3K0.3916.1911846911311
2016-06-09$16.35$12.5015.6%4.5%18.0%0.0%27.7%12.5%5.3%13.8K-1.2M-1.2K0.4314.2310846911311
2016-06-10$16.24$12.5022.2%6.4%17.9%15.5%22.9%-2.3%-5.6%17.8K-1.2M-1.3K0.4341.0010846915311
2016-06-13$16.17$12.5023.4%6.7%17.6%18.2%25.9%-3.8%-9.9%15.8K-1.2M-1.2K0.387.8112046915311
2016-06-14$16.00$12.5021.5%6.2%18.1%13.9%20.5%-5.3%-5.5%17.9K-1.2M-1.3K0.4125.4811647927311
2016-06-15$16.00$12.5022.7%6.5%17.8%16.6%21.3%-4.8%-8.0%21.0K-1.2M-1.3K0.2726.3217547938312
2016-06-16$15.90$12.5024.5%7.0%13.2%20.9%24.5%4.3%-2.4%19.6K-1.2M-1.4K0.3420.3917559980312
2016-06-17$15.79$12.5023.3%6.7%13.3%17.9%23.4%2.7%-1.1%14.6K-1.2M-1.5K0.3519.7216759980327
2016-06-20$15.82$12.5024.8%7.1%13.2%21.5%25.2%3.4%-3.0%14.7K-504.7K-1.4K0.2520.2515539538307
2016-06-21$15.87$12.5021.9%6.3%13.1%14.9%16.9%-7.6%-7.0%14.2K-493.3K-1.5K0.2524.9415539539307
2016-06-22$15.84$12.5021.0%6.0%11.4%12.7%17.5%-8.1%-5.1%14.7K-496.1K-1.5K0.2525.7115539543307
2016-06-23$16.07$12.5024.3%7.0%12.2%20.3%23.1%-3.6%-9.1%13.7K-538.9K-1.4K0.2329.0016639543307
2016-06-24$16.01$12.5030.0%8.6%11.8%33.6%31.0%8.7%0.9%13.5K-548.8K-1.4K0.4143.539539553307
2016-06-27$15.74$12.5027.7%7.9%13.2%28.3%27.7%1.5%-3.5%16.2K-492.2K-1.4K0.2419.0610325553307
2016-06-28$16.29$12.5023.0%6.6%17.5%17.5%34.2%10.4%-1.0%13.0K-593.7K-1.4K0.2433.1010325553308
2016-06-29$16.57$12.5019.9%5.7%18.2%10.2%30.1%4.0%2.5%12.2K-634.4K-1.3K0.058.7848725553308
2016-06-30$16.79$12.5019.6%5.6%18.6%9.4%45.3%2.9%3.3%38.5K-849.5K-2.1K0.0426.9167925941308