BDN Options History — September 2016

In September 2016, BDN traded between $15.22 and $16.77. ATM implied volatility averaged 24.3%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.6% (HV 20d: 23.7%). 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 4 of 21 days. Put/call ratio averaged 0.33.

Notable Days

2016-09-12: Highest Volume — 183 contracts
2016-09-22: Largest IV spike — 33.6% change
2016-09-12: Highest IV Rank — 44.4%
2016-09-22: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.83	$15.22	$16.77	$16.00	$15.67
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	24.3%	17.8%	33.2%	18.4%	23.2%
Expected Move	6.6%	4.7%	9.3%	5.3%	6.6%
HV 20d	23.7%	13.8%	26.7%	13.8%	26.7%
HV 60d	19.6%	16.7%	21.1%	16.7%	19.4%
IV Rank	24.9%	10.6%	44.4%	12.0%	22.4%
IV Percentile	43.5%	8.3%	90.5%	9.1%	36.5%
Term Structure	-1.2%	-7.0%	6.7%	4.8%	-0.6%
VWIV	22.4%	17.5%	24.7%	17.5%	23.8%
Skew 25d	5.3%	-3.9%	41.2%	-1.1%	0.2%
Skew 10d	11.2%	-5.5%	113.8%	-2.8%	8.5%
Call IV 25d	21.0%	12.4%	23.7%	21.9%	23.7%
Put IV 25d	26.2%	17.3%	63.2%	20.7%	23.9%
Bid-Ask Spread %	21.23	7.31	38.09	7.75	23.07
Gamma HHI	0.66	0.54	0.87	0.72	0.57
Net GEX	10.1K	6.3K	16.6K	11.3K	8.2K
Net DEX	-231.6K	-392.7K	-121.9K	-259.2K	-219.0K
Net VEX	-949	-1.2K	-783	-1.1K	-783
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.12	0.52	0.13	0.51
Total Volume	147.143	113	183	153	131
Total OI	734.667	715	753	715	753

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
2016-09-01	$16.00	$0.00	18.4%	5.3%	13.8%	12.0%	0.0%	-1.1%	4.8%	11.3K	-259.2K	-1.1K	0.13	7.75	135	18	444	271
2016-09-02	$16.44	$0.00	17.8%	5.1%	17.3%	10.6%	0.0%	2.9%	-7.0%	13.9K	-326.2K	-1.2K	0.12	7.31	149	18	444	271
2016-09-06	$16.57	$15.00	21.8%	4.7%	17.4%	19.5%	17.5%	12.3%	6.7%	14.6K	-342.9K	-1.2K	0.12	35.44	149	18	444	271
2016-09-07	$16.77	$15.00	18.6%	5.3%	17.8%	12.5%	20.2%	-1.8%	0.5%	16.6K	-392.7K	-1.0K	0.12	37.31	149	18	444	271
2016-09-08	$16.59	$15.00	21.2%	6.0%	18.1%	18.1%	22.7%	-3.9%	-1.7%	15.5K	-364.0K	-1.1K	0.12	36.54	149	18	444	271
2016-09-09	$15.86	$15.00	26.4%	6.2%	24.0%	29.5%	19.5%	3.0%	0.2%	10.5K	-242.5K	-976	0.26	38.09	144	38	444	271
2016-09-12	$15.91	$15.00	33.2%	7.0%	24.0%	44.4%	19.9%	6.7%	-2.5%	10.7K	-238.4K	-993	0.27	17.63	144	39	444	291
2016-09-13	$15.41	$15.00	28.0%	6.7%	26.2%	33.1%	24.0%	3.8%	-1.3%	7.4K	-152.7K	-929	0.27	16.38	144	39	444	292
2016-09-14	$15.40	$15.00	23.2%	6.6%	26.2%	22.5%	22.8%	3.5%	-0.7%	7.2K	-149.8K	-917	0.27	15.95	144	39	444	292
2016-09-15	$15.42	$15.00	22.7%	6.5%	26.1%	21.4%	22.3%	3.5%	-0.1%	7.4K	-156.4K	-904	0.28	15.47	140	39	444	292
2016-09-16	$15.22	$15.00	23.2%	6.6%	25.5%	22.5%	23.9%	2.8%	-0.6%	6.3K	-121.9K	-852	0.52	16.00	75	39	443	292
2016-09-19	$15.32	$15.00	23.3%	6.7%	25.2%	22.7%	24.2%	2.9%	-0.6%	6.4K	-134.7K	-847	0.45	19.88	78	35	433	293
2016-09-20	$15.32	$15.00	24.2%	6.9%	24.8%	24.7%	24.7%	3.3%	-1.2%	6.8K	-139.4K	-824	0.40	15.23	88	35	438	292
2016-09-21	$15.60	$15.00	24.3%	7.0%	26.0%	25.1%	22.4%	41.2%	-2.3%	8.7K	-191.0K	-892	0.43	18.23	88	38	453	292
2016-09-22	$15.86	$15.00	32.5%	9.3%	26.6%	43.0%	23.0%	14.3%	-3.8%	10.6K	-225.8K	-1.0K	0.43	27.91	88	38	453	296
2016-09-23	$15.87	$15.00	24.2%	6.9%	26.5%	24.8%	21.0%	4.1%	-1.0%	10.2K	-251.3K	-921	0.43	22.02	88	38	453	296
2016-09-26	$15.96	$15.00	28.6%	8.2%	26.1%	34.3%	23.4%	6.8%	-6.4%	11.0K	-258.2K	-945	0.44	17.26	87	38	453	296
2016-09-27	$15.68	$15.00	23.3%	6.7%	26.5%	22.8%	23.2%	1.0%	-1.6%	8.9K	-230.2K	-867	0.44	21.37	87	38	457	296
2016-09-28	$15.81	$15.00	26.5%	7.6%	26.7%	29.7%	23.8%	3.2%	-3.3%	9.6K	-231.8K	-859	0.44	15.47	87	38	457	296
2016-09-29	$15.77	$15.00	25.4%	7.3%	26.7%	27.3%	23.9%	1.9%	-2.6%	9.3K	-234.8K	-834	0.44	21.56	87	38	457	296
2016-09-30	$15.67	$15.00	23.2%	6.6%	26.7%	22.4%	23.8%	0.2%	-0.6%	8.2K	-219.0K	-783	0.51	23.07	87	44	457	296