BDN Options History — November 2016 In November 2016, BDN traded between $14.28 and $15.49. ATM implied volatility averaged 22.2%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.0% (HV 20d: 25.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.43.
Notable Days 2016-11-18 : Highest Volume — 152 contracts2016-11-07 : Largest IV spike — 30.2% change2016-11-07 : Highest IV Rank — 26.7%2016-11-28 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $14.98 $14.28 $15.49 $15.17 $15.35 Max Pain $15.42 $15.00 $17.50 $17.50 $15.00 ATM IV 22.2% 19.3% 25.1% 23.4% 21.1% Expected Move 6.3% 5.7% 7.1% 6.7% 6.0% HV 20d 25.2% 21.1% 28.6% 23.7% 22.7% HV 60d 23.6% 22.3% 24.4% 22.3% 23.8% IV Rank 20.4% 13.9% 26.7% 22.9% 17.8% IV Percentile 32.3% 12.3% 59.1% 42.9% 22.2% Term Structure -0.5% -2.8% 1.4% -1.7% 1.4% VWIV 22.2% 19.8% 24.7% 23.5% 20.7% Skew 25d 13.4% -4.7% 94.8% 0.3% -4.7% Skew 10d 19.4% -6.7% 140.6% 3.0% -6.7% Call IV 25d 23.6% 18.5% 28.5% 27.5% 26.4% Put IV 25d 37.0% 20.8% 117.5% 27.8% 21.7% Bid-Ask Spread % 14.95 11.29 20.61 14.76 20.61 Gamma HHI 0.57 0.46 0.83 0.48 0.62 Net GEX 8.3K 3.6K 22.6K 7.3K 11.1K Net DEX -44.1K -149.4K 59.6K -64.7K -127.9K Net VEX -764 -825 -612 -727 -790 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 1.08 2.19 1.93 1.43 Total Volume 129.333 114 152 120 114 Total OI 452.571 386 484 386 459
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 2016-11-01 $15.17 $17.50 23.4% 6.7% 23.7% 22.9% 23.5% 0.3% -1.7% 7.3K -64.7K -727 1.93 14.76 41 79 299 87 2016-11-02 $15.04 $17.50 23.8% 6.8% 22.1% 23.9% 24.0% 0.5% -2.8% 5.4K -23.2K -818 2.19 17.50 36 79 309 132 2016-11-03 $14.87 $0.00 22.3% 6.3% 21.1% 20.7% 0.0% 4.3% 0.0% 5.8K -16.7K -825 2.14 13.07 37 79 314 132 2016-11-04 $14.68 $0.00 19.3% 6.0% 21.5% 13.9% 0.0% 3.1% 1.0% 5.5K 5.9K -755 1.58 12.51 50 79 318 132 2016-11-07 $14.92 $0.00 25.1% 6.4% 22.3% 26.7% 0.0% 1.3% -0.3% 6.0K -15.9K -808 1.58 12.69 50 79 318 132 2016-11-08 $14.90 $0.00 23.7% 6.5% 22.3% 23.6% 0.0% 0.9% -0.5% 6.0K -10.3K -793 1.58 12.05 50 79 318 132 2016-11-09 $14.60 $0.00 21.8% 6.2% 23.3% 19.4% 0.0% 94.8% -0.6% 4.7K 26.8K -683 1.58 12.41 50 79 318 132 2016-11-10 $14.28 $0.00 21.7% 6.2% 23.4% 19.3% 0.0% -0.7% 0.1% 3.6K 59.6K -612 1.13 18.78 70 79 318 132 2016-11-11 $14.70 $0.00 21.7% 6.2% 25.9% 19.3% 0.0% 94.7% -0.4% 5.3K 22.7K -703 1.13 15.62 70 79 318 132 2016-11-14 $15.07 $0.00 21.7% 6.2% 27.7% 19.3% 0.0% 2.3% -0.4% 7.0K -32.1K -747 1.13 15.54 70 79 318 132 2016-11-15 $15.00 $0.00 22.9% 6.6% 27.7% 22.0% 22.9% 2.1% -1.1% 6.7K -16.2K -727 1.32 13.79 60 79 318 132 2016-11-16 $14.92 $15.00 21.5% 6.2% 27.7% 18.8% 21.5% 93.7% -1.1% 7.9K -15.7K -731 1.25 14.54 63 79 338 132 2016-11-17 $14.88 $15.00 22.0% 6.3% 27.7% 19.9% 22.0% -1.7% 0.0% 9.7K -20.7K -746 1.25 14.10 63 79 351 132 2016-11-18 $15.03 $15.00 22.4% 6.4% 28.0% 20.8% 22.4% -1.5% -1.5% 22.6K -61.8K -746 1.08 11.29 73 79 352 132 2016-11-21 $14.88 $15.00 21.4% 6.1% 28.0% 18.7% 21.4% 2.2% 0.4% 8.8K -69.4K -789 1.16 15.63 57 66 347 103 2016-11-22 $15.14 $15.00 20.8% 6.0% 28.6% 17.3% 20.8% -3.0% 0.4% 9.9K -92.7K -823 1.18 13.44 57 67 352 103 2016-11-23 $15.11 $15.00 21.4% 6.1% 27.2% 18.5% 21.4% -3.1% -0.0% 9.8K -90.4K -814 1.18 15.76 57 67 352 104 2016-11-25 $15.17 $15.00 19.8% 5.7% 27.2% 15.1% 19.8% 1.1% 1.1% 10.3K -108.0K -800 1.43 17.92 47 67 352 104 2016-11-28 $15.30 $15.00 24.7% 7.1% 27.4% 25.9% 24.7% -2.5% -2.3% 10.8K -125.4K -808 1.43 13.34 47 67 355 104 2016-11-29 $15.49 $15.00 23.9% 6.9% 24.1% 24.2% 23.8% -2.2% -1.8% 11.1K -149.4K -808 1.43 18.58 47 67 355 104 2016-11-30 $15.35 $15.00 21.1% 6.0% 22.7% 17.8% 20.7% -4.7% 1.4% 11.1K -127.9K -790 1.43 20.61 47 67 355 104
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