BDN Options History — January 2017

In January 2017, BDN traded between $15.93 and $16.90. ATM implied volatility averaged 24.0%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.6% (HV 20d: 22.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.27.

Notable Days

2017-01-09: Highest Volume — 488 contracts
2017-01-31: Largest IV spike — 54.4% change
2017-01-31: Highest IV Rank — 63.2%
2017-01-31: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.33	$15.93	$16.90	$16.52	$16.15
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	24.0%	18.5%	39.3%	28.3%	39.3%
Expected Move	6.8%	5.3%	11.3%	8.1%	11.3%
HV 20d	22.3%	19.6%	25.4%	19.6%	20.9%
HV 60d	22.6%	21.2%	23.5%	21.2%	21.3%
IV Rank	25.7%	13.4%	63.2%	33.8%	63.2%
IV Percentile	45.4%	10.3%	97.6%	80.2%	97.6%
Term Structure	-1.6%	-15.8%	7.3%	-3.5%	-15.5%
VWIV	19.9%	11.5%	33.2%	30.5%	20.3%
Skew 25d	4.7%	-19.4%	18.1%	-3.0%	14.7%
Skew 10d	2.9%	-10.0%	15.5%	-10.0%	13.3%
Call IV 25d	20.6%	12.8%	34.5%	30.4%	22.3%
Put IV 25d	25.3%	15.1%	37.0%	27.4%	37.0%
Bid-Ask Spread %	84.44	24.57	111.97	111.97	96.18
Gamma HHI	0.84	0.62	0.95	0.62	0.81
Net GEX	23.7K	12.8K	44.2K	12.9K	23.1K
Net DEX	-218.8K	-492.4K	-113.3K	-267.1K	-185.0K
Net VEX	-838	-1.3K	-529	-626	-750
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.10	1.54	1.34	0.16
Total Volume	423.45	71	488	75	471
Total OI	646.65	473	868	473	541

Daily Data (20 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
2017-01-03	$16.52	$15.00	28.3%	8.1%	19.6%	33.8%	30.5%	-3.0%	-3.5%	12.9K	-267.1K	-626	1.34	111.97	32	43	349	124
2017-01-04	$16.90	$15.00	20.5%	5.9%	20.6%	16.5%	22.0%	17.6%	3.0%	16.4K	-317.5K	-529	1.54	106.01	28	43	350	125
2017-01-05	$16.83	$15.00	20.0%	6.2%	20.7%	15.4%	22.5%	-1.1%	-2.1%	12.8K	-325.1K	-730	0.10	107.44	410	43	360	125
2017-01-06	$16.77	$15.00	21.9%	6.3%	20.5%	19.7%	22.3%	0.0%	-1.7%	44.2K	-492.4K	-1.3K	0.10	107.16	410	43	743	125
2017-01-09	$16.16	$15.00	29.7%	6.1%	24.8%	36.9%	33.2%	-19.4%	-9.9%	23.3K	-258.1K	-1.1K	0.19	109.25	410	78	635	124
2017-01-10	$16.15	$15.00	31.3%	8.9%	24.8%	40.3%	20.9%	11.4%	-3.4%	23.2K	-220.3K	-1.1K	0.19	109.63	405	78	635	124
2017-01-11	$15.93	$15.00	24.0%	6.9%	25.4%	26.5%	23.1%	3.4%	2.2%	19.4K	-161.7K	-955	0.19	108.65	405	78	640	124
2017-01-12	$15.97	$15.00	25.1%	7.2%	25.3%	29.1%	21.5%	-0.2%	-4.2%	15.0K	-113.3K	-745	0.16	106.11	405	63	640	124
2017-01-13	$15.99	$15.00	29.5%	8.5%	23.2%	39.7%	22.8%	3.9%	-6.4%	17.2K	-144.5K	-865	0.16	111.41	405	63	640	127
2017-01-17	$16.11	$15.00	20.3%	5.8%	23.2%	17.6%	17.7%	6.0%	5.5%	22.2K	-147.3K	-795	0.15	47.88	405	62	640	127
2017-01-18	$16.31	$15.00	20.9%	6.0%	22.7%	19.2%	16.3%	16.6%	5.2%	28.0K	-239.3K	-1.0K	0.15	108.60	405	62	640	128
2017-01-19	$16.10	$15.00	19.2%	5.5%	22.4%	15.1%	18.3%	-4.0%	-0.7%	19.3K	-132.1K	-688	0.15	102.05	405	62	640	128
2017-01-20	$16.29	$15.00	20.8%	6.0%	22.4%	18.8%	17.1%	18.1%	3.8%	24.2K	-237.8K	-963	0.15	62.65	405	62	640	128
2017-01-23	$16.51	$15.00	18.6%	5.3%	21.2%	13.5%	15.9%	4.6%	4.9%	30.9K	-188.7K	-759	0.10	48.68	410	40	495	25
2017-01-24	$16.64	$15.00	18.5%	5.3%	21.3%	13.4%	11.5%	12.8%	7.3%	35.8K	-228.7K	-876	0.10	69.18	410	40	507	25
2017-01-25	$16.54	$15.00	18.6%	5.3%	21.5%	13.5%	14.5%	4.7%	3.4%	32.1K	-204.6K	-823	0.10	24.57	407	40	507	25
2017-01-26	$16.44	$15.00	19.8%	5.7%	21.6%	16.4%	13.6%	7.4%	5.3%	30.0K	-202.0K	-805	0.10	68.11	407	40	516	25
2017-01-27	$16.15	$15.00	27.4%	7.9%	22.6%	34.7%	16.2%	0.3%	-9.5%	21.5K	-153.6K	-696	0.10	45.79	407	40	516	25
2017-01-30	$16.20	$15.00	25.5%	7.3%	21.9%	30.0%	17.3%	0.6%	-15.8%	22.1K	-156.3K	-645	0.10	37.53	407	40	516	25
2017-01-31	$16.15	$15.00	39.3%	11.3%	20.9%	63.2%	20.3%	14.7%	-15.5%	23.1K	-185.0K	-750	0.16	96.18	407	64	516	25