BDN Options History — February 2017

In February 2017, BDN traded between $15.89 and $16.91. ATM implied volatility averaged 24.6%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.4% (HV 20d: 18.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.11.

Notable Days

2017-02-01: Highest Volume — 471 contracts
2017-02-27: Largest IV spike — 51.5% change
2017-02-07: Highest IV Rank — 45.8%
2017-02-15: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.31	$15.89	$16.91	$15.89	$16.66
Max Pain	$17.37	$15.00	$17.50	$15.00	$17.50
ATM IV	24.6%	16.2%	32.0%	24.0%	19.7%
Expected Move	6.4%	4.7%	8.6%	6.9%	5.7%
HV 20d	18.2%	15.7%	21.4%	21.4%	18.9%
HV 60d	20.2%	19.1%	21.5%	21.5%	20.2%
IV Rank	28.0%	7.9%	45.8%	26.5%	16.3%
IV Percentile	55.7%	4.8%	94.0%	61.5%	16.3%
Term Structure	-2.6%	-10.0%	8.0%	-8.1%	-4.0%
VWIV	18.4%	13.3%	30.0%	20.8%	19.6%
Skew 25d	1.8%	-8.2%	12.1%	-1.8%	-3.8%
Skew 10d	-0.9%	-17.0%	10.7%	5.5%	-6.9%
Call IV 25d	19.6%	14.5%	30.1%	23.3%	22.3%
Put IV 25d	21.3%	17.0%	29.9%	21.4%	18.5%
Bid-Ask Spread %	84.21	29.12	110.02	103.04	48.87
Gamma HHI	0.74	0.50	0.91	0.88	0.86
Net GEX	12.4K	4.6K	27.0K	11.2K	4.6K
Net DEX	-126.7K	-168.2K	-101.4K	-107.7K	-140.0K
Net VEX	-484	-630	-348	-548	-348
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.01	0.16	0.16	0.01
Total Volume	342.368	26	471	471	404
Total OI	437.684	163	568	563	163

Daily Data (19 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
2017-02-01	$15.89	$15.00	24.0%	6.9%	21.4%	26.5%	20.8%	-1.8%	-8.1%	11.2K	-107.7K	-548	0.16	103.04	407	64	516	47
2017-02-02	$16.10	$17.50	29.3%	5.6%	20.2%	39.3%	14.8%	9.2%	6.2%	19.1K	-136.3K	-630	0.16	103.19	407	64	516	47
2017-02-03	$16.11	$17.50	28.7%	5.3%	20.2%	37.9%	16.4%	-0.2%	-3.4%	18.2K	-134.1K	-620	0.16	110.02	407	64	516	47
2017-02-06	$16.12	$17.50	31.4%	4.8%	20.3%	44.2%	15.4%	2.1%	5.8%	17.3K	-126.3K	-562	0.16	108.83	407	64	516	47
2017-02-07	$15.95	$17.50	32.0%	5.6%	15.9%	45.8%	16.9%	-1.1%	-5.8%	12.2K	-107.6K	-514	0.16	104.81	407	64	516	47
2017-02-08	$16.13	$17.50	21.9%	6.3%	16.4%	21.4%	14.1%	12.1%	4.3%	13.7K	-107.4K	-487	0.11	29.12	407	45	516	47
2017-02-09	$16.20	$17.50	29.4%	8.4%	15.7%	39.5%	20.1%	9.4%	-8.1%	20.9K	-148.1K	-582	0.11	104.06	407	45	516	48
2017-02-10	$16.43	$17.50	19.5%	5.6%	16.4%	15.7%	18.3%	0.3%	-3.5%	25.4K	-152.7K	-556	0.11	104.99	407	45	516	48
2017-02-13	$16.42	$17.50	20.9%	6.0%	16.4%	19.1%	16.3%	3.3%	2.5%	27.0K	-168.2K	-548	0.11	75.86	407	45	516	48
2017-02-14	$16.18	$17.50	20.8%	5.9%	17.1%	18.7%	16.8%	0.5%	-8.0%	17.2K	-135.0K	-472	0.11	59.13	407	45	516	48
2017-02-15	$15.96	$17.50	29.9%	8.6%	17.2%	40.6%	27.6%	1.0%	-9.9%	9.1K	-101.4K	-438	0.11	76.20	407	45	520	48
2017-02-16	$16.32	$17.50	22.1%	6.3%	18.5%	21.9%	16.2%	4.1%	-4.1%	5.7K	-103.3K	-419	0.11	100.33	407	45	520	48
2017-02-17	$16.23	$17.50	20.4%	5.9%	18.1%	18.0%	17.3%	-0.5%	-7.3%	5.2K	-107.7K	-418	0.11	105.65	407	45	520	48
2017-02-21	$16.57	$17.50	22.4%	6.4%	19.0%	22.7%	15.5%	6.0%	4.1%	6.2K	-119.2K	-405	0.08	106.47	24	2	141	22
2017-02-22	$16.50	$17.50	28.5%	8.2%	18.8%	37.3%	30.0%	-8.2%	-7.5%	5.5K	-123.9K	-437	0.08	107.49	24	2	141	22
2017-02-23	$16.59	$17.50	26.3%	7.5%	18.8%	31.9%	26.4%	-6.1%	-10.0%	5.7K	-125.9K	-400	0.08	39.76	24	2	141	22
2017-02-24	$16.70	$17.50	16.2%	4.7%	18.8%	7.9%	13.3%	2.1%	-0.8%	5.4K	-121.2K	-439	0.08	76.38	24	2	141	22
2017-02-27	$16.91	$17.50	24.6%	7.0%	17.9%	27.9%	14.2%	4.9%	8.0%	6.3K	-140.6K	-378	0.08	35.71	24	2	141	22
2017-02-28	$16.66	$17.50	19.7%	5.7%	18.9%	16.3%	19.6%	-3.8%	-4.0%	4.6K	-140.0K	-348	0.01	48.87	402	2	141	22