BDN Options History — May 2017

In May 2017, BDN traded between $16.59 and $17.56. ATM implied volatility averaged 18.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.2% (HV 20d: 15.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.02.

Notable Days

  • 2017-05-26: Highest Volume — 555 contracts
  • 2017-05-18: Largest IV spike — 45.2% change
  • 2017-05-18: Highest IV Rank — 25.7%
  • 2017-05-18: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.16$16.59$17.56$17.06$17.42
Max Pain$15.80$15.00$17.50$17.50$15.00
ATM IV18.6%13.6%27.2%21.7%17.5%
Expected Move5.3%4.6%7.8%6.2%5.0%
HV 20d15.4%13.5%17.5%13.8%15.2%
HV 60d16.0%14.9%17.4%16.1%14.9%
IV Rank10.2%1.3%25.7%15.9%8.2%
IV Percentile19.2%0.8%85.3%39.3%12.3%
Term Structure-0.4%-5.7%2.2%-3.9%0.4%
VWIV18.5%14.8%27.2%20.9%17.5%
Skew 25d17.8%-2.6%102.2%1.4%-2.1%
Skew 10d23.6%-5.7%146.8%-2.8%-3.8%
Call IV 25d19.7%17.1%31.1%21.2%19.5%
Put IV 25d37.5%15.4%121.1%22.6%17.4%
Bid-Ask Spread %28.0217.63108.4627.7622.80
Gamma HHI0.980.960.990.970.99
Net GEX69.7K48.0K94.6K61.8K94.6K
Net DEX-435.7K-596.3K-261.8K-411.1K-482.8K
Net VEX-1.3K-1.5K-1.0K-1.4K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.050.000.05
Total Volume510.682465555484555
Total OI674.5656735659678

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$17.06$17.5021.7%6.2%13.8%15.9%20.9%1.4%-3.9%61.8K-411.1K-1.4K0.0027.76483163722
2017-05-02$16.98$17.5016.9%4.8%13.5%7.2%18.4%0.0%-1.2%62.7K-392.8K-1.4K0.0024.29483163722
2017-05-03$16.75$17.5019.9%5.7%13.7%12.5%14.8%3.8%1.3%51.7K-276.4K-1.2K0.0032.69483163722
2017-05-04$16.84$17.5022.0%5.5%13.7%16.5%17.9%92.5%1.0%51.8K-296.4K-1.2K0.0030.38483163722
2017-05-05$17.02$17.5019.1%4.9%13.5%11.1%17.3%-1.8%1.4%60.8K-371.9K-1.3K0.0020.07483163722
2017-05-08$16.93$17.5013.6%4.8%13.6%1.3%18.3%-2.5%-0.4%57.5K-321.2K-1.2K0.0022.00464163722
2017-05-09$16.59$17.5019.1%4.9%15.3%11.2%17.9%-2.6%-1.3%48.0K-261.8K-1.0K0.0024.66464263722
2017-05-10$17.04$15.0016.1%4.6%17.5%5.7%18.1%-2.6%0.4%64.7K-358.8K-1.2K0.0022.73464263723
2017-05-11$17.03$15.0016.7%4.8%17.5%6.7%16.7%2.5%2.2%68.0K-347.4K-1.2K0.0031.91464263723
2017-05-12$17.00$15.0017.7%5.1%17.1%8.6%17.7%-0.9%0.0%64.4K-349.4K-1.1K0.0018.31464263723
2017-05-15$17.15$15.0018.8%5.4%17.3%10.7%19.1%101.1%-1.4%73.0K-399.4K-1.2K0.0017.63466263723
2017-05-16$17.18$15.0018.3%5.3%17.1%9.8%18.3%102.2%-0.2%75.5K-426.4K-1.2K0.0022.75532264223
2017-05-17$17.21$15.0018.7%5.4%17.0%10.4%18.8%0.6%0.1%82.1K-546.6K-1.5K0.0022.39532271223
2017-05-18$17.26$15.0027.2%7.8%16.6%25.7%27.2%2.8%-5.7%69.0K-549.8K-1.5K0.00108.46532271223
2017-05-19$17.38$15.0017.2%4.9%15.4%7.6%18.3%101.3%0.8%72.3K-492.2K-1.4K0.0140.82532371223
2017-05-22$17.36$15.0017.5%5.0%15.4%8.3%17.6%-0.5%-0.2%77.3K-555.7K-1.4K0.0420.555312363224
2017-05-23$17.45$15.0018.1%5.2%15.2%9.4%18.1%-0.5%-0.5%76.0K-528.2K-1.4K0.0420.465312363244
2017-05-24$17.56$15.0018.4%5.3%15.3%10.0%18.4%-1.3%-0.6%76.6K-577.1K-1.4K0.0423.645312363244
2017-05-25$17.54$15.0018.6%5.3%15.2%10.3%18.7%-0.0%-0.7%76.5K-596.3K-1.4K0.0420.985312363244
2017-05-26$17.43$15.0017.1%4.9%15.3%7.5%17.1%-0.4%0.5%85.0K-536.5K-1.4K0.0522.235312463244
2017-05-30$17.36$15.0018.8%5.4%15.3%10.6%18.8%-0.6%-0.7%85.3K-508.4K-1.3K0.0518.975312463246
2017-05-31$17.42$15.0017.5%5.0%15.2%8.2%17.5%-2.1%0.4%94.6K-482.8K-1.3K0.0522.805312463246