BDN Options History — June 2020

In June 2020, BDN traded between $9.86 and $12.15. ATM implied volatility averaged 70.4%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 5.5% (HV 20d: 75.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2020-06-25: Highest Volume — 653 contracts
  • 2020-06-25: Largest IV spike — 128.9% change
  • 2020-06-29: Highest IV Rank — 63.7%
  • 2020-06-29: Largest Expected Move — 33.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.84$9.86$12.15$9.99$10.82
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV70.4%43.9%117.1%76.3%76.6%
Expected Move19.5%9.5%33.6%21.9%22.0%
HV 20d75.9%64.4%82.4%76.5%74.6%
HV 60d83.9%73.1%97.4%97.2%73.5%
IV Rank36.4%21.0%63.7%39.9%40.1%
IV Percentile84.9%70.2%96.8%89.7%88.1%
Term Structure-0.3%-90.1%63.8%-10.2%63.8%
VWIV60.3%27.9%88.6%76.2%67.6%
Skew 25d11.1%-92.2%83.6%13.1%25.4%
Skew 10d-17.3%-100.5%35.2%3.0%16.2%
Call IV 25d68.3%33.4%197.1%60.3%66.9%
Put IV 25d79.4%29.8%165.1%73.3%92.2%
Bid-Ask Spread %120.39106.45135.05110.74135.05
Gamma HHI0.750.280.960.550.91
Net GEX20.4K77151.3K11.5K34.6K
Net DEX-414.9K-818.9K-88.5K-257.3K-471.7K
Net VEX-1.5K-2.1K-333-1.7K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.002.710.230.14
Total Volume73.0910653168
Total OI2,033.2271,8722,5721,9062,572

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$9.99$10.0076.3%21.9%76.5%39.9%76.2%13.1%-10.2%11.5K-257.3K-1.7K0.23110.741331,370536
2020-06-02$10.28$10.0057.1%16.4%77.2%28.7%80.5%11.7%17.9%13.4K-340.7K-1.9K0.00106.45401,365536
2020-06-03$11.01$10.0077.9%22.3%80.3%40.8%78.7%-15.9%-7.4%16.6K-530.1K-2.0K0.25109.511231,366536
2020-06-04$11.09$10.0051.8%16.7%79.9%25.6%43.8%21.1%23.3%20.9K-511.7K-1.9K1.90109.001162201,370536
2020-06-05$11.43$10.0055.3%12.4%80.2%27.7%45.3%-7.0%13.4%19.1K-652.5K-2.1K0.30112.6343131,379541
2020-06-08$12.15$10.0065.7%10.4%82.4%33.7%42.9%-31.8%17.6%51.3K-673.8K-1.9K0.23114.382251,413539
2020-06-09$12.06$10.0050.1%9.5%80.6%24.6%0.0%-0.5%10.1%49.3K-715.3K-2.0K0.00117.47101,411544
2020-06-10$11.32$10.0068.6%19.7%77.4%35.4%51.9%7.1%-15.5%26.0K-524.0K-1.9K0.00132.09501,411542
2020-06-11$10.34$10.0072.2%20.7%78.0%37.5%0.0%83.6%-90.1%9.4K-386.2K-1.8K0.67132.89321,416542
2020-06-12$10.68$10.0059.4%17.0%76.9%30.0%0.0%10.7%-8.9%22.7K-364.3K-1.6K0.00120.68001,416543
2020-06-15$10.61$10.0066.7%19.1%76.1%34.3%57.3%8.4%-6.3%18.9K-319.8K-1.4K0.00118.167201,416543
2020-06-16$11.12$10.0067.9%19.5%73.6%35.0%64.4%-0.9%-5.0%25.1K-480.0K-1.6K0.00126.066601,485543
2020-06-17$10.74$10.0070.0%20.1%74.9%36.2%57.3%10.6%-39.3%20.0K-400.2K-1.5K0.00118.48601,482543
2020-06-18$10.44$10.0087.6%25.1%75.7%46.5%0.0%49.1%-28.1%13.6K-377.0K-1.5K0.00126.16021,486543
2020-06-19$10.40$10.0044.0%12.6%75.6%21.0%48.8%-0.6%22.8%14.6K-207.5K-9020.00122.78701,486541
2020-06-22$10.64$10.0066.5%19.1%74.0%34.2%27.9%33.3%-10.1%20.4K-300.2K-1.3K0.00117.96301,392480
2020-06-23$10.47$10.0043.9%12.6%64.4%21.0%0.0%-15.4%6.0%1.5K-88.5K-3332.71109.36802171,443480
2020-06-24$9.86$10.0049.0%14.1%68.0%24.0%63.1%29.1%26.4%11.1K-127.0K-8652.00124.12241,443480
2020-06-25$10.84$10.00112.2%32.2%75.8%60.8%70.7%59.8%-21.3%17.7K-469.7K-1.6K0.00126.7665301,444482
2020-06-26$10.91$10.00112.9%32.4%74.2%61.2%88.6%-92.2%18.0%771-110.9K-3660.00131.82802,083482
2020-06-29$11.18$10.00117.1%33.6%73.9%63.7%59.8%46.1%16.5%30.3K-818.9K-2.1K0.00126.001502,088482
2020-06-30$10.82$10.0076.6%22.0%74.6%40.1%67.6%25.4%63.8%34.6K-471.7K-1.6K0.14135.05712,090482