BDN Options History — December 2020

In December 2020, BDN traded between $11.40 and $12.22. ATM implied volatility averaged 36.2%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.8% (HV 20d: 39.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2020-12-01: Highest Volume — 542 contracts
  • 2020-12-31: Largest IV drop — 43.0% change
  • 2020-12-07: Highest IV Rank — 21.2%
  • 2020-12-22: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.75$11.40$12.22$11.40$11.89
Max Pain$10.23$10.00$12.50$10.00$12.50
ATM IV36.2%20.1%47.0%29.2%20.1%
Expected Move10.1%5.8%12.4%8.4%5.8%
HV 20d39.0%28.5%63.6%63.6%29.3%
HV 60d47.4%45.7%49.2%49.2%45.7%
IV Rank14.8%5.2%21.2%10.6%5.2%
IV Percentile27.7%9.1%46.4%23.4%9.1%
Term Structure4.1%-15.0%61.3%23.4%18.8%
VWIV37.0%26.8%44.0%40.8%39.6%
Skew 25d-0.9%-9.4%20.2%20.2%11.1%
Skew 10d-1.5%-22.4%11.3%2.2%11.1%
Call IV 25d37.0%14.5%46.9%25.9%14.5%
Put IV 25d36.1%24.8%52.1%46.1%25.7%
Bid-Ask Spread %98.1980.39115.97111.5090.69
Gamma HHI0.980.950.990.990.99
Net GEX135.5K99.0K190.8K99.0K138.9K
Net DEX-1.2M-2.0M-400.7K-1.2M-400.7K
Net VEX-4.6K-6.1K-2.2K-5.1K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.009.849.840.00
Total Volume76.86425425427
Total OI4,504.1364,1854,6074,1854,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$11.40$10.0029.2%8.4%63.6%10.6%0.0%20.2%23.4%99.0K-1.2M-5.1K9.84111.50504923,949236
2020-12-02$11.40$10.0035.9%10.3%63.4%14.6%0.0%-7.6%-5.3%102.8K-977.4K-4.9K0.00115.97903,999599
2020-12-03$11.55$10.0043.3%11.1%60.7%19.0%40.8%3.9%5.4%106.6K-1.4M-5.8K0.0096.614604,008599
2020-12-04$11.93$10.0045.4%11.6%61.1%20.3%37.4%7.7%0.7%117.7K-1.8M-6.1K1.1198.622232474,004599
2020-12-07$11.74$10.0047.0%12.3%57.6%21.2%44.0%-8.6%-3.4%119.9K-1.5M-5.8K0.00103.27704,102359
2020-12-08$11.59$10.0046.2%11.1%39.3%20.7%40.7%-6.9%-3.6%116.9K-1.4M-5.5K0.00103.701004,108359
2020-12-09$11.72$10.0029.8%8.5%38.5%11.0%29.6%5.2%10.4%151.2K-1.2M-5.1K4.25100.304174,108359
2020-12-10$11.64$10.0031.1%8.9%38.4%11.7%35.0%-7.8%-1.7%125.5K-1.1M-4.7K0.00100.6610704,105370
2020-12-11$11.47$10.0036.4%10.4%39.2%14.9%0.0%-7.3%4.2%110.9K-923.1K-4.3K1.00112.60114,107370
2020-12-14$11.74$10.0035.2%10.1%31.9%14.2%39.7%2.9%-3.9%132.6K-1.3M-4.7K0.1698.913254,108371
2020-12-15$12.19$10.0040.1%11.5%31.7%17.1%40.8%2.7%-2.0%166.4K-1.9M-5.6K0.0092.449104,129376
2020-12-16$12.09$10.0040.8%11.7%32.0%17.6%41.9%2.9%-1.3%162.7K-1.8M-5.7K0.0098.233204,189376
2020-12-17$12.22$10.0036.8%10.6%28.9%15.2%36.9%2.5%61.3%190.8K-2.0M-5.8K0.3893.95834,188376
2020-12-18$11.76$10.0042.9%12.3%32.7%18.8%43.8%-1.7%0.4%127.7K-1.2M-4.5K0.00109.421604,192379
2020-12-21$11.65$10.0037.6%10.8%32.7%15.6%32.0%-1.2%-15.0%139.6K-999.6K-4.1K4.10101.4110414,107321
2020-12-22$11.73$10.0043.4%12.4%31.0%19.0%44.0%3.5%-4.9%128.6K-975.2K-3.9K2.1793.1012264,117356
2020-12-23$11.81$10.0030.6%8.8%29.7%11.5%26.8%-9.1%3.4%156.0K-1.1M-4.0K2.7393.3111304,109356
2020-12-24$11.74$10.0028.1%8.1%29.8%10.0%31.4%-6.6%4.7%148.6K-852.0K-3.5K0.0091.101404,119375
2020-12-28$11.84$10.0029.9%8.6%29.8%11.1%33.3%-6.8%1.7%163.5K-893.6K-3.3K0.1889.163974,115375
2020-12-29$11.68$10.0031.9%9.1%28.7%12.2%29.1%-9.4%-0.4%142.0K-836.8K-3.2K0.8884.8840354,147382
2020-12-30$11.64$12.5035.3%10.1%28.5%14.2%39.6%-8.8%-3.7%132.0K-792.6K-3.2K0.5080.391264,171417
2020-12-31$11.89$12.5020.1%5.8%29.3%5.2%0.0%11.1%18.8%138.9K-400.7K-2.2K0.0090.69704,177423