What about going the other way? how does having a BMI of 25 to 30, 20 to 25, 15 to 20 work?
However, I don't know if I would give too much thought to the effect for low BMI - it could just be that people with extremely low BMI tend to have some disease process which causes that; only a small minority of them are rail-thin athletes. For high and extremely high BMI, there are known causal mechanisms for disease, so it's a different story.