BRCC Options History — March 2022

In March 2022, BRCC traded between $15.87 and $20.94. ATM implied volatility averaged 130.0%. The 30-day expected move averaged 36.2%. IV traded above realized volatility by 54.2% (HV 20d: 75.8%). Max pain ranged from $10.00 to $17.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.45.

Notable Days

  • 2022-03-25: Highest Volume — 66,514 contracts
  • 2022-03-21: Largest IV drop — 29.4% change
  • 2022-03-09: Largest Expected Move — 64.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.73$15.87$20.94$17.65$20.94
Max Pain$14.75$10.00$17.00$15.00$17.00
ATM IV130.0%87.5%168.0%167.6%119.4%
Expected Move36.2%21.8%64.2%51.6%25.6%
HV 20d75.8%69.7%82.0%82.0%71.4%
Term Structure-4.2%-27.0%10.2%-12.2%2.5%
VWIV113.7%81.0%183.9%162.1%91.0%
Skew 25d5.9%-43.9%63.4%-13.3%-7.8%
Skew 10d8.1%-32.6%73.5%-19.7%32.0%
Call IV 25d134.4%76.5%238.6%177.1%153.1%
Put IV 25d140.3%94.8%215.8%163.8%145.3%
Bid-Ask Spread %55.1721.6092.1421.6057.01
Gamma HHI0.290.210.490.210.41
Net GEX828.3K457.9K1.2M535.5K1.2M
Net DEX-26.6M-59.8M-824.4K-15.6M-59.8M
Net VEX-93.2K-141.7K-74.7K-83.6K-82.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.101.350.500.14
Total Volume34,812.47813,75166,51424,33355,622
Total OI97,79575,544126,58682,39797,633

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$17.65$15.00167.6%51.6%0.0%0.0%162.1%-13.3%-12.2%535.5K-15.6M-83.6K0.5021.6016,2168,11747,09435,303
2022-03-02$17.43$15.00168.0%49.0%0.0%0.0%130.3%-7.4%-6.3%524.1K-10.9M-80.4K0.3823.5220,2377,74148,93037,482
2022-03-03$17.60$15.00156.1%45.4%0.0%0.0%115.8%-43.9%-4.5%748.5K-14.6M-76.9K0.2925.9921,1546,18653,11839,550
2022-03-04$18.96$15.00162.7%43.7%0.0%0.0%146.8%-17.1%-6.9%587.9K-21.6M-86.9K0.4138.2426,49010,83654,64540,593
2022-03-07$17.06$15.00156.1%51.5%0.0%0.0%183.9%-12.4%0.8%460.7K-13.1M-84.0K0.4748.2235,17916,53650,33436,807
2022-03-08$16.03$15.00147.2%53.5%0.0%0.0%156.8%-5.9%-6.5%457.9K-5.2M-98.8K0.3559.3518,5646,52365,26445,265
2022-03-09$16.66$15.00150.7%64.2%0.0%0.0%148.9%-22.9%7.9%548.0K-12.1M-98.9K0.4682.0122,01210,05266,49044,966
2022-03-10$16.45$15.00131.9%42.1%0.0%0.0%153.4%-8.0%-2.4%757.7K-6.0M-95.7K0.4363.7917,9157,63771,83748,868
2022-03-11$16.49$15.00131.6%42.8%0.0%0.0%151.5%-2.1%-6.1%842.3K-824.4K-88.0K0.3876.3816,9346,44675,51751,069
2022-03-14$16.26$12.50130.4%31.2%0.0%0.0%109.4%-1.4%-4.0%985.5K-21.4M-81.1K0.3033.7910,5653,18660,70034,231
2022-03-15$15.87$12.50117.9%30.2%0.0%0.0%101.6%-1.6%4.7%846.9K-17.2M-82.5K0.2343.2116,2003,67161,21334,357
2022-03-16$16.73$12.50139.7%32.7%82.0%0.0%89.3%50.1%-21.1%913.3K-26.4M-81.0K0.4262.9818,6717,76564,07735,601
2022-03-17$16.87$0.00106.9%29.8%79.6%0.0%102.5%3.2%-27.0%1.1M-18.9M-74.7K0.2492.1418,8854,57763,13938,347
2022-03-18$16.57$10.00126.5%27.4%77.1%0.0%97.8%49.9%10.2%1.0M-17.3M-81.7K0.7545.0823,22917,43066,04540,643
2022-03-21$16.28$16.0089.3%21.8%74.9%0.0%84.0%-12.8%-4.4%964.3K-22.9M-91.7K0.2644.4920,5005,25949,39426,150
2022-03-22$17.05$15.0087.5%22.2%75.6%0.0%81.0%19.2%0.2%1.2M-38.0M-87.3K1.3550.7818,11224,48655,29529,959
2022-03-23$18.09$16.00101.5%27.2%77.3%0.0%82.3%28.7%-7.3%939.6K-49.3M-91.6K0.6476.0221,34013,69257,78633,866
2022-03-24$19.19$15.00102.0%26.7%80.2%0.0%81.5%63.4%-4.0%681.4K-46.6M-94.0K0.5570.3228,92415,84752,47839,075
2022-03-25$20.00$15.00112.5%26.1%80.2%0.0%84.9%6.0%-8.7%951.4K-50.2M-110.8K0.9175.1934,77631,73863,54245,553
2022-03-28$19.85$16.00112.4%26.9%71.4%0.0%85.4%12.4%-5.8%963.5K-51.8M-118.6K0.4062.2529,38611,86156,75227,624
2022-03-29$19.90$16.00130.4%31.0%70.0%0.0%85.5%47.7%3.4%875.4K-48.1M-141.7K0.2859.6622,9016,41664,04235,267
2022-03-30$19.90$16.00142.3%30.3%69.7%0.0%89.0%12.3%-0.0%933.8K-43.5M-130.2K0.1056.9555,4305,44364,27039,114
2022-03-31$20.94$17.00119.4%25.6%71.4%0.0%91.0%-7.8%2.5%1.2M-59.8M-82.6K0.1457.0148,6336,98956,92340,710