BRCC Options History — May 2022

In May 2022, BRCC traded between $8.64 and $14.41. ATM implied volatility averaged 120.4%. The 30-day expected move averaged 34.0%. IV traded below realized volatility by 0.4% (HV 20d: 120.8%). Max pain ranged from $12.00 to $20.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2022-05-02: Highest Volume — 17,733 contracts
  • 2022-05-10: Largest IV spike — 13.4% change
  • 2022-05-02: Largest Expected Move — 39.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.87$8.64$14.41$13.67$9.77
Max Pain$14.05$12.00$20.00$20.00$12.00
ATM IV120.4%107.5%130.2%130.2%125.6%
Expected Move34.0%29.9%39.5%39.5%31.7%
HV 20d120.8%89.4%187.1%187.1%97.0%
HV 60d130.0%126.6%135.6%133.8%127.4%
Term Structure1.0%-8.9%31.5%-3.6%-8.0%
VWIV118.4%102.3%144.0%144.0%109.2%
Skew 25d6.2%-6.6%22.2%-0.7%-6.6%
Skew 10d51.4%-26.5%226.3%-17.2%24.4%
Call IV 25d122.5%108.0%136.8%133.4%119.0%
Put IV 25d128.7%112.4%141.4%132.7%112.4%
Bid-Ask Spread %83.4270.6594.0470.6594.04
Gamma HHI0.130.080.550.080.13
Net GEX14.1K-242.1K103.3K23.1K13.6K
Net DEX11.4M3.1M17.8M14.2M3.1M
Net VEX-56.1K-113.6K-27.6K-96.5K-35.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.341.810.401.03
Total Volume8,741.9053,47117,73317,7333,471
Total OI85,331.76254,193104,26897,46357,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$13.67$20.00130.2%39.5%187.1%0.0%144.0%-0.7%-3.6%23.1K14.2M-96.5K0.4070.6512,6595,07465,38532,078
2022-05-03$13.81$20.00127.2%38.9%149.9%0.0%139.7%0.8%-1.5%73.9K9.8M-109.7K0.3473.699,4513,21369,68432,172
2022-05-04$14.41$20.00118.2%37.9%145.8%0.0%129.6%3.2%5.0%80.9K8.1M-113.6K0.4077.469,2663,72669,99132,341
2022-05-05$12.09$15.00121.6%34.3%151.7%0.0%127.4%6.7%12.4%15.0K17.4M-82.0K0.7976.047,4665,91170,51232,802
2022-05-06$11.72$15.00122.4%34.1%144.9%0.0%120.1%2.0%-3.4%103.3K17.8M-78.8K1.0279.656,9117,07271,47032,798
2022-05-09$10.90$15.00114.5%35.4%141.2%0.0%122.5%11.1%31.5%41.0K14.4M-58.1K0.6379.095,9803,76767,59625,554
2022-05-10$10.59$14.00129.7%35.1%132.5%0.0%121.7%0.1%-5.8%34.4K14.3M-58.2K0.6880.964,5863,11467,81826,502
2022-05-11$10.30$14.00125.7%35.9%132.7%0.0%121.8%8.3%2.5%25.0K14.9M-52.6K0.5983.134,5352,68068,19926,398
2022-05-12$10.91$15.00127.2%34.2%134.6%0.0%120.3%13.1%-8.9%39.5K14.2M-57.1K0.6879.365,2623,57568,55626,334
2022-05-13$11.40$12.00119.5%33.3%133.5%0.0%117.2%-0.0%-6.5%67.3K13.3M-62.5K0.9879.994,7454,63368,78326,773
2022-05-16$11.07$12.00119.2%33.8%132.5%0.0%119.2%-0.9%6.7%11.4K13.7M-52.7K0.7686.003,9613,00566,85325,627
2022-05-17$10.91$13.00112.4%31.9%97.4%0.0%114.8%-0.8%7.1%37.8K14.2M-50.8K1.8188.463,3336,03267,60325,592
2022-05-18$10.05$13.00113.0%32.4%93.2%0.0%109.4%7.3%-0.2%-59.7K16.2M-41.3K1.0585.983,3063,45667,79227,118
2022-05-19$10.15$13.00111.2%31.5%94.4%0.0%102.3%2.7%1.2%-78.5K16.4M-38.6K1.0790.133,1593,36967,92526,761
2022-05-20$9.99$12.00107.5%30.0%94.1%0.0%106.5%5.3%6.5%-242.1K16.6M-35.3K1.5885.103,5395,57767,99926,341
2022-05-23$9.75$12.00117.2%33.3%89.4%0.0%106.6%13.7%-6.5%16.8K3.3M-30.6K0.9785.942,6532,56743,48510,708
2022-05-24$8.64$12.00124.8%34.5%94.6%0.0%120.5%9.7%-5.6%11.2K4.6M-27.6K1.2487.182,6433,27844,21512,004
2022-05-25$8.99$12.00123.8%31.5%94.2%0.0%118.0%17.0%0.1%2.3K4.9M-28.0K0.6789.992,1401,43644,14512,555
2022-05-26$9.26$12.00120.5%35.3%95.9%0.0%111.1%15.9%-1.6%13.1K4.3M-30.9K0.5188.935,3262,73244,31912,638
2022-05-27$9.92$12.00117.2%29.9%101.0%0.0%104.3%22.2%0.3%67.7K3.1M-38.3K1.1189.952,3532,61845,62713,830
2022-05-31$9.77$12.00125.6%31.7%97.0%0.0%109.2%-6.6%-8.0%13.6K3.1M-35.5K1.0394.041,7081,76344,30412,780