BRCC Options History — June 2022

In June 2022, BRCC traded between $6.80 and $10.21. ATM implied volatility averaged 115.6%. The 30-day expected move averaged 32.2%. IV traded above realized volatility by 31.5% (HV 20d: 84.1%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2022-06-29: Highest Volume — 12,826 contracts
  • 2022-06-14: Largest IV drop — 29.8% change
  • 2022-06-29: Largest Expected Move — 47.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.49$6.80$10.21$9.86$8.15
Max Pain$12.45$12.00$12.50$12.00$12.00
ATM IV115.6%93.9%150.1%109.4%150.1%
Expected Move32.2%25.8%47.1%30.9%43.6%
HV 20d84.1%71.1%111.2%97.0%111.2%
HV 60d127.1%120.8%134.4%125.9%120.8%
Term Structure-0.7%-40.1%51.0%-6.6%-32.6%
VWIV109.1%78.9%167.7%105.0%161.9%
Skew 25d8.2%-11.8%37.5%13.4%27.3%
Skew 10d28.0%-49.7%116.5%41.5%71.8%
Call IV 25d113.2%99.7%141.0%109.1%134.0%
Put IV 25d121.4%108.9%178.5%122.5%161.3%
Bid-Ask Spread %90.9281.6097.9690.1690.94
Gamma HHI0.170.100.290.130.14
Net GEX-25.1K-70.1K16.2K3.4K-70.1K
Net DEX5.4M2.8M8.3M3.5M8.3M
Net VEX-23.0K-36.5K-12.7K-33.7K-27.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.523.761.081.05
Total Volume3,817.5712,19112,8263,1515,842
Total OI57,993.85754,68168,23057,60968,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$9.86$12.00109.4%30.9%97.0%0.0%105.0%13.4%-6.6%3.4K3.5M-33.7K1.0890.161,5121,63944,48513,124
2022-06-02$10.21$12.50109.8%30.0%96.4%0.0%96.9%15.2%0.4%9.9K2.8M-36.5K0.8884.271,5691,38644,63413,398
2022-06-03$10.14$12.50114.5%28.9%76.1%0.0%98.1%8.5%0.7%16.2K2.9M-35.7K0.9391.651,6251,51844,81213,903
2022-06-06$9.60$12.50116.3%33.4%77.5%0.0%107.3%6.6%9.0%2.8K3.8M-32.0K0.6389.191,43591044,20413,119
2022-06-07$9.27$12.50111.6%29.8%74.5%0.0%103.4%2.4%-12.0%-15.1K4.8M-27.9K0.6390.771,37886844,40513,248
2022-06-08$9.26$12.50113.9%29.2%74.2%0.0%96.1%2.5%-11.7%-17.5K4.8M-28.4K0.6794.341,33389944,49013,376
2022-06-09$9.18$12.50113.2%28.8%73.8%0.0%108.2%7.4%-16.0%-23.1K4.8M-27.6K0.5596.501,50482344,52113,329
2022-06-10$8.77$12.50104.7%28.5%71.1%0.0%117.0%4.4%-4.5%-21.0K5.4M-24.7K0.5697.961,55187044,56313,360
2022-06-13$7.73$12.50133.6%40.0%78.9%0.0%125.9%-11.8%-40.1%-19.2K6.1M-18.2K0.7195.351,5791,12844,18212,984
2022-06-14$8.18$12.5093.9%25.8%83.2%0.0%90.2%8.8%51.0%-20.2K6.0M-18.9K0.5289.811,44474744,48512,844
2022-06-15$8.65$12.50109.3%31.3%87.0%0.0%97.2%6.6%0.8%-26.9K6.1M-19.2K0.5897.521,49187044,58012,843
2022-06-16$8.52$12.50114.1%32.8%82.9%0.0%112.4%-0.2%-1.1%-5.4K5.5M-21.3K0.8693.361,4621,25744,71212,869
2022-06-17$7.84$12.50110.0%31.1%86.7%0.0%110.1%0.8%7.5%-18.2K6.4M-16.9K3.7692.451,4185,32944,82713,104
2022-06-21$7.80$12.50104.8%30.0%86.7%0.0%83.2%0.9%5.3%-43.6K5.6M-15.6K1.5088.871,6152,42642,36412,317
2022-06-22$7.35$12.50116.6%31.8%88.3%0.0%107.1%6.0%-9.2%-37.6K5.8M-14.5K1.0789.271,3051,39142,84612,602
2022-06-23$7.23$12.50107.3%31.2%78.8%0.0%108.0%17.0%4.6%-46.9K6.2M-13.2K1.1587.841,2081,39342,91213,072
2022-06-24$7.03$12.50116.8%30.0%76.9%0.0%108.4%-3.0%-3.2%-47.0K6.2M-12.9K2.0790.091,3922,87742,94713,137
2022-06-27$6.80$12.50110.8%30.6%75.6%0.0%78.9%17.4%5.1%-46.3K6.7M-12.7K3.0594.061,6224,94642,82514,194
2022-06-28$7.67$12.50121.1%31.2%84.8%0.0%107.6%5.1%7.5%-67.4K7.2M-17.5K1.3183.241,6372,14443,09916,247
2022-06-29$9.04$12.50146.9%47.1%105.6%0.0%167.7%37.5%29.9%-34.0K5.0M-27.3K1.5181.605,1137,71343,54017,138
2022-06-30$8.15$12.00150.1%43.6%111.2%0.0%161.9%27.3%-32.6%-70.1K8.3M-27.7K1.0590.942,8542,98845,67522,555