BRCC Options History — July 2022

In July 2022, BRCC traded between $8.41 and $9.38. ATM implied volatility averaged 137.5%. The 30-day expected move averaged 39.9%. IV traded above realized volatility by 32.8% (HV 20d: 104.7%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2022-07-01: Highest Volume — 6,075 contracts
  • 2022-07-20: Largest IV drop — 19.8% change
  • 2022-07-07: Largest Expected Move — 49.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.99$8.41$9.38$8.84$9.38
Max Pain$10.10$10.00$12.00$12.00$10.00
ATM IV137.5%117.2%154.4%140.9%119.9%
Expected Move39.9%32.0%49.5%41.0%33.9%
HV 20d104.7%63.6%118.2%114.8%63.6%
HV 60d104.1%92.5%119.4%119.4%92.5%
Term Structure-5.1%-36.3%20.0%-0.6%-9.5%
VWIV136.8%114.8%159.6%145.4%114.8%
Skew 25d4.7%-9.3%22.8%3.9%-1.5%
Skew 10d10.6%-56.7%108.0%30.8%-56.7%
Call IV 25d136.0%121.0%152.3%141.0%126.5%
Put IV 25d140.7%115.4%154.0%144.9%124.9%
Bid-Ask Spread %78.9658.8691.5681.8489.31
Gamma HHI0.220.140.460.140.25
Net GEX-94.7K-162.0K-65.0K-78.5K-110.1K
Net DEX6.1M4.0M8.7M7.3M4.0M
Net VEX-26.5K-33.3K-22.0K-33.3K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.481.040.700.84
Total Volume3,5702,1976,0756,0752,504
Total OI49,259.9524,86773,73170,25427,924

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$8.84$12.00140.9%41.0%114.8%0.0%145.4%3.9%-0.6%-78.5K7.3M-33.3K0.7081.843,5682,50746,59623,658
2022-07-05$9.05$10.00151.4%41.2%115.3%0.0%145.4%8.2%-7.3%-74.7K6.8M-32.5K0.8361.232,4922,06346,60323,540
2022-07-06$8.64$10.00145.1%41.1%114.9%0.0%144.0%1.8%3.6%-85.3K7.7M-30.8K0.7570.142,6792,00246,93324,053
2022-07-07$8.93$10.00135.4%49.5%115.1%0.0%159.6%19.5%6.7%-89.2K7.8M-31.0K0.9078.222,4952,25647,37724,360
2022-07-08$9.14$10.00148.6%45.1%115.4%0.0%156.9%-2.8%20.0%-103.2K7.6M-29.3K0.6758.863,0222,01747,42124,568
2022-07-11$9.15$10.00147.0%36.2%115.4%0.0%136.9%10.9%-36.3%-98.4K7.4M-28.5K0.5668.922,5131,40247,84524,576
2022-07-12$8.41$10.00140.8%40.8%118.2%0.0%139.6%5.2%-4.9%-109.5K8.7M-27.1K0.6969.892,1661,50548,09824,828
2022-07-13$8.67$10.00147.9%37.5%109.1%0.0%142.2%-7.2%-17.2%-126.7K8.6M-26.4K0.5768.212,1601,24048,16924,836
2022-07-14$9.16$10.00139.0%39.7%109.0%0.0%139.0%-3.2%-0.0%-75.2K7.6M-27.4K0.6661.762,2911,50448,23524,919
2022-07-15$8.94$10.00145.5%41.2%107.8%0.0%130.9%-4.6%-4.4%-162.0K8.4M-27.0K0.6572.802,3591,53748,41225,319
2022-07-18$9.08$10.00141.6%40.3%107.7%0.0%141.3%22.8%-5.0%-69.2K4.2M-25.7K0.4882.452,3001,1149,94814,919
2022-07-19$8.74$10.00154.4%44.8%104.1%0.0%136.5%17.6%-35.5%-65.0K4.6M-24.6K0.8289.761,6871,38310,52515,133
2022-07-20$9.20$10.00123.8%35.5%105.2%0.0%128.4%-7.7%11.7%-99.0K4.3M-23.8K0.6290.421,7701,09910,62415,785
2022-07-21$8.93$10.00133.8%38.6%103.2%0.0%128.3%8.5%-16.0%-94.6K4.7M-24.7K0.7789.081,6771,29010,70215,934
2022-07-22$8.83$10.00134.7%39.1%103.1%0.0%122.0%10.3%-5.3%-97.1K4.7M-24.6K0.8088.651,5031,20010,75015,976
2022-07-25$9.18$10.00132.3%39.8%102.5%0.0%129.3%4.5%5.1%-85.3K4.5M-23.5K0.5285.642,0431,05510,24415,439
2022-07-26$9.17$10.00130.9%40.6%101.2%0.0%134.9%4.9%-4.5%-82.9K4.4M-22.6K1.0490.531,0771,12010,97415,666
2022-07-27$8.96$10.00119.6%39.5%93.9%0.0%132.1%12.5%-7.9%-93.6K4.8M-22.0K0.9291.561,2081,10811,09715,803
2022-07-28$9.30$10.00117.2%32.0%74.7%0.0%129.4%-9.3%4.4%-93.6K4.3M-22.3K0.8589.891,3461,13811,38516,025
2022-07-29$9.38$10.00119.9%33.9%63.6%0.0%114.8%-1.5%-9.5%-110.1K4.0M-23.1K0.8489.311,3641,14011,63916,285