BRCC Options History — September 2022

In September 2022, BRCC traded between $7.44 and $9.43. ATM implied volatility averaged 96.6%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 27.8%. IV traded above realized volatility by 22.5% (HV 20d: 74.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2022-09-30: Highest Volume — 6,974 contracts
  • 2022-09-27: Largest IV drop — 9.7% change
  • 2022-09-02: Highest IV Rank — 10.8%
  • 2022-09-06: Largest Expected Move — 29.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.39$7.44$9.43$9.43$7.67
Max Pain$11.33$10.00$12.50$10.00$11.00
ATM IV96.6%82.0%107.2%106.7%92.8%
Expected Move27.8%24.3%29.9%29.9%26.2%
HV 20d74.1%57.1%84.2%81.9%63.9%
HV 60d77.8%64.9%87.1%86.3%67.7%
IV Rank5.4%0.0%10.8%10.5%5.8%
IV Percentile3.6%0.0%10.5%8.3%4.6%
Term Structure1.1%-7.1%11.5%1.5%-5.7%
VWIV94.7%71.9%106.6%102.6%101.6%
Skew 25d4.6%-5.1%19.5%5.5%4.9%
Skew 10d24.4%-16.8%112.7%36.7%41.4%
Call IV 25d94.8%80.5%106.5%103.0%89.8%
Put IV 25d99.4%88.0%114.2%108.4%94.7%
Bid-Ask Spread %75.4258.3889.2267.0479.01
Gamma HHI0.280.110.470.110.21
Net GEX-52.0K-131.5K4.4K-3.4K-19.0K
Net DEX3.8M2.1M5.2M2.1M5.2M
Net VEX-15.5K-19.1K-12.8K-19.1K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.246.330.456.33
Total Volume1,973.193166,9743166,974
Total OI26,00822,70728,32327,14225,590

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$9.43$10.00106.7%29.9%81.9%10.5%102.6%5.5%1.5%-3.4K2.1M-19.1K0.4567.042189816,34610,796
2022-09-02$9.26$10.00107.2%28.8%82.0%10.8%102.6%-1.7%-0.5%4.4K2.5M-18.1K4.3158.385022,16316,44110,830
2022-09-06$8.79$12.50105.2%29.9%84.2%9.7%106.5%0.9%-0.1%-34.1K3.3M-17.7K2.2578.631,3132,96014,52111,736
2022-09-07$8.90$12.50102.3%29.8%83.5%8.1%102.7%9.0%2.6%-33.0K3.3M-17.5K2.1078.161,3552,84114,91611,822
2022-09-08$8.63$12.50102.6%29.0%83.9%8.3%101.5%6.9%-2.8%-47.7K3.8M-16.4K2.9960.6026880015,12411,869
2022-09-09$8.93$12.50101.6%28.4%73.3%7.7%98.5%19.5%-7.1%-45.4K3.3M-16.9K0.4889.2232215415,27012,483
2022-09-12$8.99$12.5098.6%28.6%71.2%6.1%99.0%4.2%-2.3%-40.3K3.1M-16.4K0.4783.2771333814,89011,585
2022-09-13$8.72$12.5099.0%28.6%71.5%6.3%99.0%1.4%-0.3%-53.4K3.6M-15.7K0.6785.631,24883515,43311,839
2022-09-14$9.08$11.0099.3%28.5%73.5%6.4%80.7%5.2%3.2%-39.3K3.0M-16.1K0.4184.4041717115,61511,914
2022-09-15$8.68$11.0098.2%28.0%74.6%5.8%96.0%4.5%-2.9%-67.5K3.7M-15.5K0.3465.1540213515,93612,034
2022-09-16$8.33$11.0099.0%28.5%75.2%6.3%101.5%-2.6%-4.3%-89.6K4.1M-15.2K0.4686.821,49468416,20112,122
2022-09-19$8.36$11.0095.3%27.2%75.1%4.3%94.3%10.4%1.8%-64.8K3.6M-14.9K0.2480.7454012912,16610,541
2022-09-20$8.04$11.0095.8%27.4%74.8%4.5%98.1%-0.2%5.4%-63.8K4.0M-14.2K1.1669.5682696012,65610,936
2022-09-21$7.80$11.0088.8%25.5%74.1%0.7%92.2%-5.1%10.9%-69.0K4.3M-15.5K1.3974.3715922113,28011,665
2022-09-22$7.76$11.0088.6%25.2%73.6%0.6%86.4%2.9%5.2%-72.1K4.4M-14.9K1.9070.2219136213,37711,583
2022-09-23$7.45$11.0093.2%25.9%71.6%3.1%89.0%1.9%11.5%-77.6K4.9M-13.4K1.7471.6638066213,42411,622
2022-09-26$7.44$11.0098.3%29.2%71.6%5.9%73.0%6.0%-3.5%-46.8K4.8M-12.8K1.3975.711,0741,48913,02211,370
2022-09-27$7.97$11.0088.7%27.0%75.3%0.7%71.9%6.7%2.1%-68.1K4.7M-13.6K1.4380.361,0731,53813,23111,514
2022-09-28$8.38$11.0082.0%24.3%57.1%0.0%85.3%6.8%6.7%-131.5K4.0M-14.7K1.3169.731,2041,58313,40911,640
2022-09-29$7.59$11.0085.5%27.2%63.7%1.8%106.6%9.0%2.1%-30.0K5.0M-12.9K1.6275.101,0081,63313,65911,760
2022-09-30$7.67$11.0092.8%26.2%63.9%5.8%101.6%4.9%-5.7%-19.0K5.2M-12.9K6.3379.019526,02213,71711,873