BRCC Options History — October 2022

In October 2022, BRCC traded between $6.05 and $7.84. ATM implied volatility averaged 99.7%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded above realized volatility by 26.2% (HV 20d: 73.5%). Max pain ranged from $5.00 to $11.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2022-10-03: Highest Volume — 4,727 contracts
  • 2022-10-07: Largest IV spike — 54.1% change
  • 2022-10-14: Highest IV Rank — 34.3%
  • 2022-10-06: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.82$6.05$7.84$7.78$7.30
Max Pain$7.52$5.00$11.00$11.00$6.00
ATM IV99.7%80.5%146.2%83.7%81.7%
Expected Move24.4%22.1%25.7%25.0%24.4%
HV 20d73.5%62.6%85.4%64.4%76.2%
HV 60d69.7%66.8%74.1%67.5%73.7%
IV Rank9.6%0.0%34.3%0.9%0.6%
IV Percentile22.1%0.0%82.1%0.7%1.7%
Term Structure0.4%-101.7%99.6%18.9%-9.4%
VWIV81.9%62.6%90.7%73.4%86.0%
Skew 25d11.1%-70.8%50.9%-6.7%11.2%
Skew 10d32.3%-16.6%123.0%18.7%-14.8%
Call IV 25d85.1%62.2%220.6%89.3%73.9%
Put IV 25d96.2%82.7%149.8%82.7%85.1%
Bid-Ask Spread %68.1628.0282.8882.8849.57
Gamma HHI0.180.140.280.180.17
Net GEX-5.3K-21.3K23.1K-20.4K10.7K
Net DEX2.7M-187.4K4.2M3.4M-23.4K
Net VEX-9.9K-13.7K-7.7K-13.7K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.523.783.180.80
Total Volume2,876.9051,6274,7274,7271,627
Total OI20,105.85711,13024,24823,13311,688

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$7.78$11.0083.7%25.0%64.4%0.9%73.4%-6.7%18.9%-20.4K3.4M-13.7K3.1882.881,1313,59613,3129,821
2022-10-04$7.84$11.0083.0%23.2%62.6%0.5%70.6%10.9%50.6%-15.7K3.4M-13.5K3.7859.899293,51513,5309,841
2022-10-05$7.21$11.0081.6%22.1%68.0%0.0%81.9%18.2%44.3%-20.1K3.9M-11.6K2.3328.021,0082,35013,6839,850
2022-10-06$6.84$10.0090.7%25.7%69.3%4.8%87.5%8.1%42.0%-21.3K4.0M-10.5K2.5965.861,0062,60313,6959,836
2022-10-07$6.61$10.00139.8%24.6%67.5%30.9%84.3%15.1%99.6%-20.4K4.2M-9.7K2.5472.631,0932,77213,7519,879
2022-10-10$6.78$10.0091.7%24.0%68.6%5.4%70.2%50.6%-7.8%-17.1K4.0M-9.3K2.1967.441,1232,46513,3699,475
2022-10-11$6.68$9.00138.5%25.4%68.3%30.2%86.3%11.4%-101.7%-16.2K4.0M-9.4K1.8475.781,3712,52913,4799,559
2022-10-12$6.62$7.00130.9%24.8%65.4%26.2%77.0%29.6%-73.3%-11.1K3.8M-9.6K2.1669.599922,14013,9099,461
2022-10-13$7.13$7.00127.5%24.3%71.7%24.3%82.8%50.9%8.0%-10.5K3.6M-10.3K1.7476.991,0371,80914,0169,424
2022-10-14$6.51$7.00146.2%25.6%76.6%34.3%82.6%-70.8%-83.1%-10.4K3.8M-9.4K2.1169.279792,07014,1159,617
2022-10-17$6.53$7.00114.4%23.8%76.6%17.4%81.0%-1.8%-8.2%-10.6K3.8M-8.9K2.0072.531,0532,10913,7709,350
2022-10-18$6.37$7.00106.9%24.5%76.1%13.4%62.6%17.5%4.8%-6.9K3.9M-8.4K1.2064.361,4601,75613,9039,402
2022-10-19$6.05$5.0083.8%24.0%77.1%1.1%85.1%-2.6%-0.2%-3.1K3.6M-7.7K0.9467.5492887014,5409,335
2022-10-20$6.05$5.0086.6%24.4%77.2%2.6%86.5%7.0%8.1%-1.4K3.6M-8.0K0.8967.191,00990114,6179,427
2022-10-21$6.28$5.0088.9%24.7%78.4%3.9%86.1%20.1%7.8%6.3K3.5M-8.7K1.4370.188591,22614,8269,422
2022-10-24$6.28$6.0083.9%24.0%78.4%1.2%87.9%30.5%3.1%3.1K824.8K-8.3K0.9969.628558496,6914,439
2022-10-25$7.03$6.0084.7%24.5%85.4%1.7%90.7%16.3%2.8%6.9K209.0K-10.1K0.5277.251,6788656,8804,438
2022-10-26$6.99$6.0087.6%24.9%82.8%3.2%88.5%11.5%-2.5%17.6K121.1K-10.2K0.8466.501,0198517,3664,502
2022-10-27$7.06$6.0081.1%23.9%75.8%0.0%82.0%1.6%3.8%23.1K36.1K-10.3K0.9380.239318667,4194,519
2022-10-28$7.24$6.0080.5%24.1%76.4%0.0%87.6%4.7%-0.6%6.9K-187.4K-10.5K0.9777.961,1091,0767,4674,600
2022-10-31$7.30$6.0081.7%24.4%76.2%0.6%86.0%11.2%-9.4%10.7K-23.4K-10.4K0.8049.579067217,1964,492