BRCC Options History — November 2022

In November 2022, BRCC traded between $5.96 and $7.48. ATM implied volatility averaged 106.6%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded above realized volatility by 44.3% (HV 20d: 62.2%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2022-11-07: Highest Volume — 2,389 contracts
  • 2022-11-23: Largest IV spike — 85.9% change
  • 2022-11-29: Highest IV Rank — 62.7%
  • 2022-11-02: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.58$5.96$7.48$7.41$6.06
Max Pain$6.05$5.00$7.00$6.00$6.00
ATM IV106.6%75.7%197.5%82.8%95.4%
Expected Move22.5%20.2%24.7%24.2%20.6%
HV 20d62.2%46.5%76.4%76.4%49.4%
HV 60d69.4%62.8%74.0%73.7%62.8%
IV Rank15.3%0.0%62.7%1.2%10.1%
IV Percentile28.1%0.0%99.0%2.9%19.6%
Term Structure14.7%-115.9%132.0%-3.0%-28.6%
VWIV76.0%68.8%90.9%86.3%71.3%
Skew 25d9.8%-70.1%141.0%9.4%-44.5%
Skew 10d24.3%-8.5%182.4%11.6%182.4%
Call IV 25d88.2%61.7%175.4%79.0%169.0%
Put IV 25d98.0%67.9%219.3%88.4%124.5%
Bid-Ask Spread %65.7838.5682.4938.5675.49
Gamma HHI0.230.150.390.180.31
Net GEX2.0K-13.7K19.7K15.2K-9.5K
Net DEX673.2K-482.7K1.4M-153.2K1.4M
Net VEX-8.6K-11.1K-6.0K-10.6K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.126.630.920.34
Total Volume1,492.19862,3891,832142
Total OI12,190.09510,91713,37511,80911,420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$7.41$6.0082.8%24.2%76.4%1.2%86.3%9.4%-3.0%15.2K-153.2K-10.6K0.9238.569528807,3014,508
2022-11-02$7.16$6.0085.2%24.7%71.3%2.5%90.9%6.7%-1.5%12.1K27.5K-10.8K0.8274.989948157,3924,672
2022-11-03$6.88$5.0083.2%23.8%70.2%1.4%69.0%14.6%1.7%11.1K251.8K-10.3K0.7681.991,0417897,5524,681
2022-11-04$7.08$5.0078.1%23.1%69.6%0.0%68.8%7.9%3.2%9.4K98.4K-10.0K0.8766.619448207,6564,642
2022-11-07$7.48$5.0083.8%24.4%71.6%2.9%86.4%3.7%3.7%14.7K-482.7K-11.1K0.6371.601,4709197,3684,422
2022-11-08$7.22$5.0086.1%23.6%72.7%4.2%74.0%-1.8%-1.9%16.9K-208.2K-11.0K0.6373.681,2928178,0124,834
2022-11-09$7.06$5.0089.0%24.2%73.2%5.7%78.1%-1.1%-6.4%17.8K-63.5K-10.8K0.5366.141,3827338,1904,895
2022-11-10$7.03$7.0077.4%21.3%68.2%0.0%79.0%-14.4%-1.0%19.7K93.8K-10.3K0.4682.491,2355708,3074,936
2022-11-11$6.62$7.0075.7%22.0%63.5%0.0%75.0%-2.6%2.4%5.3K662.3K-9.5K0.5673.581,0936108,3195,056
2022-11-14$6.42$7.0080.1%23.0%64.5%2.3%76.7%5.2%108.2%-3.9K968.8K-8.2K0.6580.781,0116557,6704,899
2022-11-15$6.38$7.0076.6%22.0%63.9%0.5%73.2%9.6%114.4%-7.0K1.1M-7.7K0.7477.758246067,7154,944
2022-11-16$6.23$7.0080.1%23.0%61.7%2.3%80.8%-8.1%17.5%-8.5K1.0M-8.3K0.5460.441,1206007,8664,948
2022-11-17$6.44$7.00107.3%22.8%62.7%16.3%72.9%12.6%112.7%-7.8K979.7K-8.2K0.5047.141,2416258,0514,982
2022-11-18$6.26$6.00111.6%22.0%62.3%18.5%75.6%-4.7%132.0%-5.5K1.1M-7.9K0.5259.261,2076238,1434,991
2022-11-21$6.09$6.00181.8%21.1%63.0%54.6%73.0%-70.1%-20.7%-7.4K1.2M-7.2K0.6073.479185486,7934,334
2022-11-22$5.97$6.0090.2%20.5%46.5%7.5%70.7%141.0%97.0%-13.7K1.3M-6.7K0.5443.389785256,9334,438
2022-11-23$6.13$6.00167.7%20.6%48.1%47.3%68.8%23.4%-73.5%-13.7K1.2M-6.8K0.5656.791,0155677,0664,434
2022-11-25$6.26$6.00196.0%20.2%48.8%61.9%71.9%116.5%-13.2%-1.3K1.1M-7.0K0.1261.447797,1004,510
2022-11-28$5.96$6.00112.3%22.9%49.6%18.9%80.7%-11.8%-18.7%-1.6K1.3M-6.3K0.5346.66141756,7994,118
2022-11-29$5.96$6.00197.5%22.9%49.3%62.7%73.5%14.7%-115.9%-1.3K1.2M-6.3K6.6369.17624116,9184,177
2022-11-30$6.06$6.0095.4%20.6%49.4%10.1%71.3%-44.5%-28.6%-9.5K1.4M-6.0K0.3475.49106366,9564,464