BRCC Options History — December 2022

In December 2022, BRCC traded between $5.79 and $6.76. ATM implied volatility averaged 76.9%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 20.3% (HV 20d: 56.6%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.16.

Notable Days

2022-12-13: Highest Volume — 467 contracts
2022-12-02: Largest IV drop — 39.1% change
2022-12-01: Highest IV Rank — 34.0%
2022-12-08: Largest Expected Move — 22.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.18	$5.79	$6.76	$6.08	$6.03
Max Pain	$7.81	$6.00	$8.00	$6.00	$8.00
ATM IV	76.9%	64.9%	141.8%	141.8%	67.1%
Expected Move	20.2%	18.3%	22.0%	21.2%	19.2%
HV 20d	56.6%	46.3%	68.5%	48.8%	68.5%
HV 60d	64.4%	62.8%	68.3%	62.8%	62.8%
IV Rank	4.6%	0.0%	34.0%	34.0%	1.1%
IV Percentile	8.3%	0.0%	79.5%	79.5%	1.4%
Term Structure	2.7%	-23.9%	13.2%	-10.4%	2.2%
VWIV	68.5%	49.0%	75.0%	69.3%	69.7%
Skew 25d	12.3%	-16.1%	87.0%	22.4%	-13.7%
Skew 10d	20.8%	-20.9%	57.7%	22.8%	-9.1%
Call IV 25d	66.6%	45.3%	78.4%	78.4%	70.6%
Put IV 25d	78.9%	56.1%	157.8%	100.9%	56.9%
Bid-Ask Spread %	52.86	20.79	84.05	55.05	80.99
Gamma HHI	0.29	0.22	0.41	0.41	0.25
Net GEX	-492	-18.1K	13.0K	-18.1K	64
Net DEX	1.1M	597.7K	1.4M	1.3M	1.2M
Net VEX	-6.0K	-7.4K	-5.1K	-6.2K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.06	6.84	2.27	0.09
Total Volume	186.048	25	467	85	38
Total OI	11,018	10,545	11,486	11,486	10,923

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-12-01	$6.08	$6.00	141.8%	21.2%	48.8%	34.0%	69.3%	22.4%	-10.4%	-18.1K	1.3M	-6.2K	2.27	55.05	26	59	7,006	4,480
2022-12-02	$6.36	$6.00	86.3%	19.4%	50.7%	5.5%	68.0%	59.5%	4.9%	-317	1.1M	-6.8K	0.69	68.90	212	146	7,022	4,447
2022-12-05	$5.97	$8.00	82.7%	21.7%	53.3%	3.6%	73.9%	-10.8%	-18.0%	-386	1.2M	-6.0K	0.33	58.79	168	55	6,751	4,069
2022-12-06	$5.89	$8.00	95.1%	21.6%	47.7%	10.0%	74.3%	24.8%	2.0%	-100	1.3M	-5.6K	1.31	48.72	42	55	6,888	4,123
2022-12-07	$5.79	$8.00	67.2%	21.4%	47.0%	0.0%	73.9%	34.9%	4.7%	-2.9K	1.4M	-5.5K	1.96	32.08	56	110	6,896	4,163
2022-12-08	$5.96	$8.00	70.4%	22.0%	48.8%	1.6%	72.3%	87.0%	-23.9%	-7.5K	1.3M	-5.7K	0.97	20.79	76	74	6,944	4,114
2022-12-09	$6.08	$8.00	70.6%	21.2%	49.9%	1.7%	75.0%	56.0%	-3.7%	-6.4K	1.2M	-6.0K	0.26	21.58	154	40	7,008	4,147
2022-12-12	$6.17	$8.00	84.7%	20.8%	46.3%	8.6%	72.3%	10.8%	5.1%	2.0K	1.2M	-6.0K	0.06	25.22	263	16	6,856	4,032
2022-12-13	$6.51	$8.00	66.0%	19.9%	49.3%	0.0%	74.7%	8.8%	9.7%	12.0K	951.9K	-6.4K	0.30	73.42	359	108	7,078	4,043
2022-12-14	$6.50	$8.00	70.9%	20.3%	49.2%	2.4%	65.7%	9.6%	6.3%	8.9K	908.4K	-6.8K	0.26	37.44	91	24	7,269	4,110
2022-12-15	$6.51	$8.00	66.4%	19.0%	48.4%	0.2%	64.8%	-5.8%	13.2%	13.0K	871.0K	-6.9K	0.46	70.93	37	17	7,305	4,127
2022-12-16	$6.76	$8.00	69.7%	20.0%	48.8%	1.8%	68.3%	-0.8%	8.6%	-6.3K	597.7K	-7.4K	0.14	24.21	246	35	7,243	4,119
2022-12-19	$6.00	$8.00	72.7%	20.8%	64.5%	3.3%	72.4%	-4.2%	4.3%	-1.7K	1.2M	-5.5K	0.44	26.28	244	108	6,661	3,884
2022-12-20	$6.22	$8.00	70.1%	20.1%	65.1%	2.0%	49.0%	1.1%	5.0%	-999	1.2M	-5.9K	6.84	59.01	19	130	6,837	3,894
2022-12-21	$6.06	$8.00	68.4%	19.6%	65.4%	1.2%	60.3%	-10.6%	11.4%	-719	1.2M	-5.6K	2.85	33.28	96	274	6,844	3,885
2022-12-22	$6.06	$8.00	68.4%	19.6%	64.7%	1.2%	73.1%	2.5%	5.6%	-658	1.1M	-5.9K	2.00	52.87	12	24	6,880	3,910
2022-12-23	$6.43	$8.00	64.9%	18.6%	67.8%	0.0%	67.7%	-7.7%	9.1%	-901	1.0M	-6.3K	0.60	84.05	144	87	6,890	3,912
2022-12-27	$6.09	$8.00	68.8%	19.7%	68.3%	1.9%	70.5%	11.8%	11.1%	769	1.2M	-5.3K	0.81	78.35	89	72	6,917	3,880
2022-12-28	$6.09	$8.00	69.8%	20.0%	68.3%	2.4%	59.8%	-16.1%	4.4%	-131	1.2M	-5.4K	1.24	77.78	34	42	6,953	3,942
2022-12-29	$6.15	$8.00	93.9%	18.3%	68.2%	14.1%	62.8%	-0.9%	5.8%	67	1.2M	-5.3K	0.39	80.38	18	7	6,957	3,969
2022-12-30	$6.03	$8.00	67.1%	19.2%	68.5%	1.1%	69.7%	-13.7%	2.2%	64	1.2M	-5.1K	0.09	80.99	35	3	6,956	3,967