BRCC Options History — January 2023

In January 2023, BRCC traded between $6.00 and $6.77. ATM implied volatility averaged 69.3%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 5.1% (HV 20d: 64.2%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.77.

Notable Days

2023-01-20: Highest Volume — 721 contracts
2023-01-31: Largest IV spike — 32.2% change
2023-01-31: Highest IV Rank — 11.2%
2023-01-31: Largest Expected Move — 24.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.32	$6.00	$6.77	$6.37	$6.54
Max Pain	$6.20	$6.00	$8.00	$8.00	$6.00
ATM IV	69.3%	60.0%	83.5%	68.7%	83.5%
Expected Move	20.3%	17.5%	24.0%	19.7%	24.0%
HV 20d	64.2%	52.3%	73.0%	69.5%	59.3%
HV 60d	60.4%	57.0%	63.7%	63.1%	58.9%
IV Rank	4.0%	0.0%	11.2%	1.9%	11.2%
IV Percentile	5.8%	0.0%	20.9%	3.2%	20.9%
Term Structure	5.4%	-7.5%	15.2%	2.0%	-6.4%
VWIV	67.9%	57.2%	78.0%	65.9%	70.6%
Skew 25d	1.0%	-33.5%	21.2%	1.4%	-9.2%
Skew 10d	9.5%	-27.8%	57.7%	5.9%	-25.4%
Call IV 25d	63.5%	49.8%	77.4%	61.4%	74.2%
Put IV 25d	64.4%	43.9%	81.0%	62.8%	65.0%
Bid-Ask Spread %	78.64	54.19	100.81	79.13	85.84
Gamma HHI	0.31	0.25	0.46	0.28	0.34
Net GEX	6.5K	-9.0K	19.0K	-957	19.0K
Net DEX	617.3K	-252.2K	1.3M	1.1M	-252.2K
Net VEX	-5.5K	-6.9K	-4.6K	-5.5K	-6.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.02	3.48	0.16	0.36
Total Volume	274.05	69	721	286	624
Total OI	9,356.1	5,074	12,314	10,722	5,999

Daily Data (20 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
2023-01-03	$6.37	$8.00	68.7%	19.7%	69.5%	1.9%	65.9%	1.4%	2.0%	-957	1.1M	-5.5K	0.16	79.13	246	40	6,817	3,905
2023-01-04	$6.39	$8.00	74.6%	21.4%	65.3%	4.7%	59.7%	9.2%	-3.2%	673	1.1M	-5.6K	0.10	72.56	156	15	7,029	3,916
2023-01-05	$6.00	$6.00	64.0%	21.1%	69.3%	0.0%	74.2%	20.7%	3.1%	1.9K	1.3M	-4.8K	0.79	63.33	67	53	7,087	3,908
2023-01-06	$6.05	$6.00	63.6%	19.9%	69.0%	0.0%	70.3%	15.3%	7.4%	2.8K	1.3M	-4.7K	0.74	70.59	46	34	7,127	3,932
2023-01-09	$6.02	$6.00	60.0%	20.7%	68.3%	0.0%	72.8%	11.1%	8.3%	2.4K	1.3M	-4.6K	0.58	84.95	138	80	7,127	3,933
2023-01-10	$6.43	$6.00	73.7%	21.5%	71.9%	6.5%	73.5%	8.0%	2.1%	2.7K	1.0M	-5.6K	0.81	87.86	135	110	7,076	3,927
2023-01-11	$6.58	$6.00	77.2%	22.1%	72.1%	8.2%	75.2%	-14.2%	4.8%	2.7K	971.8K	-5.7K	0.23	66.96	357	82	7,121	3,994
2023-01-12	$6.63	$6.00	63.0%	18.1%	69.6%	1.4%	64.0%	6.3%	12.1%	2.4K	897.5K	-6.1K	0.19	89.22	237	46	7,424	4,004
2023-01-13	$6.75	$6.00	75.2%	21.5%	69.9%	7.2%	75.4%	12.4%	1.0%	3.0K	662.9K	-6.9K	0.15	93.73	203	31	7,703	4,056
2023-01-17	$6.77	$6.00	70.0%	20.1%	69.9%	4.8%	67.2%	12.4%	10.6%	14.5K	739.0K	-6.1K	0.71	78.98	174	124	7,924	4,076
2023-01-18	$6.31	$6.00	78.9%	22.6%	73.0%	9.0%	78.0%	-4.2%	9.8%	6.6K	911.4K	-6.1K	0.31	100.81	299	92	7,974	4,124
2023-01-19	$6.08	$6.00	64.4%	18.5%	60.5%	2.1%	65.6%	-22.7%	15.2%	-9.0K	1.1M	-5.5K	3.48	91.34	29	101	8,208	4,106
2023-01-20	$6.25	$6.00	79.1%	22.7%	59.9%	9.1%	67.5%	4.6%	-7.5%	10.1K	715.9K	-5.5K	1.87	89.43	251	470	8,230	3,847
2023-01-23	$6.29	$6.00	62.0%	17.8%	59.1%	1.0%	63.1%	-7.6%	6.5%	12.3K	-106.6K	-5.3K	0.61	71.30	155	95	3,736	1,338
2023-01-24	$6.30	$6.00	70.5%	20.2%	59.1%	5.0%	57.2%	4.7%	12.6%	11.8K	-86.2K	-5.3K	0.08	54.19	93	7	3,804	1,432
2023-01-25	$6.17	$6.00	68.2%	19.5%	55.5%	3.9%	63.3%	-0.8%	4.6%	11.7K	-53.0K	-5.1K	0.02	68.82	217	4	3,879	1,436
2023-01-26	$6.28	$6.00	61.2%	17.5%	52.3%	0.6%	59.1%	21.2%	8.2%	13.4K	-240.9K	-5.9K	3.06	76.04	17	52	4,084	1,439
2023-01-27	$6.00	$6.00	65.5%	18.8%	55.0%	2.6%	68.1%	-33.5%	12.0%	9.4K	45.9K	-4.8K	0.71	63.74	197	139	4,094	1,489
2023-01-30	$6.14	$6.00	63.2%	18.1%	55.5%	1.5%	66.6%	-16.1%	4.7%	12.2K	-11.0K	-5.1K	0.43	83.99	185	80	4,211	1,606
2023-01-31	$6.54	$6.00	83.5%	24.0%	59.3%	11.2%	70.6%	-9.2%	-6.4%	19.0K	-252.2K	-6.0K	0.36	85.84	459	165	4,337	1,662