BRCC Options History — March 2023

In March 2023, BRCC traded between $4.95 and $6.24. ATM implied volatility averaged 75.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 11.7% (HV 20d: 63.3%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.18.

Notable Days

  • 2023-03-16: Highest Volume — 1,149 contracts
  • 2023-03-15: Largest IV drop — 34.0% change
  • 2023-03-14: Highest IV Rank — 47.1%
  • 2023-03-01: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.56$4.95$6.24$6.24$5.11
Max Pain$8.04$7.00$9.00$7.00$7.00
ATM IV75.0%51.1%120.5%81.5%51.1%
Expected Move19.6%14.7%23.4%23.4%14.7%
HV 20d63.3%52.1%78.3%78.2%53.2%
HV 60d65.4%62.7%68.6%68.1%62.9%
IV Rank15.8%0.0%47.1%20.2%0.0%
IV Percentile19.7%0.0%73.4%24.2%0.0%
Term Structure2.6%-11.1%25.4%-8.0%15.9%
VWIV72.3%45.7%116.3%86.6%51.1%
Skew 25d0.2%-18.0%76.6%-13.2%76.6%
Skew 10d7.4%-16.8%136.3%-9.2%136.3%
Call IV 25d66.3%34.1%80.6%79.7%43.2%
Put IV 25d66.5%48.6%119.8%66.5%119.8%
Bid-Ask Spread %83.5675.0595.8082.8478.39
Gamma HHI0.350.190.640.220.64
Net GEX-5.4K-12.1K5.7K1.6K-12.1K
Net DEX598.5K243.6K892.9K290.8K749.1K
Net VEX-6.1K-6.8K-5.5K-6.8K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.0412.540.921.02
Total Volume308.609271,14924493
Total OI8,131.4787,3889,6697,3888,723

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$6.24$7.0081.5%23.4%78.2%20.2%86.6%-13.2%-8.0%1.6K290.8K-6.8K0.9282.841271174,5472,841
2023-03-02$6.15$7.0070.2%20.1%78.3%12.4%78.0%-15.3%-3.3%-2.2K409.0K-6.4K0.9181.69107974,5542,933
2023-03-03$6.21$7.0077.1%22.1%71.2%17.2%74.6%-18.0%-11.0%-1.3K367.0K-6.8K2.6480.71531404,5963,022
2023-03-06$6.04$9.0072.1%19.0%71.6%13.7%68.0%-2.8%1.8%-4.9K511.7K-6.7K0.7991.1485674,6183,144
2023-03-07$6.04$9.0083.6%18.4%67.9%21.7%81.9%-10.8%6.3%-4.3K539.9K-6.3K0.0489.2613054,6683,195
2023-03-08$6.03$9.0089.8%18.6%66.6%25.9%68.5%-2.0%9.1%-4.8K568.5K-6.2K0.1590.0892144,6543,197
2023-03-09$5.95$9.0073.9%19.4%66.6%15.0%69.8%-9.0%-2.4%-6.6K600.5K-6.1K0.4976.90162794,7043,208
2023-03-10$5.96$9.0087.0%19.5%66.4%24.0%69.4%-0.9%3.4%-4.6K577.0K-6.4K0.8483.1674624,8223,247
2023-03-13$6.01$9.00104.0%20.7%66.6%35.7%72.1%-8.9%-4.9%-4.6K503.3K-6.5K0.7890.681681314,8633,241
2023-03-14$6.01$8.00120.5%20.4%66.2%47.1%71.0%10.2%10.0%-1.9K481.9K-6.4K0.2795.803931054,9963,207
2023-03-15$6.17$8.0079.5%22.8%59.2%18.9%80.1%-3.6%-8.5%5.7K243.6K-6.7K0.2687.238302135,3953,164
2023-03-16$5.51$8.0069.2%19.8%63.5%11.8%70.5%-0.8%25.4%-420726.9K-5.7K1.9685.543887615,7363,238
2023-03-17$5.11$8.0067.7%19.4%66.5%10.8%74.2%-10.4%3.0%-7.3K892.9K-5.6K0.8375.054683895,8843,785
2023-03-20$5.09$8.0064.9%18.6%65.4%8.8%61.9%-5.2%-11.1%-8.2K674.4K-5.7K0.6278.48115714,3433,313
2023-03-21$5.18$8.0062.9%18.0%62.3%7.5%80.2%-0.1%4.4%-9.4K673.4K-6.0K0.3879.76205774,3853,381
2023-03-22$5.01$8.0068.0%19.5%62.2%10.9%65.9%-12.3%3.3%-8.3K723.1K-5.5K0.4280.78141594,5023,381
2023-03-23$4.95$8.0062.3%17.9%55.5%7.0%45.7%-0.7%11.2%-8.3K720.8K-5.7K0.1984.39151294,6233,431
2023-03-24$5.06$8.0071.7%20.5%54.5%13.5%70.9%23.8%4.6%-7.2K613.2K-6.0K0.5478.85126684,5823,444
2023-03-27$5.08$8.0061.4%17.6%54.8%6.4%61.6%-7.5%7.8%-9.8K707.1K-5.8K0.0482.7915964,6913,509
2023-03-28$4.97$8.0068.7%19.7%54.9%11.5%67.4%16.7%-1.6%-8.5K719.7K-5.9K0.3590.352074,8033,516
2023-03-29$4.97$8.0079.1%22.7%52.1%18.6%77.3%-15.0%-6.0%-8.1K740.7K-5.8K0.1379.64299394,8073,523
2023-03-30$5.00$7.0058.7%16.8%52.4%4.5%116.3%13.3%11.1%-9.2K730.5K-5.8K12.5478.37131635,0473,561
2023-03-31$5.11$7.0051.1%14.7%53.2%0.0%51.1%76.6%15.9%-12.1K749.1K-6.0K1.0278.3946475,0503,673