BRCC Options History — May 2023

In May 2023, BRCC traded between $5.00 and $5.69. ATM implied volatility averaged 63.4%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 11.0% (HV 20d: 52.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.16.

Notable Days

  • 2023-05-23: Highest Volume — 1,177 contracts
  • 2023-05-25: Largest IV drop — 31.8% change
  • 2023-05-08: Highest IV Rank — 22.4%
  • 2023-05-08: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.33$5.00$5.69$5.26$5.33
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV63.4%41.5%84.0%71.5%57.2%
Expected Move17.7%11.9%21.9%20.5%16.4%
HV 20d52.4%37.3%63.3%39.5%63.3%
HV 60d54.3%51.5%57.5%55.7%52.9%
IV Rank9.8%0.0%22.4%13.9%10.1%
IV Percentile15.7%0.0%46.0%27.0%4.4%
Term Structure5.0%-8.7%17.0%6.3%12.7%
VWIV58.0%39.8%70.4%66.5%39.8%
Skew 25d8.2%-8.3%23.8%2.0%1.4%
Skew 10d25.4%3.7%87.8%8.3%10.3%
Call IV 25d53.8%36.9%65.9%65.9%60.1%
Put IV 25d62.0%39.9%75.3%67.9%61.5%
Bid-Ask Spread %77.6737.04110.1570.0237.04
Gamma HHI0.340.260.480.410.29
Net GEX-1.8K-4.8K4.5K-3.3K1.7K
Net DEX72.7K-56.4K234.8K109.8K133.4K
Net VEX-6.2K-7.4K-5.5K-6.1K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.0111.840.643.54
Total Volume197301,177182168
Total OI6,588.4095,8207,7815,8207,781

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$5.26$5.0071.5%20.5%39.5%13.9%66.5%2.0%6.3%-3.3K109.8K-6.1K0.6470.02111713,2282,592
2023-05-02$5.08$5.0074.8%21.5%39.5%16.2%69.1%14.9%-0.9%-3.7K179.6K-6.0K0.3180.3245143,2872,653
2023-05-03$5.00$5.0068.9%19.8%38.6%12.1%67.8%7.2%3.0%-4.8K234.1K-5.8K0.1665.3769113,3042,662
2023-05-04$5.12$5.0081.9%18.7%37.3%21.0%65.5%23.8%6.7%-3.0K174.3K-5.9K0.01106.247013,3532,657
2023-05-05$5.36$5.0076.5%20.6%40.0%17.3%61.3%8.8%3.8%-2.7K83.2K-6.0K0.16100.35227363,3722,656
2023-05-08$5.50$5.0084.0%21.9%40.6%22.4%67.4%16.9%14.5%-1.1K6.2K-6.1K0.33103.5569233,5642,687
2023-05-09$5.16$5.0083.0%20.8%45.6%21.7%70.4%1.4%-8.7%-3.0K159.7K-5.8K3.59100.97291043,6452,695
2023-05-10$5.37$5.0073.7%21.1%47.8%15.4%0.0%13.4%-0.4%5439.1K-6.0K4.0093.276243,6532,599
2023-05-11$5.13$5.0071.1%20.4%50.6%13.6%51.1%16.5%-2.7%-1.4K125.1K-5.9K1.0997.731031123,6592,603
2023-05-12$5.04$5.0066.6%19.1%50.8%10.6%68.3%15.6%2.3%-4.2K234.8K-5.5K0.32110.15124403,7482,681
2023-05-15$5.44$5.0062.8%18.0%57.9%8.0%57.6%17.6%3.3%-2.1K-24.3K-5.9K4.6290.6013603,8172,642
2023-05-16$5.21$5.0052.7%15.1%59.9%1.1%56.5%-8.2%15.5%-4.3K86.0K-5.7K0.0379.887923,8262,653
2023-05-17$5.21$5.0049.7%14.3%56.6%0.0%48.7%2.0%17.0%-4.6K73.5K-5.7K11.8457.72374383,8832,653
2023-05-18$5.49$5.0060.6%17.4%59.1%7.4%53.8%9.3%-1.1%-4.3K-40.6K-5.9K0.7072.3727193,8943,044
2023-05-19$5.42$5.0054.2%15.5%58.4%3.0%56.6%11.5%12.5%-4.8K-11.4K-5.9K0.0788.219773,9383,066
2023-05-22$5.38$5.0052.1%14.9%58.3%1.6%57.5%1.9%4.8%-4.6K112.2K-5.9K1.4173.581672353,2462,633
2023-05-23$5.69$5.0050.2%14.4%61.2%0.3%53.0%10.6%0.5%-2.9K-22.4K-6.2K0.4272.788263513,4022,861
2023-05-24$5.47$5.0060.9%17.4%63.0%7.5%58.3%9.7%3.8%3.1K-36.0K-6.9K7.7561.14362794,2043,120
2023-05-25$5.50$5.0041.5%11.9%62.8%0.0%47.5%-8.3%15.4%2.7K50.9K-7.0K2.8558.7226744,2193,362
2023-05-26$5.58$5.0048.5%13.9%61.3%4.5%44.7%6.0%2.2%3.1K-12.1K-7.4K0.9151.6622204,2403,434
2023-05-30$5.63$5.0052.0%14.9%61.3%6.7%56.4%5.7%-0.7%4.5K-56.4K-7.3K2.8837.0916464,2553,474
2023-05-31$5.33$5.0057.2%16.4%63.3%10.1%39.8%1.4%12.7%1.7K133.4K-7.1K3.5437.04371314,2683,513