BRCC Options History — August 2023

In August 2023, BRCC traded between $3.98 and $4.92. ATM implied volatility averaged 69.0%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 9.5% (HV 20d: 59.5%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.40.

Notable Days

  • 2023-08-01: Highest Volume — 1,115 contracts
  • 2023-08-09: Largest IV drop — 30.7% change
  • 2023-08-08: Highest IV Rank — 39.7%
  • 2023-08-02: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.27$3.98$4.92$4.42$4.53
Max Pain$4.30$4.00$5.00$5.00$4.00
ATM IV69.0%51.4%103.3%75.6%51.4%
Expected Move18.3%14.7%22.0%21.7%14.7%
HV 20d59.5%32.5%76.3%32.5%73.8%
HV 60d47.5%37.8%52.3%45.4%49.5%
IV Rank17.8%6.5%39.7%22.0%6.5%
IV Percentile39.2%9.1%84.9%56.3%9.1%
Term Structure1.2%-23.5%27.8%-8.6%-1.5%
VWIV67.6%48.2%106.7%79.1%52.3%
Skew 25d18.9%-16.8%136.1%-3.4%-16.8%
Skew 10d75.4%-11.7%292.6%36.7%0.1%
Call IV 25d67.1%37.3%85.3%82.9%59.9%
Put IV 25d86.0%43.2%209.4%79.5%43.2%
Bid-Ask Spread %81.8623.05134.9376.6958.94
Gamma HHI0.290.200.610.350.22
Net GEX-8.3K-18.9K814-10.7K814
Net DEX620.6K184.8K996.5K642.5K243.4K
Net VEX-6.7K-7.7K-5.9K-7.5K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.0016.936.011.37
Total Volume241.478251,1151,115230
Total OI9,945.3488,20911,9029,2178,608

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$4.42$5.0075.6%21.7%32.5%22.0%79.1%-3.4%-8.6%-10.7K642.5K-7.5K6.0176.691599564,2834,934
2023-08-02$4.21$5.0076.7%22.0%35.7%22.7%57.9%24.0%-15.1%-16.0K881.0K-7.3K0.2397.70118274,4335,805
2023-08-03$4.17$5.0079.5%16.7%35.7%24.5%58.4%1.6%-0.1%-16.7K879.3K-7.2K0.37134.931974,5415,809
2023-08-04$4.17$5.0087.4%18.3%34.1%29.5%0.0%-1.0%10.1%-15.1K899.8K-7.2K0.35114.9146164,5555,802
2023-08-07$4.14$5.0095.2%21.1%33.7%34.5%0.0%-9.4%-8.4%-16.0K865.4K-7.1K0.07118.06161114,5865,806
2023-08-08$4.05$5.00103.3%15.4%33.9%39.7%0.0%-8.1%6.5%-14.4K996.5K-6.7K16.93128.87152544,6275,806
2023-08-09$4.03$5.0071.6%20.5%33.8%19.4%70.8%-11.8%4.7%-14.4K985.4K-6.7K0.27119.353711014,6386,024
2023-08-10$3.98$4.0072.5%20.8%33.0%20.0%75.3%28.1%-23.5%-12.8K921.2K-6.7K0.17116.29157264,9866,077
2023-08-11$4.50$4.0061.9%17.7%58.2%13.2%58.4%24.9%16.7%-10.6K690.7K-7.2K0.36107.544671685,1536,110
2023-08-14$4.92$4.0065.8%18.9%67.1%15.7%66.9%26.3%-8.4%-13.2K184.8K-7.7K0.2689.528162135,1476,091
2023-08-15$4.46$4.0064.2%18.4%75.0%14.7%60.5%21.7%27.8%-9.3K668.8K-7.4K0.1275.27158195,4836,248
2023-08-16$4.37$4.0063.1%18.1%75.1%14.0%71.5%-11.8%1.4%-8.9K790.1K-6.8K1.0579.7922235,5856,252
2023-08-17$4.19$4.0058.8%16.8%76.1%11.2%66.1%10.1%-17.0%-18.9K881.2K-6.4K0.2989.7468205,6016,268
2023-08-18$4.19$4.0072.5%20.8%76.0%20.0%106.7%-2.6%-4.8%-2.7K800.5K-6.6K0.2274.30148325,6326,270
2023-08-21$4.16$4.0065.4%18.7%74.2%15.5%48.2%24.3%-0.2%-2.8K406.8K-6.2K0.2843.84151434,3983,811
2023-08-22$4.06$4.0063.3%18.1%73.3%14.1%64.4%-11.3%5.5%-2.5K429.8K-5.9K1.4333.7435504,5193,810
2023-08-23$4.16$4.0059.6%17.1%74.0%11.8%74.7%114.7%7.7%-1.9K384.1K-6.4K0.0065.8511404,5263,857
2023-08-24$4.11$4.0059.1%16.9%73.9%11.4%81.1%136.1%-1.4%-2.5K432.3K-6.1K2.3360.989214,6343,857
2023-08-25$4.33$4.0067.8%19.4%76.3%17.0%66.2%57.7%-4.2%-1.2K304.1K-6.6K0.0053.574504,6423,838
2023-08-28$4.31$4.0058.5%16.8%75.7%11.1%58.6%47.9%8.1%-845340.8K-6.3K0.0866.826454,6823,838
2023-08-29$4.30$4.0058.3%16.7%74.7%10.9%72.5%-8.4%11.5%-882374.1K-6.0K0.0253.0816134,7283,843
2023-08-30$4.47$4.0055.7%16.0%73.8%9.3%61.4%1.7%22.1%271271.5K-6.4K0.0923.052324,7543,846
2023-08-31$4.53$4.0051.4%14.7%73.8%6.5%52.3%-16.8%-1.5%814243.4K-6.2K1.3758.94971334,7633,845