BRCC Options History — September 2023

In September 2023, BRCC traded between $3.58 and $4.75. ATM implied volatility averaged 62.9%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 0.5% (HV 20d: 63.3%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.26.

Notable Days

  • 2023-09-22: Highest Volume — 660 contracts
  • 2023-09-08: Largest IV spike — 63.3% change
  • 2023-09-08: Highest IV Rank — 47.0%
  • 2023-09-01: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.11$3.58$4.75$4.64$3.58
Max Pain$4.95$4.00$5.00$4.00$5.00
ATM IV62.9%51.0%114.7%74.0%68.0%
Expected Move17.1%15.1%21.2%21.2%19.5%
HV 20d63.3%51.3%76.4%74.1%61.7%
HV 60d54.7%49.6%59.4%49.6%59.3%
IV Rank13.9%6.2%47.0%20.9%17.1%
IV Percentile30.7%8.3%95.6%61.9%49.6%
Term Structure8.2%-15.8%26.5%-15.8%5.8%
VWIV58.4%43.6%71.4%70.1%71.4%
Skew 25d18.7%-15.2%175.8%7.6%-4.1%
Skew 10d49.9%-5.6%274.0%15.1%9.4%
Call IV 25d56.2%38.5%70.1%70.1%66.0%
Put IV 25d74.9%45.7%223.8%77.8%61.9%
Bid-Ask Spread %64.6217.9289.7048.5723.39
Gamma HHI0.270.220.320.220.31
Net GEX-4.3K-9.1K5.6K927-8.9K
Net DEX507.0K98.3K803.9K173.1K752.1K
Net VEX-5.9K-6.9K-5.1K-6.4K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.0016.800.120.14
Total Volume174.451066015432
Total OI9,003.158,4169,5648,7449,184

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$4.64$4.0074.0%21.2%74.1%20.9%70.1%7.6%-15.8%927173.1K-6.4K0.1248.57138164,8423,902
2023-09-05$4.75$5.0055.2%15.6%74.2%8.9%55.4%14.0%8.7%5.0K98.3K-6.6K1.5689.701812824,7703,918
2023-09-06$4.75$5.0058.1%15.7%73.5%10.8%59.5%3.0%12.6%5.6K164.8K-6.9K0.2870.1375214,8534,159
2023-09-07$4.51$5.0070.3%17.1%76.4%18.6%59.0%15.3%2.5%1.6K277.2K-6.6K0.7269.1474534,8624,158
2023-09-08$4.46$5.00114.7%15.8%76.4%47.0%43.6%11.2%26.5%1.4K302.4K-6.6K0.4775.5132154,9324,206
2023-09-11$4.58$5.0053.0%15.3%63.3%7.6%51.4%20.9%14.6%2.2K303.0K-6.4K2.6567.5717454,9474,221
2023-09-12$4.21$5.0051.0%16.4%61.1%6.2%51.2%-5.9%12.3%-6.0K482.1K-6.0K2.3767.01711685,0564,253
2023-09-13$4.06$5.0062.4%17.9%52.3%13.6%64.8%-8.1%2.6%-5.8K539.7K-6.1K0.7775.5548375,1184,317
2023-09-14$4.19$5.0061.7%17.7%53.4%13.1%60.4%-3.9%7.1%-6.0K468.1K-6.2K2.5277.5731785,1344,348
2023-09-15$4.17$5.0057.4%16.4%51.3%10.3%55.9%-2.8%7.6%-6.7K522.7K-5.9K0.7373.6145335,1554,409
2023-09-18$4.03$5.0057.8%16.6%52.7%10.6%57.8%17.3%12.3%-6.9K585.2K-5.8K0.6564.73124804,1304,286
2023-09-19$4.25$5.0057.3%16.4%56.2%10.3%48.5%110.1%13.1%-7.3K551.7K-6.1K16.8071.51305044,1964,338
2023-09-20$4.04$5.0054.1%15.5%58.5%8.2%54.3%20.8%11.2%-7.0K582.1K-5.9K0.1978.06136264,2104,310
2023-09-21$3.96$5.0052.8%15.1%58.1%7.4%51.7%175.8%16.2%-7.0K595.2K-5.8K0.5760.5094544,2994,293
2023-09-22$3.58$5.0060.6%17.4%67.8%12.4%60.3%-15.2%5.0%-6.1K669.6K-5.1K13.6781.22456154,3674,248
2023-09-25$3.60$5.0062.4%17.9%64.4%13.5%60.8%6.9%3.9%-8.6K745.2K-5.3K0.0278.0223554,3934,747
2023-09-26$3.62$5.0069.8%20.0%64.6%18.3%69.7%22.2%-0.9%-8.7K751.7K-5.4K0.8069.2215124,4034,754
2023-09-27$3.63$5.0062.3%17.9%64.7%13.5%63.0%-2.1%9.8%-8.8K772.5K-5.3K0.1133.39914,4164,754
2023-09-28$3.63$5.0055.2%15.8%62.3%8.9%58.5%-8.8%9.6%-9.1K803.9K-5.2K0.0017.921204,4204,755
2023-09-29$3.58$5.0068.0%19.5%61.7%17.1%71.4%-4.1%5.8%-8.9K752.1K-5.2K0.1423.392844,4294,755