BRCC Options History — October 2023

In October 2023, BRCC traded between $2.58 and $3.42. ATM implied volatility averaged 69.2%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 0.3% (HV 20d: 69.5%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.74.

Notable Days

  • 2023-10-12: Highest Volume — 529 contracts
  • 2023-10-30: Largest IV spike — 35.1% change
  • 2023-10-30: Highest IV Rank — 37.8%
  • 2023-10-30: Largest Expected Move — 28.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.87$2.58$3.42$3.42$2.90
Max Pain$3.59$3.00$5.00$5.00$3.00
ATM IV69.2%48.2%100.3%48.2%87.3%
Expected Move20.5%13.8%28.8%13.8%25.0%
HV 20d69.5%61.2%77.6%61.3%76.5%
HV 60d66.7%59.5%72.0%59.5%72.0%
IV Rank17.9%4.4%37.8%4.4%29.5%
IV Percentile52.8%4.4%95.2%4.4%91.7%
Term Structure9.7%-35.5%276.2%20.5%-11.4%
VWIV74.0%56.3%100.4%65.9%87.4%
Skew 25d29.6%-31.5%188.7%-31.5%27.7%
Skew 10d51.0%-16.8%225.7%10.8%44.6%
Call IV 25d68.5%48.4%116.3%80.2%74.0%
Put IV 25d98.2%48.7%305.0%48.7%101.7%
Bid-Ask Spread %49.309.8691.8417.479.86
Gamma HHI0.280.240.330.310.25
Net GEX-3.3K-8.0K194-8.0K194
Net DEX671.5K284.8K882.3K785.9K284.8K
Net VEX-3.9K-4.9K-3.4K-4.9K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0217.890.250.05
Total Volume185.9092252980346
Total OI9,0667,7359,9599,2068,052

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$3.42$5.0048.2%13.8%61.3%4.4%65.9%-31.5%20.5%-8.0K785.9K-4.9K0.2517.4764164,4554,751
2023-10-03$3.21$5.0060.3%17.3%61.8%12.2%63.2%14.0%12.8%-7.5K788.2K-4.5K0.6115.1341254,5074,755
2023-10-04$3.25$5.0060.1%17.2%62.4%12.1%0.0%17.2%10.9%-7.0K791.8K-4.2K0.2011.46110224,5334,736
2023-10-05$3.20$4.0066.1%20.7%61.2%15.9%72.2%25.7%-12.9%-7.0K833.7K-4.4K3.3351.036204,6464,758
2023-10-06$3.05$4.0062.9%21.1%62.1%13.9%76.2%13.8%-9.1%-6.2K882.3K-3.9K1.3953.9866924,6624,758
2023-10-09$2.79$4.0067.1%21.6%64.4%16.5%75.1%13.6%-4.6%-4.4K853.5K-3.6K0.9067.691221104,7284,764
2023-10-10$2.91$4.0056.9%23.5%64.6%10.0%82.0%52.9%-13.0%-5.4K842.2K-4.1K0.1569.53195294,8434,870
2023-10-11$2.69$4.0076.1%21.8%67.8%22.3%86.2%6.1%-10.3%-3.3K821.6K-3.6K0.7491.84114845,0394,769
2023-10-12$2.85$4.0077.0%22.1%71.0%22.9%76.0%21.1%-11.1%-4.2K801.4K-4.0K17.8938.75285015,1604,799
2023-10-13$2.73$4.0075.1%21.5%71.3%21.7%75.3%188.7%-13.5%-3.1K786.0K-3.5K0.0885.04127105,1844,509
2023-10-16$2.92$3.0063.1%18.1%77.6%14.0%66.9%23.6%5.8%-2.8K689.8K-4.2K0.5843.0159345,3104,499
2023-10-17$2.98$3.0072.0%20.6%74.6%19.7%69.4%139.4%-5.8%-2.5K676.5K-4.3K2.2570.85681535,3584,473
2023-10-18$2.84$3.0064.2%18.4%74.4%14.7%64.6%55.0%6.3%-2.1K668.1K-4.1K0.4784.0736175,4014,424
2023-10-19$2.71$3.0068.3%19.6%75.2%17.3%56.3%22.3%276.2%-2.0K698.6K-3.7K2.7365.48671835,4344,419
2023-10-20$2.63$3.0083.2%23.9%68.9%26.8%86.0%-18.8%10.5%-1.3K654.6K-3.6K2.7275.8729795,4804,246
2023-10-23$2.58$3.0069.4%19.9%68.4%18.0%71.0%-13.0%-7.3%-1.1K514.7K-3.6K2.5967.901313394,0443,739
2023-10-24$2.71$3.0060.2%17.3%71.9%12.1%60.6%17.1%5.1%-994528.9K-3.8K0.7667.7737284,1613,780
2023-10-25$2.74$3.0056.7%16.2%72.3%9.9%58.0%18.4%12.9%-1.0K500.3K-3.9K0.0546.602114,1643,782
2023-10-26$2.70$3.0072.8%20.9%72.1%20.2%77.8%44.0%-9.9%-1.4K557.5K-3.4K0.4725.14167794,1823,783
2023-10-27$2.60$3.0074.3%21.3%72.5%21.1%83.3%-0.7%-3.9%-739422.4K-3.4K0.0511.722214,3023,458
2023-10-30$2.76$3.00100.3%28.8%76.4%37.8%100.4%15.0%-35.5%-1.0K391.1K-3.7K0.0214.3440474,3123,423
2023-10-31$2.90$3.0087.3%25.0%76.5%29.5%87.4%27.7%-11.4%194284.8K-4.2K0.059.86330164,6433,409