BRCC Options History — November 2023

In November 2023, BRCC traded between $2.94 and $4.25. ATM implied volatility averaged 73.6%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 3.9% (HV 20d: 69.7%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2023-11-16: Highest Volume — 1,382 contracts
  • 2023-11-06: Largest IV spike — 28.0% change
  • 2023-11-06: Highest IV Rank — 47.0%
  • 2023-11-01: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.54$2.94$4.25$2.94$4.25
Max Pain$2.76$2.00$3.00$3.00$3.00
ATM IV73.6%52.5%114.7%93.9%65.4%
Expected Move19.8%15.0%26.9%26.9%18.7%
HV 20d69.7%57.8%77.9%76.6%67.5%
HV 60d69.8%63.9%73.3%72.1%72.3%
IV Rank20.7%7.2%47.0%33.7%15.4%
IV Percentile59.4%11.9%97.2%93.3%46.4%
Term Structure0.3%-15.5%26.4%-15.5%0.7%
VWIV69.2%50.8%91.8%91.8%65.3%
Skew 25d33.8%-14.8%222.9%222.9%53.9%
Skew 10d49.5%-12.0%339.7%339.7%137.1%
Call IV 25d52.4%37.6%77.4%77.4%44.8%
Put IV 25d86.3%57.4%300.3%300.3%98.7%
Bid-Ask Spread %53.1915.0087.5867.0623.71
Gamma HHI0.330.200.510.320.24
Net GEX1.4K-1.5K4.7K1.5K179
Net DEX-67.4K-580.2K265.0K265.0K-381.3K
Net VEX-5.3K-6.4K-4.2K-4.4K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.005.720.210.50
Total Volume303.476141,38214948
Total OI8,862.198,3059,7808,3058,889

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$2.94$3.0093.9%26.9%76.6%33.7%91.8%222.9%-15.5%1.5K265.0K-4.4K0.2167.06123264,8823,423
2023-11-02$3.05$3.0096.2%21.4%77.9%35.2%76.0%37.9%-12.4%1.5K206.3K-4.6K0.2159.98155335,0023,439
2023-11-03$3.17$3.0089.6%20.2%77.2%30.9%76.3%-2.7%-7.2%2.5K128.3K-4.5K0.0472.617635,1733,401
2023-11-06$2.99$3.00114.7%24.0%73.1%47.0%83.7%26.9%-10.7%2.4K200.2K-4.4K0.1487.58139195,1533,398
2023-11-07$2.94$3.00101.4%21.6%71.9%38.5%75.0%24.4%0.6%3.8K226.8K-4.2K0.1074.546165,2843,416
2023-11-08$3.04$3.0074.7%21.4%66.4%21.4%74.8%20.2%-11.3%3.6K170.4K-4.4K0.3759.3278295,3833,417
2023-11-09$3.02$3.0073.4%21.0%63.6%20.6%73.4%75.9%-3.8%4.4K127.5K-4.6K0.0979.65257225,4273,439
2023-11-10$3.23$3.0066.0%18.9%65.1%15.8%66.1%26.9%-0.9%4.7K59.5K-4.5K0.0959.07969895,6773,490
2023-11-13$3.25$2.0057.5%16.5%61.2%10.4%69.6%-14.8%5.9%2.8K-35.9K-4.8K0.0778.69308215,4943,552
2023-11-14$3.25$2.0052.5%15.0%61.0%7.2%50.8%18.3%26.4%3.5K-31.3K-4.7K0.1085.31148155,7633,562
2023-11-15$3.25$2.0055.9%16.0%57.8%9.4%53.8%23.5%16.0%3.5K-39.3K-4.9K0.0662.889965,7523,545
2023-11-16$3.75$2.0066.3%19.0%72.0%16.0%71.0%33.2%0.0%-985-279.1K-5.6K0.8948.817316515,7533,551
2023-11-17$4.06$2.0070.4%20.2%73.2%18.7%67.2%20.7%1.4%-1.5K-580.2K-6.3K0.2549.267821945,8963,884
2023-11-20$4.03$3.0065.4%18.8%72.4%15.5%64.9%14.0%1.5%-1.4K-193.8K-6.4K0.0922.82232225,1123,617
2023-11-21$3.94$3.0064.5%18.5%73.4%14.8%62.3%10.9%3.0%-1.3K-138.9K-6.1K0.0757.91215155,1323,628
2023-11-22$3.92$3.0065.9%18.9%73.8%15.8%64.2%11.2%5.2%-909-151.7K-6.2K5.7224.56392235,1823,643
2023-11-24$3.99$3.0065.2%18.7%72.8%15.4%61.1%9.3%2.3%0-205.3K-5.9K0.0033.051405,1983,442
2023-11-27$4.00$3.0067.2%19.3%69.9%16.6%66.8%9.0%4.4%47-189.7K-5.8K0.7717.3970545,2103,442
2023-11-28$4.09$3.0067.7%19.4%68.5%16.9%67.7%14.4%0.1%-184-229.0K-5.9K0.1937.70134255,1973,494
2023-11-29$4.17$3.0071.1%20.4%67.6%19.1%71.0%73.7%1.1%550-343.9K-6.3K0.2415.00195475,2693,495
2023-11-30$4.25$3.0065.4%18.7%67.5%15.4%65.3%53.9%0.7%179-381.3K-5.9K0.5023.7132165,3613,528