BRCC Options History — December 2023

In December 2023, BRCC traded between $3.59 and $4.74. ATM implied volatility averaged 65.9%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 5.6% (HV 20d: 71.5%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.35.

Notable Days

2023-12-01: Highest Volume — 361 contracts
2023-12-04: Largest IV spike — 91.3% change
2023-12-06: Highest IV Rank — 51.6%
2023-12-06: Largest Expected Move — 21.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.97	$3.59	$4.74	$4.58	$3.63
Max Pain	$4.90	$3.00	$5.00	$3.00	$5.00
ATM IV	65.9%	36.7%	80.0%	36.7%	63.2%
Expected Move	18.4%	10.5%	21.6%	10.5%	18.1%
HV 20d	71.5%	63.5%	83.0%	70.2%	64.8%
HV 60d	73.3%	71.2%	76.7%	73.2%	71.2%
IV Rank	34.4%	0.0%	51.6%	0.0%	31.6%
IV Percentile	54.1%	0.0%	89.7%	0.0%	43.3%
Term Structure	14.1%	-12.2%	152.8%	24.7%	9.8%
VWIV	63.1%	40.7%	73.9%	40.7%	63.0%
Skew 25d	-4.1%	-19.1%	32.8%	32.8%	-6.3%
Skew 10d	4.2%	-45.7%	74.6%	21.3%	-2.6%
Call IV 25d	63.3%	41.5%	75.4%	41.5%	61.2%
Put IV 25d	59.2%	43.8%	74.3%	74.3%	54.8%
Bid-Ask Spread %	72.65	10.57	93.74	57.17	72.76
Gamma HHI	0.32	0.21	0.44	0.21	0.29
Net GEX	362	-2.3K	2.7K	247	-197
Net DEX	-214.0K	-786.4K	112.3K	-653.1K	-12.8K
Net VEX	-5.7K	-6.6K	-5.1K	-6.6K	-5.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.03	0.96	0.06	0.43
Total Volume	151.35	36	361	361	117
Total OI	9,215.05	8,756	9,709	8,906	9,120

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-12-01	$4.58	$3.00	36.7%	10.5%	70.2%	0.0%	40.7%	32.8%	24.7%	247	-653.1K	-6.6K	0.06	57.17	339	22	5,375	3,531
2023-12-04	$4.74	$5.00	70.3%	18.3%	70.1%	31.9%	65.3%	-5.8%	4.9%	1.7K	-786.4K	-6.3K	0.30	83.55	242	72	5,604	3,548
2023-12-05	$4.25	$5.00	69.5%	20.8%	79.3%	39.1%	71.8%	-1.7%	1.8%	1.8K	-477.8K	-6.3K	0.13	93.74	158	20	5,708	3,618
2023-12-06	$4.29	$5.00	80.0%	21.6%	78.3%	51.6%	71.6%	5.2%	-12.2%	2.5K	-513.2K	-6.3K	0.11	88.38	64	7	5,745	3,623
2023-12-07	$4.13	$5.00	75.0%	21.0%	80.7%	45.7%	72.4%	-2.0%	0.1%	2.2K	-395.5K	-6.1K	0.66	85.53	113	75	5,766	3,626
2023-12-08	$4.13	$5.00	63.0%	17.5%	80.4%	31.4%	59.8%	-13.0%	5.8%	2.6K	-355.9K	-5.9K	0.11	85.66	46	5	5,864	3,643
2023-12-11	$4.04	$5.00	73.2%	18.9%	79.1%	43.4%	67.3%	-11.8%	6.4%	2.7K	-343.1K	-5.8K	0.94	54.26	142	134	5,880	3,645
2023-12-12	$4.12	$5.00	79.5%	19.0%	79.1%	51.0%	67.5%	-0.9%	0.6%	1.5K	-340.9K	-5.9K	0.23	85.85	30	7	5,870	3,758
2023-12-13	$4.26	$5.00	59.3%	17.0%	79.3%	26.9%	66.2%	-10.1%	9.7%	884	-453.7K	-5.8K	0.56	90.30	166	93	5,877	3,715
2023-12-14	$4.03	$5.00	67.4%	19.3%	83.0%	36.6%	68.7%	-19.1%	152.8%	925	-300.7K	-6.0K	0.96	82.41	90	86	5,920	3,789
2023-12-15	$3.88	$5.00	74.3%	21.3%	68.2%	44.8%	73.9%	-13.6%	-2.6%	-1.3K	-160.1K	-5.8K	0.90	87.75	101	91	5,940	3,768
2023-12-18	$3.70	$5.00	60.4%	17.3%	63.8%	28.2%	60.9%	20.4%	9.8%	-1.4K	38.9K	-5.4K	0.29	91.97	103	30	5,186	3,570
2023-12-19	$3.70	$5.00	61.3%	17.6%	63.8%	29.3%	45.7%	-5.2%	17.1%	-1.1K	69.2K	-5.2K	0.13	83.46	111	14	5,260	3,576
2023-12-20	$3.60	$5.00	66.3%	19.0%	64.0%	35.3%	67.3%	3.5%	11.4%	-2.3K	112.3K	-5.2K	0.12	87.49	68	8	5,234	3,582
2023-12-21	$3.59	$5.00	54.4%	15.6%	64.0%	21.0%	52.7%	-14.6%	17.0%	-1.2K	89.5K	-5.1K	0.30	78.30	107	32	5,266	3,581
2023-12-22	$3.60	$5.00	59.4%	17.0%	63.5%	27.0%	59.4%	-9.6%	13.7%	-779	90.8K	-5.1K	0.35	89.24	93	33	5,370	3,606
2023-12-26	$3.77	$5.00	68.8%	19.7%	66.1%	38.2%	59.7%	-4.4%	2.1%	-291	-7.3K	-5.5K	0.03	19.26	35	1	5,410	3,619
2023-12-27	$3.65	$5.00	66.1%	19.0%	66.2%	35.1%	65.9%	-14.9%	6.5%	-499	71.6K	-5.2K	0.15	25.35	80	12	5,431	3,619
2023-12-28	$3.65	$5.00	70.1%	20.1%	65.5%	39.8%	63.2%	-10.0%	3.1%	-711	47.5K	-5.3K	0.16	10.57	69	11	5,429	3,629
2023-12-29	$3.63	$5.00	63.2%	18.1%	64.8%	31.6%	63.0%	-6.3%	9.8%	-197	-12.8K	-5.3K	0.43	72.76	82	35	5,481	3,639