BRCC Options History — January 2024

In January 2024, BRCC traded between $3.58 and $4.42. ATM implied volatility averaged 73.4%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded below realized volatility by 4.6% (HV 20d: 77.9%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2024-01-22: Highest Volume — 5,016 contracts
  • 2024-01-16: Largest IV spike — 39.0% change
  • 2024-01-23: Highest IV Rank — 63.7%
  • 2024-01-23: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.95$3.58$4.42$4.13$3.80
Max Pain$3.71$3.00$5.00$5.00$3.00
ATM IV73.4%56.7%90.1%66.4%73.9%
Expected Move21.1%16.3%25.8%19.0%21.2%
HV 20d77.9%67.6%94.9%75.9%82.9%
HV 60d73.7%69.5%77.6%75.7%77.6%
IV Rank43.7%23.8%63.7%35.4%44.4%
IV Percentile72.0%21.4%96.0%54.8%80.6%
Term Structure8.5%-7.1%49.1%4.4%16.1%
VWIV72.5%43.5%99.6%66.1%73.2%
Skew 25d6.6%-40.2%48.3%15.0%7.7%
Skew 10d26.6%-68.3%290.7%22.8%15.0%
Call IV 25d66.3%41.1%110.8%54.9%62.8%
Put IV 25d72.9%41.3%131.2%69.8%70.4%
Bid-Ask Spread %75.2512.34105.6279.4558.51
Gamma HHI0.350.220.620.250.46
Net GEX14.6K85755.4K1.8K31.8K
Net DEX-525.1K-1.9M95.3K-199.2K-1.0M
Net VEX-6.4K-9.2K-4.8K-5.6K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.017.630.460.35
Total Volume836.286215,01630858
Total OI10,682.6195,60613,6809,18313,680

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$4.13$5.0066.4%19.0%75.9%35.4%66.1%15.0%4.4%1.8K-199.2K-5.6K0.4679.45211975,5353,648
2024-01-03$3.94$5.0071.2%20.4%75.8%41.1%69.9%12.0%4.1%1.8K-101.7K-5.7K0.5174.29101515,6623,727
2024-01-04$3.75$4.0069.5%21.9%67.9%39.0%48.6%-0.8%-3.8%1.5K5.0K-5.5K1.3988.56891245,7363,752
2024-01-05$3.76$4.0072.0%21.2%67.8%42.1%74.4%7.1%-2.3%857-22.4K-5.5K0.28105.6283235,8033,817
2024-01-08$3.95$4.0072.4%20.8%69.5%42.5%72.1%13.4%-0.4%2.8K-91.7K-5.5K0.8395.0854455,8853,833
2024-01-09$4.08$4.0064.8%18.0%70.5%33.4%62.7%22.6%11.7%4.1K-196.1K-5.5K0.16102.96128215,9313,858
2024-01-10$4.05$4.0071.4%20.5%70.1%41.3%0.0%20.8%-0.7%2.9K-188.9K-5.7K0.2491.021745,9583,873
2024-01-11$4.01$4.0057.4%16.5%69.8%24.6%57.4%14.1%16.3%3.6K-169.5K-5.4K7.6387.398615,9603,832
2024-01-12$4.05$4.0056.7%16.3%68.8%23.8%43.5%6.8%12.6%4.0K-230.0K-5.5K1.0685.3432345,9593,748
2024-01-16$3.88$4.0078.8%22.6%67.6%50.2%77.4%11.2%-0.4%3.7K-114.3K-5.3K0.0588.911,560855,9853,749
2024-01-17$3.58$4.0089.0%25.5%72.2%62.3%88.1%-40.2%-7.1%2.3K95.3K-4.8K1.0899.801972127,2653,807
2024-01-18$3.71$4.0079.4%22.8%71.6%50.9%80.8%35.5%6.2%3.3K51.9K-4.9K0.5175.1549257,4413,822
2024-01-19$3.58$4.0061.6%17.7%72.7%29.7%61.6%-12.7%-3.5%3.3K-5.0K-5.1K0.2374.28204477,4793,755
2024-01-22$4.08$3.0070.9%20.3%85.7%40.8%78.7%39.7%5.4%3.8K-450.8K-5.2K0.0144.344,950663,7791,827
2024-01-23$4.30$3.0090.1%25.8%87.2%63.7%99.6%-32.1%1.7%30.5K-1.3M-7.3K0.0166.373,602188,2561,865
2024-01-24$4.42$3.0074.2%21.3%87.4%44.7%86.7%48.3%17.7%55.4K-1.9M-8.9K0.0366.653,2548511,1331,875
2024-01-25$4.08$3.0081.6%23.4%91.9%53.6%78.0%-11.7%-1.1%38.0K-1.3M-8.4K0.0349.151,0713710,1701,924
2024-01-26$3.92$3.0082.3%23.6%92.3%54.4%74.2%-25.2%49.1%34.7K-1.3M-8.8K0.0512.346062910,9011,956
2024-01-29$4.08$3.0080.1%23.0%93.2%51.8%81.1%-11.9%30.0%41.8K-1.4M-9.2K1.2863.388811311,5151,975
2024-01-30$3.90$3.0076.6%22.0%94.9%47.6%76.6%19.3%21.9%35.2K-1.2M-8.4K1.0971.74111211,5772,082
2024-01-31$3.80$3.0073.9%21.2%82.9%44.4%73.2%7.7%16.1%31.8K-1.0M-8.4K0.3558.51431511,5852,095