BRCC Options History — March 2024

In March 2024, BRCC traded between $3.80 and $4.96. ATM implied volatility averaged 72.1%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 11.9% (HV 20d: 83.9%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.41.

Notable Days

2024-03-07: Highest Volume — 2,216 contracts
2024-03-07: Largest IV drop — 29.4% change
2024-03-06: Highest IV Rank — 99.5%
2024-03-07: Largest Expected Move — 40.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.45	$3.80	$4.96	$4.13	$4.25
Max Pain	$4.00	$4.00	$4.00	$4.00	$4.00
ATM IV	72.1%	47.4%	120.1%	96.4%	47.4%
Expected Move	20.6%	13.6%	40.2%	27.6%	13.6%
HV 20d	83.9%	63.6%	93.9%	64.6%	90.6%
HV 60d	79.8%	71.0%	83.8%	74.1%	79.5%
IV Rank	42.2%	12.8%	99.5%	71.1%	12.8%
IV Percentile	55.3%	3.2%	99.6%	97.2%	3.2%
Term Structure	2.5%	-24.4%	34.0%	-24.4%	34.0%
VWIV	69.7%	45.7%	109.4%	109.4%	45.7%
Skew 25d	-3.9%	-29.7%	18.9%	-29.7%	-0.7%
Skew 10d	32.9%	-47.1%	233.3%	-21.1%	2.7%
Call IV 25d	71.0%	49.9%	114.6%	114.6%	62.3%
Put IV 25d	67.2%	47.3%	84.9%	84.9%	61.6%
Bid-Ask Spread %	70.20	60.24	82.60	73.07	69.84
Gamma HHI	0.65	0.44	0.83	0.70	0.74
Net GEX	28.8K	16.4K	58.3K	19.6K	39.4K
Net DEX	-1.3M	-2.3M	-718.5K	-1.0M	-1.3M
Net VEX	-8.6K	-9.5K	-7.2K	-8.0K	-9.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.02	2.76	0.14	0.13
Total Volume	673.55	54	2,216	302	117
Total OI	11,829.05	9,169	13,836	10,508	13,801

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
2024-03-01	$4.13	$4.00	96.4%	27.6%	64.6%	71.1%	109.4%	-29.7%	-24.4%	19.6K	-1.0M	-8.0K	0.14	73.07	264	38	8,221	2,287
2024-03-04	$3.96	$4.00	99.8%	24.3%	66.5%	75.3%	87.0%	-14.5%	-18.3%	17.8K	-867.3K	-7.7K	0.68	75.74	240	162	8,465	2,320
2024-03-05	$3.91	$4.00	95.3%	24.7%	66.6%	69.8%	87.5%	-5.8%	-12.2%	16.4K	-834.8K	-7.8K	0.16	72.25	181	29	8,626	2,405
2024-03-06	$3.80	$4.00	120.1%	23.0%	63.6%	99.5%	78.9%	-18.8%	-4.0%	16.5K	-718.5K	-7.2K	0.27	66.20	553	152	8,812	2,436
2024-03-07	$4.53	$4.00	84.8%	40.2%	86.9%	57.3%	78.8%	-8.1%	-1.2%	30.1K	-1.5M	-9.0K	0.17	82.60	1,893	323	9,201	3,175
2024-03-08	$4.95	$4.00	63.4%	18.2%	91.7%	31.8%	64.5%	1.8%	1.4%	58.3K	-2.3M	-9.5K	0.10	62.12	1,730	167	9,568	3,266
2024-03-11	$4.70	$4.00	73.5%	19.0%	93.9%	43.8%	60.1%	-6.0%	10.5%	43.3K	-1.8M	-9.0K	0.12	63.30	809	98	9,417	3,389
2024-03-12	$4.69	$4.00	52.7%	19.4%	93.4%	19.0%	63.5%	18.9%	3.1%	45.6K	-1.6M	-8.6K	0.03	76.19	334	9	9,252	3,470
2024-03-13	$4.72	$4.00	67.9%	19.5%	86.9%	37.2%	66.6%	15.8%	0.9%	53.4K	-1.7M	-8.5K	2.76	77.83	91	251	9,399	3,471
2024-03-14	$4.59	$4.00	66.0%	18.9%	87.5%	34.9%	67.6%	-3.8%	2.9%	16.5K	-1.4M	-8.0K	1.08	74.03	26	28	9,453	3,639
2024-03-15	$4.63	$4.00	64.5%	18.5%	83.7%	33.3%	65.5%	11.9%	0.7%	16.6K	-1.5M	-8.4K	1.17	66.89	41	48	9,468	3,666
2024-03-18	$4.96	$4.00	63.9%	18.3%	86.4%	32.6%	61.1%	5.5%	3.6%	18.5K	-1.4M	-8.3K	0.26	74.22	426	110	6,594	2,575
2024-03-19	$4.91	$4.00	62.9%	18.0%	83.0%	31.4%	60.3%	-16.5%	2.7%	19.5K	-1.4M	-8.7K	0.02	60.24	171	4	6,890	2,672
2024-03-20	$4.92	$4.00	63.9%	18.3%	81.2%	32.6%	63.9%	3.9%	3.7%	20.8K	-1.5M	-8.6K	0.04	64.11	1,065	45	7,002	2,677
2024-03-21	$4.54	$4.00	66.6%	19.1%	87.4%	35.8%	65.3%	4.2%	4.3%	26.0K	-1.3M	-8.8K	0.09	64.21	1,421	121	7,882	2,718
2024-03-22	$4.28	$4.00	56.4%	16.2%	90.4%	23.6%	68.2%	-8.7%	22.9%	29.2K	-1.1M	-8.8K	0.21	68.87	205	44	9,017	2,840
2024-03-25	$4.11	$4.00	64.2%	18.4%	91.6%	32.9%	66.7%	-12.4%	8.1%	24.9K	-987.1K	-8.5K	0.50	68.00	418	211	9,261	2,873
2024-03-26	$4.19	$4.00	65.3%	18.7%	91.3%	34.2%	68.7%	-8.0%	1.0%	27.3K	-1.2M	-9.0K	0.07	77.19	1,450	106	9,533	3,004
2024-03-27	$4.21	$4.00	66.3%	19.0%	90.9%	35.5%	65.1%	-6.5%	10.8%	35.6K	-1.2M	-9.3K	0.15	67.13	78	12	10,800	3,036
2024-03-28	$4.25	$4.00	47.4%	13.6%	90.6%	12.8%	45.7%	-0.7%	34.0%	39.4K	-1.3M	-9.5K	0.13	69.84	104	13	10,769	3,032