BRCC Options History — May 2024

In May 2024, BRCC traded between $3.67 and $6.29. ATM implied volatility averaged 69.8%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 21.2% (HV 20d: 91.0%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2024-05-09: Highest Volume — 5,160 contracts
  • 2024-05-09: Largest IV drop — 36.8% change
  • 2024-05-08: Highest IV Rank — 89.7%
  • 2024-05-03: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.18$3.67$6.29$3.76$5.78
Max Pain$4.68$4.00$5.00$4.00$5.00
ATM IV69.8%48.3%111.5%77.0%60.4%
Expected Move17.5%13.9%23.7%22.1%17.3%
HV 20d91.0%41.7%111.0%45.1%110.3%
HV 60d80.7%67.4%86.8%68.9%86.8%
IV Rank39.6%13.9%89.7%48.3%28.3%
IV Percentile51.3%5.6%98.8%79.4%31.3%
Term Structure-2.0%-23.0%10.2%-7.7%10.2%
VWIV61.5%47.9%81.5%75.9%59.8%
Skew 25d-1.5%-18.6%12.9%5.9%7.9%
Skew 10d8.0%-27.5%45.1%13.3%41.9%
Call IV 25d57.7%40.5%75.9%65.1%55.2%
Put IV 25d56.2%36.8%72.8%70.9%63.2%
Bid-Ask Spread %81.5763.09107.6068.8887.91
Gamma HHI0.360.240.560.390.30
Net GEX26.6K10.4K47.6K10.8K27.7K
Net DEX-2.4M-3.8M-586.4K-660.4K-3.0M
Net VEX-9.8K-11.5K-6.9K-7.0K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.031.100.040.24
Total Volume863.1361225,160606123
Total OI12,357.95510,41714,66610,41712,625

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-05-01$3.76$4.0077.0%22.1%45.1%48.3%75.9%5.9%-7.7%10.8K-660.4K-7.0K0.0468.88580267,9022,515
2024-05-02$3.67$4.0082.1%23.5%45.2%54.4%64.3%-8.4%-23.0%10.4K-586.4K-6.9K0.6767.802251518,2382,556
2024-05-03$3.84$4.0082.7%23.7%41.7%55.1%81.5%-4.1%-17.8%11.9K-679.5K-7.0K0.6372.023182018,3572,667
2024-05-06$4.00$4.0090.4%15.7%45.4%64.4%68.3%-18.6%-2.6%14.5K-929.4K-7.5K0.0873.77237198,5392,674
2024-05-07$4.17$4.00104.8%19.2%48.1%81.6%66.4%-5.9%-1.1%16.6K-1.2M-7.9K0.3263.809322958,6772,676
2024-05-08$4.29$4.00111.5%15.4%45.1%89.7%60.6%-14.6%7.5%21.1K-1.4M-8.4K0.1379.721,5402049,3792,792
2024-05-09$5.50$4.0070.5%17.1%99.0%40.5%59.5%12.9%6.7%40.7K-3.6M-9.6K0.2464.984,17598510,2632,891
2024-05-10$4.94$5.0067.3%15.5%105.9%36.7%54.9%4.3%5.6%35.6K-2.1M-9.3K0.2978.701,42241610,0733,359
2024-05-13$5.04$5.0077.1%15.4%105.4%48.4%53.8%-9.4%1.7%41.5K-2.4M-10.0K0.2381.791513410,6263,335
2024-05-14$5.05$5.0067.6%16.0%104.9%37.0%60.2%1.6%1.5%46.3K-2.4M-9.9K0.2882.3565418310,6533,322
2024-05-15$5.51$5.0061.3%17.6%108.4%29.5%61.9%-9.6%-1.2%33.8K-3.3M-10.2K0.0563.098764510,5403,261
2024-05-16$5.84$5.0054.2%15.5%109.6%20.9%61.7%5.0%4.8%47.6K-3.8M-10.8K1.1093.5364871510,7613,289
2024-05-17$5.76$5.0059.1%16.9%110.1%26.8%58.1%-9.0%0.0%20.9K-3.6M-10.6K0.06107.601691010,7543,912
2024-05-20$5.76$5.0056.2%16.1%110.0%23.4%51.5%12.2%1.5%23.0K-2.6M-10.4K0.2090.48348698,1383,012
2024-05-21$5.55$5.0058.0%16.6%111.0%25.5%54.6%4.1%2.5%20.7K-2.4M-10.7K0.0389.5814448,3603,089
2024-05-22$5.69$5.0052.0%14.9%110.7%18.3%52.2%7.2%3.9%22.6K-2.6M-11.5K0.2382.09356818,4943,092
2024-05-23$5.64$5.0054.3%15.6%110.2%21.1%60.7%6.8%-8.6%26.0K-2.7M-11.2K0.0588.3711668,8443,171
2024-05-24$5.71$5.0048.3%13.9%109.8%13.9%47.9%12.5%3.4%28.5K-2.7M-11.5K0.2690.565031308,8913,172
2024-05-28$6.04$5.0061.1%17.5%110.2%29.2%59.8%-14.0%-3.5%29.1K-3.1M-11.2K0.0493.77787348,9043,270
2024-05-29$6.29$5.0069.6%19.9%108.4%39.4%70.3%-2.9%-21.5%29.4K-3.6M-10.8K0.8288.022552098,9753,303
2024-05-30$6.11$5.0069.5%19.9%107.9%39.4%68.9%-16.8%-7.2%26.6K-3.3M-11.1K0.6285.663792349,0173,507
2024-05-31$5.78$5.0060.4%17.3%110.3%28.3%59.8%7.9%10.2%27.7K-3.0M-11.5K0.2487.9199249,2263,399