BRCC Options History — July 2024

In July 2024, BRCC traded between $5.38 and $6.13. ATM implied volatility averaged 65.9%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 15.9% (HV 20d: 50.0%). Max pain ranged from $4.00 to $6.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2024-07-29: Highest Volume — 1,641 contracts
  • 2024-07-17: Largest IV spike — 31.8% change
  • 2024-07-30: Highest IV Rank — 64.9%
  • 2024-07-30: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.72$5.38$6.13$6.08$5.69
Max Pain$5.23$4.00$6.00$5.00$6.00
ATM IV65.9%46.1%90.8%58.2%83.5%
Expected Move19.1%13.2%26.0%16.7%24.0%
HV 20d50.0%43.9%54.0%49.5%49.6%
HV 60d76.0%74.7%76.9%76.3%75.9%
IV Rank35.0%11.2%64.9%25.8%56.2%
IV Percentile43.9%2.0%92.9%24.2%87.3%
Term Structure-2.3%-32.7%30.9%-0.6%-14.5%
VWIV66.7%39.4%106.8%54.4%84.4%
Skew 25d-5.8%-28.0%36.5%-9.2%4.9%
Skew 10d11.1%-27.2%71.8%-11.8%14.3%
Call IV 25d69.5%38.0%90.0%61.5%85.4%
Put IV 25d63.7%42.2%90.3%52.3%90.3%
Bid-Ask Spread %95.8945.63116.8845.6380.86
Gamma HHI0.270.200.430.400.25
Net GEX24.2K17.5K36.7K36.1K22.2K
Net DEX-2.2M-2.8M-1.8M-2.5M-2.0M
Net VEX-8.8K-10.4K-7.7K-8.8K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.002.740.150.01
Total Volume312.773711,641263356
Total OI11,329.4559,11312,54911,40111,714

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$6.08$5.0058.2%16.7%49.5%25.8%54.4%-9.2%-0.6%36.1K-2.5M-8.8K0.1545.63229348,7062,695
2024-07-02$5.97$5.0055.8%16.0%49.8%22.8%60.3%-15.0%9.8%33.8K-2.4M-9.4K1.0569.35981038,8062,717
2024-07-03$6.13$5.0055.6%15.9%50.4%22.7%55.3%-12.0%12.1%36.7K-2.7M-9.9K0.4774.8253258,8442,811
2024-07-05$5.94$4.0058.8%16.1%43.9%26.4%50.7%8.3%-7.5%32.9K-2.3M-9.1K0.43105.67135588,8522,811
2024-07-08$6.03$4.0059.7%22.9%44.3%27.5%66.1%11.6%-20.7%32.3K-2.3M-8.9K0.4793.03111528,8732,857
2024-07-09$5.72$4.0061.1%17.6%47.6%29.3%46.5%-27.9%3.4%23.4K-2.1M-8.1K0.24100.46118288,9022,762
2024-07-10$5.50$5.0054.7%15.7%49.0%21.5%52.6%-10.3%28.0%24.2K-1.8M-8.6K0.44108.81167738,9512,765
2024-07-11$5.47$5.0056.5%16.2%48.8%23.8%63.7%-22.9%2.1%22.3K-1.8M-8.3K0.6696.471711139,1062,833
2024-07-12$5.80$5.0052.3%15.0%52.9%18.6%65.5%-22.6%0.9%20.1K-2.2M-8.9K0.00101.9816309,1902,886
2024-07-15$5.78$5.0055.0%15.8%51.5%21.9%66.7%-28.0%5.5%19.9K-2.3M-7.7K0.05116.88405229,2872,842
2024-07-16$5.97$5.0046.1%13.2%50.7%11.2%39.4%36.5%30.9%24.6K-2.8M-8.6K0.43107.8782359,5512,844
2024-07-17$5.86$5.0060.7%17.4%51.0%28.8%61.8%16.9%10.5%22.5K-2.4M-8.3K0.14116.68195279,5782,864
2024-07-18$5.56$5.0071.1%20.4%53.8%41.2%69.5%-10.9%-14.8%17.5K-2.0M-8.2K0.31105.82278859,5942,875
2024-07-19$5.61$6.0074.9%21.5%54.0%45.8%59.4%-10.4%-8.4%18.2K-2.1M-8.2K0.15104.73246389,6412,908
2024-07-22$5.67$6.0066.2%19.0%53.5%35.3%68.4%-19.7%2.2%19.0K-2.1M-8.6K0.06108.28346206,9652,148
2024-07-23$5.50$6.0066.1%18.9%53.4%35.2%75.4%4.3%-14.2%20.0K-1.9M-8.2K0.06105.34340197,2542,168
2024-07-24$5.38$5.0081.6%23.4%50.7%53.8%106.8%-11.5%-17.9%21.2K-1.9M-8.4K0.49101.454732307,5442,176
2024-07-25$5.51$6.0081.8%23.5%50.3%54.1%79.0%-2.8%-16.4%21.3K-2.0M-8.5K0.0999.01109107,6222,398
2024-07-26$5.63$6.0079.1%22.7%51.3%50.8%77.1%-1.5%-11.4%22.4K-2.1M-8.8K0.0893.4311397,6832,409
2024-07-29$5.50$6.0080.2%23.0%47.4%52.1%81.0%-0.9%-32.7%21.8K-1.9M-8.8K1.3481.807029397,7422,411
2024-07-30$5.47$6.0090.8%26.0%47.3%64.9%82.8%-5.2%2.8%19.7K-1.8M-10.0K2.7491.1619528,2743,389
2024-07-31$5.69$6.0083.5%24.0%49.6%56.2%84.4%4.9%-14.5%22.2K-2.0M-10.4K0.0180.8635338,2833,431