BRCC Options History — September 2024

In September 2024, BRCC traded between $3.23 and $4.45. ATM implied volatility averaged 64.6%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 15.8% (HV 20d: 80.3%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.22.

Notable Days

2024-09-03: Highest Volume — 602 contracts
2024-09-24: Largest IV spike — 40.3% change
2024-09-27: Highest IV Rank — 48.2%
2024-09-27: Largest Expected Move — 22.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.60	$3.23	$4.45	$4.45	$3.42
Max Pain	$4.10	$4.00	$5.00	$4.00	$4.00
ATM IV	64.6%	50.6%	77.0%	65.3%	65.8%
Expected Move	18.0%	14.5%	22.1%	18.7%	18.9%
HV 20d	80.3%	50.0%	176.6%	176.1%	68.7%
HV 60d	110.3%	107.6%	112.2%	107.6%	111.7%
IV Rank	33.4%	16.6%	48.2%	34.3%	34.8%
IV Percentile	40.7%	4.0%	75.4%	44.0%	43.7%
Term Structure	12.5%	-2.5%	40.2%	2.4%	26.6%
VWIV	63.3%	41.7%	81.5%	63.3%	77.0%
Skew 25d	7.0%	-26.9%	27.5%	2.5%	25.3%
Skew 10d	46.3%	-15.9%	145.7%	12.7%	144.7%
Call IV 25d	57.5%	38.4%	71.6%	62.5%	48.5%
Put IV 25d	64.5%	44.1%	84.5%	65.0%	73.8%
Bid-Ask Spread %	71.29	42.34	91.47	68.95	75.74
Gamma HHI	0.23	0.20	0.29	0.23	0.29
Net GEX	13.1K	8.2K	18.8K	18.8K	12.4K
Net DEX	-598.2K	-1.4M	-102.1K	-1.4M	-462.0K
Net VEX	-6.7K	-8.6K	-5.1K	-8.6K	-5.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	0.77	0.08	0.07
Total Volume	282.95	52	602	602	191
Total OI	14,530.8	13,495	15,416	13,736	14,975

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
2024-09-03	$4.45	$4.00	65.3%	18.7%	176.1%	34.3%	63.3%	2.5%	2.4%	18.8K	-1.4M	-8.6K	0.08	68.95	559	43	10,380	3,356
2024-09-04	$4.38	$4.00	59.5%	17.1%	176.0%	27.3%	41.7%	15.1%	3.0%	18.2K	-1.2M	-8.2K	0.07	70.77	198	14	10,131	3,364
2024-09-05	$4.08	$5.00	64.5%	16.8%	176.6%	33.3%	62.1%	-5.7%	9.3%	15.6K	-908.0K	-7.4K	0.28	75.33	111	31	10,204	3,366
2024-09-06	$3.92	$5.00	64.0%	17.4%	50.0%	32.7%	61.0%	-13.5%	9.2%	13.5K	-770.2K	-7.3K	0.38	66.24	289	111	10,256	3,416
2024-09-09	$3.67	$4.00	72.5%	17.9%	55.8%	43.0%	81.5%	-26.9%	9.0%	12.0K	-501.8K	-6.8K	0.38	65.09	267	102	10,553	3,426
2024-09-10	$3.67	$4.00	76.1%	17.5%	55.3%	47.2%	62.6%	-5.3%	6.4%	12.9K	-528.1K	-6.8K	0.77	79.31	43	33	10,776	3,427
2024-09-11	$3.45	$4.00	69.6%	19.9%	55.5%	39.4%	68.9%	-6.2%	-2.1%	10.5K	-361.8K	-6.3K	0.51	86.05	190	97	10,806	3,418
2024-09-12	$3.25	$4.00	65.8%	18.9%	58.4%	34.9%	64.7%	6.1%	4.7%	8.2K	-102.1K	-5.1K	0.58	80.00	332	194	10,905	3,384
2024-09-13	$3.29	$4.00	71.1%	20.4%	56.6%	41.2%	65.5%	16.0%	4.6%	10.2K	-290.8K	-6.2K	0.00	75.02	432	2	11,145	3,547
2024-09-16	$3.23	$4.00	64.4%	18.5%	55.3%	33.2%	64.1%	20.7%	12.2%	10.5K	-291.8K	-6.3K	0.09	55.36	467	40	11,447	3,549
2024-09-17	$3.59	$4.00	56.2%	16.1%	69.0%	23.3%	66.0%	13.5%	16.0%	13.6K	-631.1K	-7.1K	0.22	61.10	212	46	11,671	3,534
2024-09-18	$3.74	$4.00	63.8%	18.3%	70.8%	32.4%	64.3%	16.0%	10.0%	15.7K	-825.7K	-7.2K	0.16	86.60	329	53	11,814	3,557
2024-09-19	$3.58	$4.00	50.6%	14.5%	69.4%	16.6%	64.0%	14.5%	29.7%	14.5K	-685.1K	-7.0K	0.04	91.47	205	8	11,782	3,550
2024-09-20	$3.38	$4.00	52.9%	15.2%	71.5%	19.4%	41.8%	-2.9%	33.5%	12.6K	-468.5K	-6.5K	0.17	75.88	222	37	11,862	3,554
2024-09-23	$3.37	$4.00	51.7%	14.8%	68.0%	18.0%	66.2%	-4.0%	40.2%	10.6K	-355.6K	-5.4K	0.12	42.34	193	23	11,242	3,240
2024-09-24	$3.35	$4.00	72.6%	20.8%	67.7%	43.0%	78.9%	19.9%	-2.5%	12.9K	-510.4K	-6.4K	0.33	68.06	39	13	11,368	3,259
2024-09-25	$3.31	$4.00	61.2%	17.5%	67.3%	29.3%	43.1%	21.0%	17.9%	12.4K	-487.1K	-6.3K	0.03	54.93	232	8	11,395	3,271
2024-09-26	$3.38	$4.00	66.8%	19.1%	68.5%	36.0%	55.7%	27.5%	17.9%	11.3K	-424.5K	-5.6K	0.03	74.69	110	3	11,517	3,276
2024-09-27	$3.48	$4.00	77.0%	22.1%	69.9%	48.2%	72.6%	5.4%	2.6%	15.0K	-676.9K	-6.7K	0.00	72.94	180	0	11,614	3,279
2024-09-30	$3.42	$4.00	65.8%	18.9%	68.7%	34.8%	77.0%	25.3%	26.6%	12.4K	-462.0K	-5.8K	0.07	75.74	178	13	11,696	3,279