OCSL Options History — October 2017

Name: OCSL Options Analytics - October 2017
Creator: Options Analysis Suite

In October 2017, OCSL traded between $16.89 and $17.64. ATM implied volatility averaged 26.5%. The 30-day expected move averaged 7.6%. Max pain ranged from $15.00 to $15.00. Net GEX was positive for 10 of 10 trading days. Term structure was in contango for 8 of 10 days. Put/call ratio averaged 0.08.

Notable Days

2017-10-20: Highest Volume — 505 contracts
2017-10-20: Largest IV spike — 68.4% change
2017-10-24: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.36	$16.89	$17.64	$16.89	$17.49
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	26.5%	14.9%	35.2%	14.9%	29.3%
Expected Move	7.6%	4.3%	10.1%	4.3%	8.4%
Term Structure	13.9%	-3.9%	33.1%	17.8%	33.1%
VWIV	32.8%	28.3%	38.9%	28.3%	38.9%
Skew 25d	-2.9%	-6.8%	10.0%	3.4%	-4.9%
Skew 10d	-7.4%	-13.4%	6.6%	6.6%	-10.0%
Call IV 25d	28.9%	12.8%	35.5%	16.2%	34.4%
Put IV 25d	26.1%	19.6%	29.6%	19.6%	29.5%
Bid-Ask Spread %	49.97	14.74	92.55	92.55	56.55
Gamma HHI	0.80	0.71	0.86	0.71	0.86
Net GEX	76.6K	70.3K	88.4K	70.5K	83.6K
Net DEX	-2.0M	-2.3M	-1.8M	-1.9M	-2.0M
Net VEX	-7.6K	-8.0K	-6.7K	-6.7K	-7.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.06	0.12	0.12	0.07
Total Volume	417.2	381	505	453	381
Total OI	3,384.9	3,316	3,465	3,434	3,365

Daily Data (10 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
2017-10-18	$16.89	$15.00	14.9%	4.3%	0.0%	0.0%	28.3%	3.4%	17.8%	70.5K	-1.9M	-6.7K	0.12	92.55	406	47	2,476	958
2017-10-19	$17.13	$15.00	18.1%	5.2%	0.0%	0.0%	32.9%	10.0%	21.4%	72.9K	-2.0M	-7.6K	0.11	86.01	393	45	2,476	958
2017-10-20	$17.58	$15.00	30.5%	8.7%	0.0%	0.0%	32.6%	-6.8%	-2.0%	72.4K	-2.3M	-8.0K	0.10	86.20	460	45	2,506	959
2017-10-23	$17.28	$15.00	26.5%	7.6%	0.0%	0.0%	29.8%	-6.1%	-3.9%	73.5K	-2.0M	-7.8K	0.10	18.10	355	35	2,466	959
2017-10-24	$17.64	$15.00	35.2%	10.1%	0.0%	0.0%	35.4%	-5.9%	12.7%	75.3K	-2.1M	-7.9K	0.07	31.01	387	25	2,347	969
2017-10-25	$17.40	$15.00	31.8%	9.1%	0.0%	0.0%	32.1%	-6.1%	19.8%	70.3K	-1.9M	-7.9K	0.06	69.21	389	25	2,374	970
2017-10-26	$17.22	$15.00	26.0%	7.4%	0.0%	0.0%	29.8%	-5.9%	18.1%	75.6K	-1.8M	-7.9K	0.07	19.50	384	25	2,383	970
2017-10-27	$17.49	$15.00	26.4%	7.6%	0.0%	0.0%	32.0%	-2.5%	9.0%	84.0K	-2.1M	-7.5K	0.07	25.78	363	25	2,381	970
2017-10-30	$17.43	$15.00	26.1%	7.5%	0.0%	0.0%	36.0%	-4.2%	12.5%	88.4K	-2.0M	-7.5K	0.07	14.74	357	25	2,392	970
2017-10-31	$17.49	$15.00	29.3%	8.4%	0.0%	0.0%	38.9%	-4.9%	33.1%	83.6K	-2.0M	-7.3K	0.07	56.55	356	25	2,395	970