OCSL Options History — November 2017

In November 2017, OCSL traded between $14.46 and $17.28. ATM implied volatility averaged 36.9%. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 14.4% (HV 20d: 22.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2017-11-16: Highest Volume — 424 contracts
  • 2017-11-08: Largest IV spike — 70.5% change
  • 2017-11-06: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.42$14.46$17.28$17.28$14.46
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV36.9%24.4%49.1%38.4%36.0%
Expected Move11.4%7.9%16.7%11.0%10.3%
HV 20d22.5%18.9%26.6%24.5%26.6%
Term Structure-11.4%-28.8%14.1%14.1%3.2%
VWIV40.0%30.7%50.4%49.4%37.1%
Skew 25d0.7%-7.9%11.2%-7.9%7.1%
Skew 10d-6.0%-65.0%30.4%-14.6%30.4%
Call IV 25d33.0%23.5%41.9%39.4%26.6%
Put IV 25d33.7%27.1%40.2%31.6%33.8%
Bid-Ask Spread %57.1116.42122.3282.7451.34
Gamma HHI0.650.360.880.880.36
Net GEX56.9K16.8K89.0K80.9K16.8K
Net DEX-1.2M-2.0M-81.0K-2.0M-81.0K
Net VEX-5.4K-7.3K-2.4K-7.3K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.070.610.070.51
Total Volume313.381126424386152
Total OI2,918.0952,1473,3763,3662,212

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$17.28$15.0038.4%11.0%0.0%0.0%49.4%-7.9%14.1%80.9K-2.0M-7.3K0.0782.74361252,396970
2017-11-02$16.89$0.0035.3%9.7%0.0%0.0%0.0%-5.5%-16.9%74.0K-1.7M-7.2K0.0717.99350252,396970
2017-11-03$17.25$0.0030.6%11.7%0.0%0.0%0.0%11.2%-22.9%80.4K-1.9M-7.3K0.0795.46364252,406970
2017-11-06$17.22$0.0024.4%16.7%0.0%0.0%0.0%-2.8%-22.3%80.7K-1.9M-7.0K0.07122.32364252,406970
2017-11-07$17.16$0.0028.8%13.2%0.0%0.0%0.0%7.1%-24.9%89.0K-1.9M-6.8K0.0753.45364252,406970
2017-11-08$17.04$0.0049.1%14.1%24.5%0.0%0.0%8.5%-21.5%73.5K-1.7M-6.9K0.0795.53350252,406970
2017-11-09$16.92$0.0047.5%13.6%23.8%0.0%0.0%3.6%-20.6%78.2K-1.6M-6.5K0.0796.20362252,405970
2017-11-10$16.65$0.0037.8%10.8%23.9%0.0%0.0%1.1%-20.7%55.8K-1.5M-6.1K0.1478.54362522,405970
2017-11-13$16.29$0.0043.2%12.4%24.5%0.0%0.0%-2.1%-28.8%44.3K-1.3M-5.5K0.1516.42363552,405954
2017-11-14$16.44$0.0045.2%12.9%24.1%0.0%0.0%-0.6%-5.2%46.4K-1.4M-5.2K0.1598.65363552,405957
2017-11-15$16.38$0.0038.9%11.1%23.5%0.0%0.0%2.2%-10.6%41.9K-1.4M-5.6K0.1617.27349552,406957
2017-11-16$16.35$0.0040.1%11.5%22.8%0.0%0.0%4.3%-24.7%57.2K-1.4M-4.9K0.1518.85369552,390957
2017-11-17$16.59$0.0028.5%8.2%21.2%0.0%35.6%4.3%-5.3%62.8K-1.5M-5.0K0.1522.33358552,379957
2017-11-20$16.44$15.0033.0%9.5%20.7%0.0%50.4%-4.6%-6.0%52.0K-849.2K-4.9K0.4437.06113501,716431
2017-11-21$16.29$15.0027.7%7.9%18.9%0.0%30.7%0.5%6.5%49.0K-762.7K-4.6K0.2861.99178501,737440
2017-11-22$16.50$15.0032.2%9.2%19.4%0.0%34.1%0.4%2.0%53.4K-824.9K-4.7K0.2720.98178481,741449
2017-11-24$15.99$15.0033.9%9.7%21.8%0.0%38.9%0.8%-13.5%49.0K-664.5K-4.0K0.2736.24178481,741455
2017-11-27$15.78$15.0037.9%10.9%20.8%0.0%36.4%-4.8%-0.4%40.0K-527.4K-3.9K0.4878.03101481,741455
2017-11-28$15.63$15.0041.1%11.8%20.8%0.0%41.0%-4.8%-9.3%37.4K-469.6K-3.4K0.6151.2481491,744455
2017-11-29$15.18$15.0044.6%12.8%22.2%0.0%46.5%-2.1%-11.4%32.0K-388.9K-3.4K0.5646.6281451,746464
2017-11-30$14.46$15.0036.0%10.3%26.6%0.0%37.1%7.1%3.2%16.8K-81.0K-2.4K0.5151.34101511,747465