OCSL Options History — December 2017

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

In December 2017, OCSL traded between $13.92 and $15.18. ATM implied volatility averaged 32.2%. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.2% (HV 20d: 27.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.85.

Notable Days

2017-12-14: Highest Volume — 181 contracts
2017-12-22: Largest IV spike — 36.3% change
2017-12-13: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.50	$13.92	$15.18	$14.64	$14.67
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	32.2%	21.9%	51.0%	32.8%	30.3%
Expected Move	8.3%	5.5%	11.4%	9.4%	8.7%
HV 20d	27.0%	24.6%	33.3%	27.1%	26.6%
HV 60d	26.6%	25.2%	27.6%	25.2%	27.0%
Term Structure	6.5%	-7.6%	18.8%	16.5%	1.8%
VWIV	28.8%	18.1%	39.3%	34.3%	30.3%
Skew 25d	-2.7%	-8.6%	17.3%	17.3%	2.8%
Skew 10d	26.3%	-4.1%	92.7%	23.3%	5.3%
Call IV 25d	31.2%	26.3%	37.2%	29.4%	28.1%
Put IV 25d	28.5%	21.9%	46.8%	46.8%	30.9%
Bid-Ask Spread %	46.42	15.56	90.83	31.11	60.99
Gamma HHI	0.37	0.34	0.44	0.35	0.38
Net GEX	17.0K	11.2K	31.1K	15.7K	19.7K
Net DEX	-73.4K	-363.1K	78.5K	-70.5K	-124.2K
Net VEX	-2.6K	-3.2K	-2.1K	-2.6K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.50	1.32	0.50	0.98
Total Volume	161.15	138	181	174	153
Total OI	2,284.85	2,220	2,325	2,220	2,320

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
2017-12-01	$14.64	$15.00	32.8%	9.4%	27.1%	0.0%	34.3%	17.3%	16.5%	15.7K	-70.5K	-2.6K	0.50	31.11	116	58	1,728	492
2017-12-04	$14.58	$15.00	32.1%	10.1%	25.0%	0.0%	37.8%	3.4%	-4.7%	16.6K	-95.4K	-2.8K	0.54	74.84	104	56	1,745	492
2017-12-05	$14.40	$15.00	32.1%	11.0%	24.9%	0.0%	37.0%	9.0%	-2.2%	11.6K	-10.0K	-2.4K	0.58	90.83	104	61	1,749	492
2017-12-06	$14.43	$15.00	34.0%	6.9%	25.2%	0.0%	26.5%	-7.9%	8.6%	17.2K	-65.3K	-2.9K	1.32	56.65	66	87	1,749	509
2017-12-07	$14.31	$15.00	34.6%	8.0%	25.2%	0.0%	20.8%	-7.6%	13.9%	12.1K	44.0K	-2.5K	1.32	74.75	66	87	1,750	542
2017-12-08	$14.34	$15.00	37.5%	6.3%	25.4%	0.0%	18.9%	-7.6%	14.1%	11.9K	51.0K	-2.4K	1.32	56.22	66	88	1,750	542
2017-12-11	$14.40	$15.00	43.4%	5.5%	25.6%	0.0%	18.1%	-7.7%	14.5%	12.2K	38.7K	-2.4K	0.63	74.84	86	54	1,750	542
2017-12-12	$14.43	$15.00	51.0%	8.9%	25.2%	0.0%	31.2%	-4.7%	-0.7%	12.6K	28.6K	-2.4K	0.65	15.56	84	54	1,747	543
2017-12-13	$14.34	$15.00	39.6%	11.4%	24.6%	0.0%	39.3%	-7.1%	-7.2%	12.0K	50.9K	-2.3K	1.05	46.73	84	88	1,747	543
2017-12-14	$14.25	$15.00	25.4%	7.3%	24.6%	0.0%	25.4%	-4.6%	2.8%	11.2K	73.9K	-2.3K	0.95	20.63	93	88	1,747	572
2017-12-15	$13.92	$15.00	26.8%	7.7%	25.1%	0.0%	26.8%	-8.6%	3.9%	11.9K	78.5K	-2.4K	1.07	22.39	75	80	1,761	564
2017-12-18	$14.28	$15.00	27.5%	7.9%	26.7%	0.0%	27.5%	-6.0%	6.6%	13.9K	-38.1K	-2.5K	0.75	21.51	91	68	1,741	525
2017-12-19	$14.37	$15.00	23.9%	6.9%	27.1%	0.0%	23.9%	-7.0%	12.2%	19.4K	-129.7K	-2.9K	0.74	25.28	92	68	1,756	525
2017-12-20	$14.55	$15.00	25.6%	7.3%	28.0%	0.0%	25.6%	-5.5%	12.2%	18.4K	-120.8K	-2.7K	0.74	57.63	93	69	1,757	525
2017-12-21	$14.82	$15.00	21.9%	6.3%	28.5%	0.0%	21.9%	-2.8%	18.8%	22.8K	-218.5K	-3.0K	0.65	39.72	106	69	1,758	525
2017-12-22	$14.52	$15.00	29.9%	8.6%	27.4%	0.0%	29.9%	-3.3%	8.3%	22.8K	-190.2K	-2.9K	0.65	36.37	106	69	1,769	525
2017-12-26	$15.18	$15.00	33.4%	9.6%	32.3%	0.0%	37.1%	-5.7%	5.2%	31.1K	-363.1K	-3.2K	0.83	53.12	90	75	1,769	525
2017-12-27	$14.79	$15.00	32.1%	9.2%	33.3%	0.0%	33.9%	-1.6%	-7.6%	24.1K	-223.3K	-2.1K	0.83	34.94	91	75	1,770	532
2017-12-28	$14.73	$15.00	29.6%	8.5%	31.8%	0.0%	29.6%	1.1%	12.5%	23.5K	-183.6K	-2.7K	0.88	34.36	87	76	1,781	538
2017-12-29	$14.67	$15.00	30.3%	8.7%	26.6%	0.0%	30.3%	2.8%	1.8%	19.7K	-124.2K	-2.2K	0.98	60.99	77	76	1,781	539