OCSL Options History — January 2018

Name: OCSL Options Analytics - January 2018
Creator: Options Analysis Suite

In January 2018, OCSL traded between $14.52 and $15.27. ATM implied volatility averaged 36.2%. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 12.2% (HV 20d: 24.0%). 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 10 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2018-01-10: Highest Volume — 471 contracts
2018-01-11: Largest IV spike — 44.8% change
2018-01-31: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.97	$14.52	$15.27	$14.91	$14.85
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	36.2%	23.9%	51.6%	28.7%	51.6%
Expected Move	10.2%	6.8%	14.8%	8.2%	14.8%
HV 20d	24.0%	14.9%	28.2%	26.8%	15.0%
HV 60d	25.4%	24.0%	27.1%	27.1%	24.0%
Term Structure	-1.1%	-18.8%	14.0%	-0.6%	-15.3%
VWIV	36.1%	23.9%	51.4%	28.8%	51.4%
Skew 25d	5.5%	0.5%	9.7%	3.8%	7.8%
Skew 10d	8.8%	1.3%	17.8%	6.0%	10.9%
Call IV 25d	30.8%	24.0%	45.8%	24.0%	45.8%
Put IV 25d	36.3%	27.7%	53.6%	27.7%	53.6%
Bid-Ask Spread %	87.39	18.86	103.81	54.47	100.07
Gamma HHI	0.50	0.42	0.63	0.47	0.58
Net GEX	41.4K	28.0K	54.3K	35.8K	37.6K
Net DEX	-505.4K	-732.6K	-202.6K	-324.0K	-425.1K
Net VEX	-2.8K	-3.6K	-1.7K	-2.2K	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.19	1.05	1.00	0.87
Total Volume	180.19	149	471	154	158
Total OI	2,551.286	2,304	2,704	2,305	2,703

Daily Data (21 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
2018-01-02	$14.91	$15.00	28.7%	8.2%	26.8%	0.0%	28.8%	3.8%	-0.6%	35.8K	-324.0K	-2.2K	1.00	54.47	77	77	1,766	539
2018-01-03	$14.97	$15.00	23.9%	6.8%	26.8%	0.0%	23.9%	3.5%	14.0%	33.6K	-346.3K	-2.8K	1.00	50.01	77	77	1,766	538
2018-01-04	$14.94	$15.00	32.3%	8.4%	26.3%	0.0%	29.7%	2.9%	6.9%	33.5K	-290.2K	-2.2K	1.00	101.55	77	77	1,766	538
2018-01-05	$14.73	$15.00	27.3%	9.5%	26.9%	0.0%	33.4%	0.5%	-0.3%	28.0K	-205.9K	-2.1K	1.05	57.72	73	76	1,766	538
2018-01-08	$14.61	$15.00	31.3%	6.8%	26.9%	0.0%	26.5%	3.5%	5.0%	29.8K	-202.6K	-1.7K	1.05	101.28	73	76	1,768	538
2018-01-09	$14.52	$15.00	36.3%	8.0%	27.1%	0.0%	29.9%	6.6%	2.2%	34.0K	-304.1K	-1.9K	0.95	103.81	80	76	1,772	538
2018-01-10	$14.67	$15.00	29.0%	8.3%	27.3%	0.0%	29.1%	1.1%	3.0%	28.6K	-205.3K	-1.8K	0.19	100.69	394	77	1,778	538
2018-01-11	$14.94	$15.00	42.0%	12.0%	27.9%	0.0%	42.4%	7.9%	-5.6%	40.9K	-597.0K	-3.6K	0.60	103.48	128	77	2,065	542
2018-01-12	$14.97	$15.00	34.7%	10.0%	27.8%	0.0%	35.0%	6.9%	-5.8%	50.7K	-706.2K	-3.5K	0.56	84.64	136	77	2,099	542
2018-01-16	$14.76	$15.00	35.2%	10.1%	28.2%	0.0%	35.3%	5.1%	0.4%	45.9K	-613.9K	-3.3K	0.73	98.72	105	77	2,119	542
2018-01-17	$15.03	$15.00	31.5%	9.0%	27.1%	0.0%	32.4%	7.6%	6.0%	46.2K	-627.6K	-3.1K	0.88	98.60	93	82	2,124	551
2018-01-18	$15.03	$15.00	38.6%	11.1%	25.9%	0.0%	39.8%	6.9%	-5.0%	54.3K	-672.0K	-3.5K	0.86	96.53	89	76	2,125	551
2018-01-19	$15.03	$15.00	49.4%	14.2%	25.9%	0.0%	49.9%	6.2%	-18.8%	52.1K	-636.0K	-3.4K	0.80	99.81	95	76	2,122	551
2018-01-22	$15.15	$15.00	33.1%	9.5%	25.7%	0.0%	33.2%	4.6%	6.4%	43.0K	-575.1K	-3.1K	0.70	18.86	99	70	2,103	549
2018-01-23	$15.27	$15.00	34.7%	9.9%	25.1%	0.0%	35.3%	6.2%	-7.2%	50.3K	-732.6K	-3.1K	0.68	97.03	103	70	2,128	549
2018-01-24	$15.24	$15.00	32.1%	9.2%	23.8%	0.0%	32.4%	4.8%	3.8%	47.9K	-691.7K	-3.0K	0.70	93.48	93	65	2,129	550
2018-01-25	$15.24	$15.00	42.6%	12.2%	17.8%	0.0%	43.0%	7.1%	-4.4%	47.2K	-655.0K	-3.2K	0.70	93.22	90	63	2,144	551
2018-01-26	$15.27	$15.00	40.5%	11.6%	14.9%	0.0%	40.8%	7.2%	-7.2%	46.4K	-645.5K	-3.0K	0.68	88.92	93	64	2,143	553
2018-01-29	$15.18	$15.00	35.4%	10.2%	15.0%	0.0%	35.6%	9.7%	0.9%	42.4K	-589.1K	-2.7K	0.82	100.22	88	73	2,136	553
2018-01-30	$15.03	$15.00	49.2%	14.1%	15.4%	0.0%	49.6%	6.0%	-2.0%	41.7K	-567.6K	-2.9K	0.87	92.06	84	73	2,141	563
2018-01-31	$14.85	$15.00	51.6%	14.8%	15.0%	0.0%	51.4%	7.8%	-15.3%	37.6K	-425.1K	-2.6K	0.87	100.07	84	74	2,140	563