OCSL Options History — February 2018 In February 2018, OCSL traded between $12.96 and $15.06. ATM implied volatility averaged 45.3%. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 18.1% (HV 20d: 27.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.72.
Notable Days 2018-02-07 : Highest Volume — 408 contracts2018-02-07 : Largest IV drop — 59.3% change2018-02-26 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $13.50 $12.96 $15.06 $15.06 $12.96 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 45.3% 25.5% 66.9% 43.1% 52.2% Expected Move 11.6% 7.3% 15.3% 7.9% 15.0% HV 20d 27.2% 15.8% 31.6% 15.8% 30.2% HV 60d 26.9% 23.7% 28.5% 23.7% 25.3% Term Structure -1.0% -15.7% 19.4% 6.7% -15.7% VWIV 51.0% 27.0% 73.8% 28.1% 68.5% Skew 25d 3.1% -14.1% 40.8% 7.0% 40.8% Skew 10d 10.2% -13.4% 107.5% 8.6% 107.5% Call IV 25d 38.8% 31.4% 66.2% 39.2% 34.5% Put IV 25d 41.9% 31.5% 75.3% 46.2% 75.3% Bid-Ask Spread % 89.83 23.32 128.80 119.85 62.88 Gamma HHI 0.62 0.36 0.80 0.58 0.80 Net GEX 10.9K -1.5K 38.7K 38.6K 4.3K Net DEX 81.4K -517.7K 404.3K -517.7K 162.5K Net VEX -1.7K -2.8K -876 -2.7K -1.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.72 0.50 4.14 0.50 1.38 Total Volume 170.316 57 408 220 57 Total OI 2,137.158 806 3,058 2,706 841
Daily Data (19 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 2018-02-01 $15.06 $15.00 43.1% 7.9% 15.8% 0.0% 28.1% 7.0% 6.7% 38.6K -517.7K -2.7K 0.50 119.85 146 74 2,141 565 2018-02-02 $14.73 $15.00 58.2% 12.8% 17.7% 0.0% 44.7% 8.8% -8.7% 38.7K -441.2K -2.6K 0.74 96.66 100 74 2,189 565 2018-02-05 $14.43 $15.00 64.1% 9.6% 18.5% 0.0% 35.0% -14.1% 7.3% 25.9K -344.9K -2.5K 2.04 102.16 84 170 2,209 565 2018-02-06 $14.34 $15.00 66.9% 9.1% 18.4% 0.0% 34.0% -13.5% 7.3% 23.5K -235.4K -2.8K 2.35 105.42 75 177 2,207 663 2018-02-07 $14.19 $15.00 27.3% 7.8% 18.6% 0.0% 28.4% 3.1% 4.1% 23.9K -133.0K -2.6K 4.14 114.31 79 329 2,207 670 2018-02-08 $13.17 $15.00 28.6% 8.2% 31.6% 0.0% 35.0% 2.5% 12.0% 5.6K 370.2K -2.1K 2.21 85.27 77 171 2,202 856 2018-02-09 $13.26 $15.00 44.2% 12.7% 30.7% 0.0% 66.7% 0.7% 13.0% 94 404.3K -1.8K 2.30 113.27 75 172 2,204 832 2018-02-12 $13.23 $15.00 52.7% 15.1% 30.6% 0.0% 61.3% -0.5% -9.2% 1.9K 365.7K -1.4K 1.21 128.80 72 87 2,206 785 2018-02-13 $13.44 $15.00 45.4% 13.0% 31.4% 0.0% 69.2% -3.0% 8.3% 4.8K 307.0K -1.8K 1.19 115.00 73 87 2,208 785 2018-02-14 $13.20 $15.00 25.5% 7.3% 30.5% 0.0% 27.0% 19.4% -0.0% -1.5K 282.9K -1.3K 1.14 100.87 76 87 2,209 702 2018-02-15 $13.08 $15.00 27.8% 8.0% 30.4% 0.0% 30.1% 3.9% 19.4% 5.9K 218.0K -1.5K 1.50 103.55 83 124 2,204 701 2018-02-16 $13.23 $15.00 35.9% 10.3% 31.0% 0.0% 47.3% 1.7% 7.8% 5.2K 275.8K -1.4K 1.56 99.38 79 124 2,202 724 2018-02-20 $13.08 $15.00 40.6% 11.6% 30.6% 0.0% 53.1% -2.5% -10.1% 4.4K 147.0K -1.2K 1.71 66.95 35 60 550 256 2018-02-21 $13.05 $15.00 47.2% 13.5% 30.1% 0.0% 65.3% -1.1% -10.7% 4.7K 133.9K -1.3K 1.71 66.76 35 60 569 256 2018-02-22 $13.05 $15.00 48.4% 13.9% 30.2% 0.0% 67.2% 0.1% -11.2% 5.4K 107.8K -1.4K 1.69 68.89 36 60 569 256 2018-02-23 $13.05 $15.00 49.4% 14.2% 30.2% 0.0% 68.4% -1.5% -11.7% 4.6K 132.4K -1.3K 2.55 67.09 24 60 571 256 2018-02-26 $13.05 $15.00 53.4% 15.3% 30.1% 0.0% 73.8% 9.0% -13.7% 6.4K 125.4K -1.2K 1.38 66.42 24 33 584 256 2018-02-27 $12.96 $15.00 50.5% 14.5% 30.1% 0.0% 66.0% -2.7% -14.9% 4.7K 185.7K -876 1.38 23.32 24 33 584 257 2018-02-28 $12.96 $15.00 52.2% 15.0% 30.2% 0.0% 68.5% 40.8% -15.7% 4.3K 162.5K -1.1K 1.38 62.88 24 33 584 257
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