OCSL Options History — March 2018

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

In March 2018, OCSL traded between $12.60 and $13.62. ATM implied volatility averaged 50.9%. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 29.7% (HV 20d: 21.2%). 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 15 of 21 days. Put/call ratio averaged 3.64.

Notable Days

2018-03-22: Highest Volume — 82 contracts
2018-03-13: Largest IV spike — 68.2% change
2018-03-02: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.06	$12.60	$13.62	$12.93	$12.63
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	50.9%	33.8%	108.6%	57.3%	44.6%
Expected Move	11.1%	8.5%	17.4%	16.4%	12.8%
HV 20d	21.2%	16.2%	31.2%	30.2%	19.6%
HV 60d	24.9%	22.7%	26.4%	25.1%	22.7%
Term Structure	5.0%	-17.1%	29.2%	-16.9%	1.3%
VWIV	80.8%	77.0%	84.6%	77.0%	84.6%
Skew 25d	6.8%	-11.8%	24.6%	5.0%	3.4%
Skew 10d	14.2%	-23.5%	100.9%	1.4%	5.4%
Call IV 25d	25.0%	16.8%	38.2%	34.4%	27.3%
Put IV 25d	31.8%	22.3%	47.3%	39.4%	30.7%
Bid-Ask Spread %	88.16	34.97	112.67	61.23	36.84
Gamma HHI	0.81	0.50	0.91	0.76	0.50
Net GEX	4.8K	198	8.5K	5.9K	198
Net DEX	143.9K	16.8K	222.6K	91.3K	212.1K
Net VEX	-1.1K	-1.6K	-610	-1.4K	-654
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.64	1.03	7.78	1.35	6.00
Total Volume	62.19	40	82	56	82
Total OI	846.286	816	857	841	857

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
2018-03-01	$12.93	$15.00	57.3%	16.4%	30.2%	0.0%	77.0%	5.0%	-16.9%	5.9K	91.3K	-1.4K	1.35	61.23	24	32	584	257
2018-03-02	$13.08	$15.00	60.8%	17.4%	30.0%	0.0%	84.6%	10.1%	-17.1%	5.0K	148.9K	-1.1K	1.43	66.77	22	32	584	256
2018-03-05	$13.20	$0.00	61.6%	8.8%	30.0%	0.0%	0.0%	-0.8%	18.2%	6.3K	119.1K	-1.3K	1.68	98.07	19	32	585	256
2018-03-06	$13.17	$0.00	68.5%	10.0%	29.5%	0.0%	0.0%	2.9%	8.9%	6.2K	174.3K	-965	1.66	101.94	19	32	585	256
2018-03-07	$13.32	$0.00	64.7%	8.5%	30.0%	0.0%	0.0%	24.6%	7.8%	4.9K	150.6K	-1.1K	3.20	76.80	10	32	585	256
2018-03-08	$13.62	$0.00	67.3%	8.5%	31.2%	0.0%	0.0%	8.2%	0.4%	7.1K	78.4K	-1.4K	1.03	101.44	31	32	584	256
2018-03-09	$13.47	$0.00	45.3%	9.6%	16.2%	0.0%	0.0%	9.3%	9.3%	7.4K	138.7K	-1.2K	1.13	102.21	28	32	595	256
2018-03-12	$13.56	$0.00	64.6%	9.4%	16.2%	0.0%	0.0%	-11.8%	-0.1%	7.3K	16.8K	-1.6K	1.22	112.67	26	32	596	256
2018-03-13	$13.53	$0.00	108.6%	9.5%	16.2%	0.0%	0.0%	6.9%	-0.2%	8.5K	94.1K	-1.3K	2.61	74.12	12	31	594	256
2018-03-14	$13.17	$0.00	35.5%	10.2%	18.0%	0.0%	0.0%	-1.5%	24.6%	7.0K	123.7K	-1.2K	2.61	111.56	12	31	590	256
2018-03-15	$13.02	$0.00	35.1%	10.1%	17.3%	0.0%	0.0%	1.0%	11.3%	5.5K	166.0K	-961	1.77	104.06	18	31	590	256
2018-03-16	$12.93	$0.00	37.5%	10.7%	17.2%	0.0%	0.0%	2.8%	0.1%	3.7K	186.9K	-782	1.77	34.97	18	31	597	256
2018-03-19	$12.96	$0.00	39.4%	11.3%	16.7%	0.0%	0.0%	14.3%	29.2%	6.3K	21.1K	-1.4K	2.94	106.64	10	30	595	222
2018-03-20	$12.84	$0.00	33.8%	9.7%	16.5%	0.0%	0.0%	2.3%	12.7%	4.5K	154.4K	-802	6.77	102.83	10	70	594	222
2018-03-21	$12.96	$0.00	37.9%	10.9%	16.9%	0.0%	0.0%	6.8%	-0.9%	2.1K	194.0K	-817	6.77	106.16	10	70	594	262
2018-03-22	$13.05	$0.00	36.6%	10.5%	17.1%	0.0%	0.0%	11.6%	2.0%	4.0K	192.6K	-846	6.00	107.84	12	70	594	262
2018-03-23	$12.75	$0.00	40.6%	11.6%	19.0%	0.0%	0.0%	17.6%	-2.9%	3.1K	146.1K	-1.1K	6.00	104.86	12	70	595	262
2018-03-26	$12.78	$0.00	43.2%	12.4%	19.0%	0.0%	0.0%	11.2%	7.1%	2.4K	213.2K	-712	6.36	82.50	11	70	595	262
2018-03-27	$12.60	$0.00	42.4%	12.2%	19.5%	0.0%	0.0%	8.7%	2.8%	1.5K	222.6K	-610	6.36	72.31	11	70	595	262
2018-03-28	$12.66	$0.00	43.8%	12.6%	19.6%	0.0%	0.0%	10.8%	7.5%	2.4K	176.7K	-897	7.78	85.47	9	70	595	262
2018-03-29	$12.63	$0.00	44.6%	12.8%	19.6%	0.0%	0.0%	3.4%	1.3%	198	212.1K	-654	6.00	36.84	12	70	595	262