OCSL Options History — April 2018 In April 2018, OCSL traded between $12.75 and $13.11. ATM implied volatility averaged 38.5%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 22.6% (HV 20d: 15.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 8.40.
Notable Days 2018-04-19 : Highest Volume — 120 contracts2018-04-09 : Largest IV spike — 50.0% change2018-04-26 : Highest IV Rank — 36.2%2018-04-02 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $13.00 $12.75 $13.11 $12.75 $13.05 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 38.5% 24.9% 58.6% 50.4% 31.6% Expected Move 10.0% 7.1% 14.4% 14.4% 9.1% HV 20d 15.9% 11.7% 20.6% 19.4% 12.2% HV 60d 22.5% 22.1% 23.2% 22.8% 22.1% IV Rank 21.8% 10.6% 36.2% 23.8% 17.9% IV Percentile 42.5% 4.7% 80.8% 53.2% 26.5% Term Structure -13.2% -27.1% 9.9% 4.0% -11.0% VWIV 34.7% 24.9% 51.2% 25.5% 31.8% Skew 25d 3.3% -4.0% 20.3% 3.5% 4.2% Skew 10d 17.4% -0.1% 104.8% 18.8% 1.8% Call IV 25d 27.2% 21.3% 34.4% 26.7% 30.7% Put IV 25d 30.4% 24.7% 54.7% 30.2% 34.9% Bid-Ask Spread % 41.01 7.99 99.31 78.48 21.45 Gamma HHI 0.71 0.49 0.87 0.79 0.51 Net GEX 1.6K -733 4.6K 2.5K -733 Net DEX 229.0K 148.1K 271.5K 191.1K 258.8K Net VEX -797 -1.1K -603 -804 -666 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 8.40 5.36 13.29 6.00 9.11 Total Volume 103.81 70 120 82 118 Total OI 888.81 855 914 855 914
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 2018-04-02 $12.75 $0.00 50.4% 14.4% 19.4% 0.0% 0.0% 3.5% 4.0% 2.5K 191.1K -804 6.00 78.48 12 70 593 262 2018-04-03 $12.99 $0.00 35.3% 10.1% 20.4% 0.0% 0.0% 3.4% -6.2% 838 226.7K -603 6.00 79.93 12 70 593 262 2018-04-04 $13.08 $0.00 49.4% 14.2% 20.6% 0.0% 0.0% 0.8% 9.9% 4.6K 148.1K -1.1K 6.00 87.95 12 70 593 262 2018-04-05 $13.05 $15.00 54.3% 7.3% 20.1% 0.0% 25.5% 4.4% -10.1% 861 181.4K -842 5.91 33.48 11 65 593 262 2018-04-06 $13.02 $15.00 39.1% 8.6% 18.1% 0.0% 31.9% 1.3% -19.1% 2.6K 218.7K -683 5.91 15.15 11 65 595 264 2018-04-09 $13.02 $15.00 58.6% 9.0% 17.8% 0.0% 33.2% 1.2% -20.4% 2.5K 186.7K -831 5.36 99.31 11 59 595 264 2018-04-10 $12.96 $15.00 45.1% 9.6% 17.6% 0.0% 36.1% -0.5% -24.5% 3.3K 217.3K -649 5.36 42.79 11 59 595 264 2018-04-11 $13.05 $15.00 30.0% 8.6% 17.9% 0.0% 31.0% 4.3% -16.6% 2.1K 207.7K -680 9.67 96.23 11 106 595 264 2018-04-12 $12.96 $15.00 34.4% 9.9% 15.4% 0.0% 37.2% -0.4% -25.5% 2.8K 248.0K -911 9.67 15.18 11 106 595 311 2018-04-13 $12.90 $15.00 34.3% 9.8% 14.9% 0.0% 37.3% -1.0% -25.2% 2.2K 262.2K -796 9.67 54.25 11 106 595 311 2018-04-16 $13.08 $15.00 26.4% 7.6% 15.5% 0.0% 24.9% 6.4% -7.0% -394 269.2K -711 9.67 15.55 11 106 595 311 2018-04-17 $13.02 $15.00 34.5% 9.9% 15.6% 0.0% 36.5% 3.2% -22.8% 1.9K 266.4K -774 9.67 17.06 11 106 595 311 2018-04-18 $13.11 $15.00 34.7% 9.9% 15.4% 0.0% 38.2% -3.5% -19.8% 3.3K 217.0K -1.0K 9.67 8.38 11 106 595 311 2018-04-19 $13.05 $15.00 33.8% 9.7% 15.2% 0.0% 37.2% -4.0% -16.0% 757 210.9K -1.0K 7.78 23.04 14 106 595 311 2018-04-20 $12.93 $15.00 37.2% 10.7% 15.3% 23.8% 39.8% -0.6% -27.1% 1.9K 264.6K -751 7.78 7.99 14 106 598 311 2018-04-23 $12.96 $15.00 31.6% 9.1% 12.8% 17.9% 29.4% -2.3% -7.5% 367 240.4K -831 10.29 13.97 10 106 598 311 2018-04-24 $12.96 $15.00 24.9% 7.1% 12.8% 10.6% 25.6% 1.4% -3.4% -729 268.3K -666 13.29 23.09 8 106 598 311 2018-04-25 $12.90 $15.00 36.2% 10.4% 11.7% 22.7% 37.8% 11.0% -1.8% 200 203.4K -1.0K 13.29 45.55 8 106 598 311 2018-04-26 $13.08 $15.00 48.9% 14.0% 12.5% 36.2% 51.2% 20.3% -23.6% 2.1K 250.9K -787 8.18 35.70 13 106 598 311 2018-04-27 $13.02 $15.00 36.7% 10.5% 12.6% 23.3% 39.6% 15.3% -4.5% -277 271.5K -636 8.18 46.70 13 106 603 311 2018-04-30 $13.05 $15.00 31.6% 9.1% 12.2% 17.9% 31.8% 4.2% -11.0% -733 258.8K -666 9.11 21.45 12 106 603 311
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