OCSL Options History — May 2018

In May 2018, OCSL traded between $12.96 and $15.06. ATM implied volatility averaged 25.9%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.0% (HV 20d: 24.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 3.67.

Notable Days

2018-05-08: Highest Volume — 184 contracts
2018-05-15: Largest IV spike — 55.6% change
2018-05-07: Highest IV Rank — 34.0%
2018-05-07: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.35	$12.96	$15.06	$13.05	$14.73
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	25.9%	16.1%	46.8%	32.6%	16.1%
Expected Move	6.9%	4.6%	10.3%	9.4%	4.6%
HV 20d	24.9%	10.2%	30.9%	10.4%	30.9%
HV 60d	21.4%	15.0%	22.4%	21.8%	22.4%
IV Rank	11.7%	1.3%	34.0%	18.9%	1.3%
IV Percentile	19.7%	0.6%	78.8%	33.1%	0.6%
Term Structure	-3.6%	-14.5%	7.1%	-11.9%	-2.9%
VWIV	21.6%	16.2%	34.0%	32.7%	17.4%
Skew 25d	10.7%	-2.8%	30.7%	5.5%	26.0%
Skew 10d	3.7%	-10.7%	10.9%	1.9%	10.9%
Call IV 25d	33.2%	24.5%	44.3%	31.7%	29.0%
Put IV 25d	44.0%	34.1%	55.2%	37.2%	55.1%
Bid-Ask Spread %	52.38	21.93	98.60	21.93	24.29
Gamma HHI	0.89	0.43	1.00	0.43	1.00
Net GEX	14.7K	-1.2K	122.8K	-666	3.1K
Net DEX	66.3K	-144.3K	272.4K	195.2K	51.9K
Net VEX	-1.3K	-1.7K	-572	-947	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.67	0.66	12.27	10.63	0.66
Total Volume	118.591	40	184	116	43
Total OI	800.182	499	992	918	569

Daily Data (22 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
2018-05-01	$13.05	$15.00	32.6%	9.4%	10.4%	18.9%	32.7%	5.5%	-11.9%	-666	195.2K	-947	10.63	21.93	10	106	607	311
2018-05-02	$12.99	$15.00	34.4%	9.9%	10.2%	20.8%	34.0%	0.3%	-14.5%	-696	260.7K	-605	12.27	24.16	10	123	609	311
2018-05-03	$13.02	$0.00	39.5%	9.9%	10.2%	26.3%	0.0%	0.9%	-3.9%	-1.2K	268.9K	-645	12.27	45.15	10	123	609	315
2018-05-04	$13.02	$0.00	40.9%	10.0%	10.2%	27.8%	0.0%	0.9%	-4.1%	-1.2K	270.3K	-643	12.27	47.11	10	123	609	315
2018-05-07	$12.96	$0.00	46.8%	10.3%	10.3%	34.0%	0.0%	-2.8%	-4.8%	-1.2K	272.4K	-572	12.27	46.55	10	123	609	315
2018-05-08	$14.01	$0.00	45.5%	8.2%	29.5%	32.6%	20.7%	20.3%	6.6%	11.5K	77.9K	-1.3K	1.14	82.96	86	98	609	315
2018-05-09	$14.13	$15.00	20.6%	5.9%	29.5%	6.1%	19.6%	14.8%	-2.2%	14.6K	111.1K	-1.4K	1.14	67.97	86	98	633	315
2018-05-10	$14.31	$15.00	19.6%	5.6%	29.3%	5.1%	18.9%	30.7%	-4.5%	18.0K	98.3K	-1.3K	1.65	27.72	60	98	633	315
2018-05-11	$14.58	$15.00	16.7%	4.8%	29.5%	1.9%	16.2%	26.0%	2.1%	23.5K	-17.0K	-1.5K	1.75	95.19	56	98	635	315
2018-05-14	$14.67	$15.00	17.8%	5.1%	29.4%	3.1%	16.6%	0.0%	7.1%	30.6K	11.3K	-1.4K	2.06	98.60	48	98	645	315
2018-05-15	$14.76	$15.00	27.7%	7.9%	29.1%	13.7%	27.8%	0.0%	-11.8%	42.6K	-50.4K	-1.6K	1.97	93.92	50	98	669	315
2018-05-16	$14.94	$15.00	24.8%	7.1%	29.2%	10.6%	24.8%	0.0%	-1.8%	37.9K	-133.0K	-1.6K	1.52	41.41	69	105	672	315
2018-05-17	$15.00	$15.00	21.7%	6.2%	28.9%	7.3%	17.7%	0.0%	3.7%	122.8K	-144.3K	-1.5K	1.56	66.81	66	103	671	311
2018-05-18	$14.88	$15.00	25.2%	7.2%	28.8%	11.0%	25.2%	0.0%	-2.0%	3.0K	69.0K	-1.5K	0.81	74.29	68	55	683	309
2018-05-21	$14.97	$15.00	19.5%	5.6%	28.8%	4.9%	19.5%	0.0%	-8.0%	3.4K	45.4K	-1.4K	0.82	74.90	22	18	265	234
2018-05-22	$15.03	$15.00	23.2%	6.6%	28.7%	8.9%	23.2%	0.0%	-11.8%	3.2K	11.9K	-1.5K	1.87	47.96	20	37	267	235
2018-05-23	$14.94	$15.00	18.3%	5.2%	28.7%	3.6%	18.3%	0.0%	-5.2%	3.0K	39.1K	-1.5K	0.82	28.76	42	34	270	255
2018-05-24	$14.85	$15.00	18.6%	5.3%	29.0%	3.9%	18.6%	0.0%	-3.0%	3.6K	13.2K	-1.6K	0.79	23.76	43	34	291	255
2018-05-25	$15.00	$15.00	17.0%	4.9%	28.7%	2.3%	17.0%	0.0%	0.7%	1.8K	-39.7K	-1.6K	0.79	69.10	43	34	291	255
2018-05-29	$14.85	$15.00	22.0%	6.3%	29.3%	7.6%	22.0%	0.0%	-4.6%	2.9K	41.8K	-1.6K	0.79	22.23	43	34	291	275
2018-05-30	$15.06	$15.00	20.8%	6.0%	29.4%	6.3%	20.8%	0.0%	-3.7%	2.7K	5.1K	-1.7K	0.86	27.50	40	34	291	275
2018-05-31	$14.73	$15.00	16.1%	4.6%	30.9%	1.3%	17.4%	0.0%	-2.9%	3.1K	51.9K	-1.6K	0.66	24.29	26	17	294	275