OCSL Options History — June 2018

In June 2018, OCSL traded between $13.92 and $15.00. ATM implied volatility averaged 21.6%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.0% (HV 20d: 17.6%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.38.

Notable Days

2018-06-13: Highest Volume — 169 contracts
2018-06-11: Largest IV spike — 105.9% change
2018-06-12: Highest IV Rank — 28.8%
2018-06-28: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.41	$13.92	$15.00	$14.91	$14.34
Max Pain	$13.57	$7.50	$15.00	$15.00	$7.50
ATM IV	21.6%	13.5%	41.9%	18.1%	30.5%
Expected Move	5.5%	3.5%	10.2%	5.2%	8.7%
HV 20d	17.6%	12.9%	30.9%	30.9%	16.6%
HV 60d	21.4%	20.8%	22.4%	22.4%	21.6%
IV Rank	8.1%	0.0%	28.8%	3.4%	17.9%
IV Percentile	15.3%	0.0%	71.6%	3.2%	37.1%
Term Structure	6.7%	-5.5%	17.3%	-5.5%	-3.4%
VWIV	16.6%	10.8%	24.6%	18.1%	20.1%
Bid-Ask Spread %	25.17	10.56	117.23	29.70	37.64
Gamma HHI	0.96	0.63	1.00	1.00	0.63
Net GEX	2.0K	-191	5.2K	3.2K	64
Net DEX	107.7K	20.6K	253.2K	20.6K	68.8K
Net VEX	-1.6K	-1.7K	-1.2K	-1.7K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.20	2.81	0.91	1.59
Total Volume	95.762	50	169	50	69
Total OI	636.952	583	686	586	666

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
2018-06-01	$14.91	$15.00	18.1%	5.2%	30.9%	3.4%	18.1%	0.0%	-5.5%	3.2K	20.6K	-1.7K	0.91	29.70	26	24	301	285
2018-06-04	$15.00	$15.00	23.3%	5.9%	30.8%	9.0%	20.4%	0.0%	7.3%	3.3K	31.6K	-1.7K	0.86	35.19	28	24	301	285
2018-06-05	$14.91	$15.00	21.2%	4.8%	30.9%	6.7%	14.7%	0.0%	13.2%	3.2K	38.5K	-1.6K	0.63	21.30	38	24	298	285
2018-06-06	$14.91	$15.00	22.6%	3.5%	16.0%	8.2%	10.8%	0.0%	15.8%	4.0K	47.5K	-1.7K	0.51	28.87	47	24	315	285
2018-06-07	$14.91	$15.00	23.9%	6.1%	15.9%	9.7%	14.7%	0.0%	9.9%	4.1K	39.1K	-1.7K	0.51	15.33	47	24	315	285
2018-06-08	$14.91	$15.00	15.5%	6.1%	15.5%	0.6%	15.1%	0.0%	9.8%	5.2K	51.4K	-1.7K	0.45	13.43	54	24	332	285
2018-06-11	$14.79	$15.00	31.9%	5.3%	14.5%	18.1%	13.1%	0.0%	12.6%	5.1K	46.2K	-1.6K	0.45	12.93	54	24	339	285
2018-06-12	$14.64	$15.00	41.9%	6.1%	14.9%	28.8%	14.7%	0.0%	13.7%	4.1K	61.3K	-1.6K	0.20	14.82	120	24	339	285
2018-06-13	$14.46	$15.00	13.5%	3.9%	15.3%	0.0%	0.0%	0.0%	17.3%	2.9K	44.4K	-1.6K	0.41	17.42	120	49	373	285
2018-06-14	$14.16	$15.00	15.9%	4.6%	16.0%	2.6%	0.0%	0.0%	13.7%	902	117.1K	-1.6K	0.54	19.28	103	56	372	314
2018-06-15	$14.13	$15.00	13.5%	3.9%	15.8%	0.0%	0.0%	0.0%	3.9%	1.2K	177.9K	-1.5K	0.53	14.07	106	56	350	334
2018-06-18	$13.98	$15.00	15.5%	4.4%	16.0%	2.2%	0.0%	0.0%	3.6%	855	168.1K	-1.5K	2.13	20.77	26	55	322	313
2018-06-19	$14.04	$15.00	16.4%	4.7%	15.8%	3.1%	0.0%	0.0%	3.6%	783	137.3K	-1.5K	2.16	12.88	26	55	322	313
2018-06-20	$14.01	$15.00	16.2%	4.6%	15.6%	2.8%	0.0%	0.0%	-0.2%	1.3K	209.4K	-1.3K	2.72	10.56	26	72	324	313
2018-06-21	$14.10	$15.00	17.2%	4.9%	16.0%	3.9%	0.0%	0.0%	3.5%	-191	128.2K	-1.6K	2.81	117.23	26	74	325	330
2018-06-22	$14.10	$15.00	14.6%	4.2%	16.0%	1.2%	0.0%	0.0%	3.4%	492	192.0K	-1.5K	2.81	18.27	26	74	325	332
2018-06-25	$14.10	$15.00	22.9%	6.6%	15.3%	9.9%	24.6%	0.0%	-0.6%	209	175.7K	-1.5K	2.39	14.53	31	74	325	332
2018-06-26	$14.19	$7.50	25.0%	7.2%	15.4%	12.1%	0.0%	0.0%	14.9%	222	150.5K	-1.5K	2.39	23.62	31	74	330	332
2018-06-27	$14.01	$7.50	18.7%	5.4%	14.6%	5.5%	0.0%	0.0%	5.9%	821	102.6K	-1.6K	2.49	17.79	30	74	330	332
2018-06-28	$13.92	$7.50	35.8%	10.2%	12.9%	23.4%	0.0%	0.0%	-1.9%	207	253.2K	-1.2K	1.43	32.89	30	42	330	332
2018-06-29	$14.34	$7.50	30.5%	8.7%	16.6%	17.9%	20.1%	0.0%	-3.4%	64	68.8K	-1.6K	1.59	37.64	27	42	330	336