OCSL Options History — July 2018

In July 2018, OCSL traded between $14.01 and $14.61. ATM implied volatility averaged 29.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 13.4% (HV 20d: 16.1%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.06.

Notable Days

2018-07-25: Highest Volume — 74 contracts
2018-07-26: Largest IV spike — 108.9% change
2018-07-06: Highest IV Rank — 41.5%
2018-07-27: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.22	$14.01	$14.61	$14.16	$14.61
Max Pain	$14.29	$7.50	$15.00	$7.50	$15.00
ATM IV	29.6%	17.7%	53.0%	22.5%	37.7%
Expected Move	7.7%	4.4%	12.7%	6.5%	10.8%
HV 20d	16.1%	13.1%	17.7%	16.7%	13.1%
HV 60d	21.8%	21.6%	22.2%	21.8%	22.2%
IV Rank	16.9%	4.5%	41.5%	9.5%	25.4%
IV Percentile	37.5%	7.1%	92.2%	15.3%	65.3%
Term Structure	3.4%	-6.8%	15.8%	1.8%	-2.1%
VWIV	24.9%	17.5%	66.4%	26.4%	19.0%
Bid-Ask Spread %	50.74	13.59	111.27	20.73	102.72
Gamma HHI	0.94	0.75	1.00	0.95	1.00
Net GEX	450	-101	1.8K	333	1.3K
Net DEX	182.6K	114.5K	262.0K	160.5K	114.5K
Net VEX	-1.3K	-1.5K	-1.1K	-1.5K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.41	1.98	1.59	0.49
Total Volume	59.429	44	74	69	66
Total OI	683.952	666	710	666	710

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
2018-07-02	$14.16	$7.50	22.5%	6.5%	16.7%	9.5%	0.0%	0.0%	1.8%	333	160.5K	-1.5K	1.59	20.73	27	42	330	336
2018-07-03	$14.10	$7.50	22.5%	6.4%	16.7%	9.5%	26.4%	0.0%	1.3%	922	187.1K	-1.4K	1.68	27.68	25	43	330	336
2018-07-05	$14.16	$15.00	31.9%	7.1%	16.8%	19.3%	29.8%	0.0%	1.3%	157	171.5K	-1.4K	1.68	70.71	25	43	330	336
2018-07-06	$14.01	$15.00	53.0%	7.1%	17.0%	41.5%	28.8%	0.0%	4.9%	-8	214.9K	-1.3K	1.74	63.38	25	44	330	336
2018-07-09	$14.16	$15.00	24.3%	4.4%	17.7%	11.4%	19.0%	0.0%	10.7%	259	253.4K	-1.2K	1.75	37.97	25	44	330	343
2018-07-10	$14.10	$15.00	37.9%	6.5%	17.6%	25.7%	23.6%	0.0%	-6.8%	784	150.4K	-1.4K	1.98	60.35	21	41	330	344
2018-07-11	$14.10	$15.00	24.0%	6.9%	17.4%	11.1%	19.5%	0.0%	-3.5%	-84	183.0K	-1.4K	1.98	16.12	21	41	331	347
2018-07-12	$14.10	$15.00	28.1%	8.0%	16.9%	15.4%	28.2%	0.0%	-3.9%	-101	190.9K	-1.3K	0.97	33.76	22	22	331	347
2018-07-13	$14.01	$15.00	17.7%	5.1%	15.4%	4.5%	17.7%	0.0%	4.9%	-85	262.0K	-1.1K	0.94	13.59	23	22	333	347
2018-07-16	$14.10	$15.00	19.1%	5.5%	15.6%	5.9%	19.0%	0.0%	3.3%	62	260.6K	-1.1K	0.90	55.85	24	22	334	347
2018-07-17	$14.16	$15.00	24.5%	7.0%	15.1%	11.6%	19.7%	0.0%	7.3%	57	188.6K	-1.3K	0.90	18.91	24	22	334	347
2018-07-18	$14.22	$15.00	17.9%	5.1%	15.1%	4.7%	18.1%	0.0%	6.1%	368	227.6K	-1.2K	0.90	55.41	24	22	334	347
2018-07-19	$14.28	$15.00	29.2%	8.4%	15.1%	16.5%	29.2%	0.0%	-5.1%	-56	172.1K	-1.3K	0.79	13.77	27	22	334	347
2018-07-20	$14.16	$15.00	27.4%	7.8%	15.3%	14.6%	27.4%	0.0%	-2.8%	419	165.7K	-1.3K	0.79	34.48	27	22	341	347
2018-07-23	$14.25	$15.00	24.8%	7.1%	15.5%	11.9%	27.3%	0.0%	0.0%	276	227.1K	-1.2K	0.75	26.86	28	21	334	347
2018-07-24	$14.49	$15.00	31.5%	9.0%	16.5%	19.0%	17.5%	0.0%	-0.8%	313	129.1K	-1.3K	0.41	72.79	52	21	338	347
2018-07-25	$14.25	$15.00	20.7%	5.9%	17.6%	7.6%	20.4%	0.0%	5.2%	1.8K	210.2K	-1.2K	0.42	40.24	52	22	359	347
2018-07-26	$14.34	$15.00	43.2%	12.4%	17.0%	31.2%	20.7%	0.0%	15.7%	804	122.5K	-1.3K	0.54	111.07	40	22	359	347
2018-07-27	$14.37	$15.00	44.2%	12.7%	16.8%	32.3%	21.0%	0.0%	15.8%	883	123.1K	-1.3K	0.50	111.27	44	22	359	347
2018-07-30	$14.58	$15.00	39.2%	11.2%	14.0%	27.1%	66.4%	0.0%	14.3%	1.0K	119.4K	-1.3K	0.50	77.77	44	22	363	347
2018-07-31	$14.61	$15.00	37.7%	10.8%	13.1%	25.4%	19.0%	0.0%	-2.1%	1.3K	114.5K	-1.2K	0.49	102.72	44	22	363	347