OCSL Options History — August 2018 In August 2018, OCSL traded between $14.67 and $15.30. ATM implied volatility averaged 17.7%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.4% (HV 20d: 13.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.54.
Notable Days 2018-08-17 : Highest Volume — 121 contracts2018-08-15 : Largest IV spike — 43.5% change2018-08-03 : Highest IV Rank — 15.6%2018-08-03 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $15.04 $14.67 $15.30 $14.67 $15.27 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 17.7% 11.6% 28.3% 23.4% 15.5% Expected Move 5.1% 3.3% 8.1% 6.7% 4.5% HV 20d 13.3% 7.7% 15.3% 13.0% 7.8% HV 60d 15.6% 14.1% 22.2% 22.2% 14.1% IV Rank 5.6% 0.0% 15.6% 10.5% 4.1% IV Percentile 9.7% 0.0% 34.2% 18.8% 6.4% Term Structure 2.7% -5.3% 24.8% 10.0% 2.8% VWIV 18.8% 11.6% 35.6% 35.6% 15.5% Bid-Ask Spread % 46.33 9.80 93.94 69.45 20.30 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 8.6K -2.3K 34.6K 3.3K 3.9K Net DEX 9.3K -308.2K 126.1K 126.1K -37.8K Net VEX -1.2K -1.4K -899 -1.3K -1.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.04 1.45 0.97 0.27 Total Volume 49.739 28 121 44 28 Total OI 577.913 333 739 710 403
Daily Data (23 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 2018-08-01 $14.67 $15.00 23.4% 6.7% 13.0% 10.5% 35.6% 0.0% 10.0% 3.3K 126.1K -1.3K 0.97 69.45 22 22 363 347 2018-08-02 $15.03 $15.00 22.2% 6.4% 15.2% 9.2% 23.1% 0.0% -1.9% 5.6K -12.4K -1.3K 0.67 59.81 34 23 363 347 2018-08-03 $15.03 $15.00 28.3% 8.1% 14.4% 15.6% 28.3% 0.0% -5.3% 4.5K -7.6K -1.4K 0.57 71.42 40 23 379 347 2018-08-06 $14.91 $15.00 23.9% 5.6% 14.6% 10.9% 19.9% 0.0% 0.8% 4.7K 34.6K -1.3K 0.64 72.40 35 23 373 347 2018-08-07 $14.94 $15.00 25.8% 5.7% 14.4% 12.9% 20.4% 0.0% 4.4% 4.6K -954 -1.3K 0.68 67.68 37 25 373 351 2018-08-08 $14.79 $15.00 19.5% 3.9% 15.1% 6.4% 15.9% 0.0% 5.0% 7.6K 121.7K -1.2K 0.65 20.54 38 25 374 351 2018-08-09 $14.94 $15.00 17.6% 4.5% 15.3% 4.3% 17.1% 0.0% 1.9% 9.3K 36.7K -1.2K 1.45 41.83 17 25 373 351 2018-08-10 $14.94 $15.00 13.5% 6.0% 15.0% 0.0% 21.1% 0.0% -1.1% 14.7K 59.2K -1.2K 0.85 39.93 27 23 375 351 2018-08-13 $14.97 $15.00 11.9% 5.3% 14.9% 0.0% 14.8% 0.0% 5.9% 23.3K 25.7K -1.2K 0.85 22.28 27 23 385 352 2018-08-14 $14.91 $15.00 13.4% 5.6% 15.1% 1.5% 22.2% 0.0% -2.8% 20.5K 105.2K -1.1K 0.85 33.39 27 23 385 352 2018-08-15 $15.00 $15.00 19.2% 5.5% 15.2% 7.6% 19.2% 0.0% 5.9% 23.9K 6.9K -1.1K 0.87 21.79 26 23 385 352 2018-08-16 $15.00 $15.00 11.6% 3.3% 15.2% 0.0% 11.6% 0.0% 8.7% 25.3K 4.3K -1.0K 0.87 46.35 26 23 385 353 2018-08-17 $15.03 $15.00 16.1% 4.6% 14.6% 4.7% 16.1% 0.0% 2.7% 34.6K -308.2K -899 0.94 34.36 62 59 386 353 2018-08-20 $15.00 $15.00 14.0% 4.0% 14.7% 2.5% 14.7% 0.0% -3.3% -2.3K 50.2K -1.0K 0.12 32.67 25 3 143 190 2018-08-21 $15.00 $15.00 15.5% 4.4% 13.7% 4.0% 15.9% 0.0% -4.4% -728 58.9K -1.0K 0.09 54.58 33 3 159 193 2018-08-22 $15.12 $15.00 17.7% 5.1% 12.0% 6.3% 18.9% 0.0% 24.8% -512 42.9K -1.0K 0.04 93.94 67 2 166 192 2018-08-23 $15.18 $15.00 17.2% 4.9% 12.0% 5.8% 17.3% 0.0% 1.4% 2.4K -1.9K -1.2K 0.04 56.67 67 2 201 192 2018-08-24 $15.15 $15.00 14.1% 4.0% 12.1% 2.6% 14.9% 0.0% 4.0% 2.4K -10.8K -1.2K 0.09 9.80 26 2 201 192 2018-08-27 $15.24 $15.00 16.8% 4.8% 11.3% 5.4% 17.9% 0.0% 1.1% 2.6K -12.1K -1.2K 0.22 38.61 26 6 207 192 2018-08-28 $15.27 $15.00 16.8% 4.8% 11.3% 5.4% 17.6% 0.0% 0.7% 2.5K -21.2K -1.2K 0.22 82.55 26 6 207 195 2018-08-29 $15.27 $15.00 14.9% 4.3% 11.3% 3.4% 16.6% 0.0% -0.1% 2.5K -25.0K -1.2K 0.22 38.56 26 6 208 195 2018-08-30 $15.30 $15.00 17.5% 5.0% 7.7% 6.1% 18.2% 0.0% 0.7% 2.6K -20.9K -1.1K 0.22 36.60 26 6 208 195 2018-08-31 $15.27 $15.00 15.5% 4.5% 7.8% 4.1% 15.5% 0.0% 2.8% 3.9K -37.8K -1.1K 0.27 20.30 22 6 208 195
« Jul 2018 | All History | Sep 2018 » Home OCSL History August 2018