OCSL Options History — September 2018

In September 2018, OCSL traded between $14.85 and $15.21. ATM implied volatility averaged 17.6%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.3% (HV 20d: 11.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.24.

Notable Days

2018-09-21: Highest Volume — 90 contracts
2018-09-17: Largest IV spike — 64.9% change
2018-09-10: Highest IV Rank — 12.1%
2018-09-04: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.02	$14.85	$15.21	$15.15	$14.88
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	17.6%	12.1%	23.3%	21.1%	14.5%
Expected Move	4.8%	3.5%	6.1%	6.1%	4.2%
HV 20d	11.2%	6.6%	12.9%	7.7%	12.5%
HV 60d	13.7%	12.3%	14.3%	14.2%	12.3%
IV Rank	6.2%	0.6%	12.1%	9.9%	3.0%
IV Percentile	13.1%	0.9%	26.3%	20.5%	4.6%
Term Structure	1.1%	-13.6%	8.9%	-13.6%	4.7%
VWIV	16.3%	10.8%	25.5%	22.4%	12.4%
Bid-Ask Spread %	36.34	11.32	87.69	37.20	67.29
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	3.4K	-492	8.4K	2.2K	3.8K
Net DEX	-10.5K	-47.5K	21.8K	-13.6K	7.3K
Net VEX	-1.0K	-1.1K	-950	-1.1K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.08	0.38	0.38	0.37
Total Volume	37.211	25	90	32	25
Total OI	406.579	391	426	401	426

Daily Data (19 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
2018-09-04	$15.15	$15.00	21.1%	6.1%	7.7%	9.9%	22.4%	0.0%	-13.6%	2.2K	-13.6K	-1.1K	0.38	37.20	23	9	207	194
2018-09-05	$15.15	$15.00	18.9%	5.4%	7.7%	7.6%	19.7%	0.0%	-2.8%	2.5K	20.5K	-1.1K	0.38	11.32	23	9	208	199
2018-09-06	$15.15	$15.00	19.5%	5.7%	6.6%	8.2%	19.9%	0.0%	-0.1%	2.5K	-2.6K	-1.1K	0.26	42.08	22	6	208	199
2018-09-07	$14.85	$15.00	20.3%	5.3%	9.3%	9.0%	18.9%	0.0%	-1.1%	2.7K	21.8K	-1.1K	0.26	15.93	22	6	209	199
2018-09-10	$15.00	$15.00	23.3%	3.7%	10.0%	12.1%	10.8%	0.0%	8.0%	2.8K	16.8K	-1.1K	0.26	19.61	22	6	209	199
2018-09-11	$15.21	$15.00	18.8%	4.9%	11.1%	7.5%	12.6%	0.0%	5.6%	4.1K	-2.2K	-1.1K	0.26	20.13	22	6	209	199
2018-09-12	$15.18	$15.00	17.6%	5.0%	11.0%	6.2%	17.6%	0.0%	1.7%	3.4K	-2.5K	-1.1K	0.25	47.89	22	6	209	199
2018-09-13	$14.97	$15.00	17.8%	5.1%	12.0%	6.4%	17.8%	0.0%	0.2%	2.7K	-8.3K	-1.0K	0.24	33.75	23	6	200	199
2018-09-14	$15.00	$15.00	12.1%	3.5%	12.1%	0.6%	11.8%	0.0%	8.9%	4.3K	-25.4K	-1.0K	0.24	11.60	23	6	198	199
2018-09-17	$15.09	$15.00	20.0%	5.7%	12.2%	8.7%	25.5%	0.0%	-9.5%	4.8K	-47.5K	-992	0.24	43.72	23	6	198	199
2018-09-18	$14.97	$15.00	17.2%	4.9%	12.6%	5.8%	17.2%	0.0%	1.6%	8.4K	-6.5K	-1.0K	0.20	42.79	28	6	198	199
2018-09-19	$15.09	$15.00	15.9%	4.6%	12.9%	4.5%	11.5%	0.0%	4.0%	4.6K	-38.7K	-974	0.22	32.50	29	6	192	199
2018-09-20	$15.03	$15.00	18.2%	5.2%	12.6%	6.8%	16.8%	0.0%	2.0%	5.1K	-43.5K	-950	0.10	87.69	62	6	193	200
2018-09-21	$15.03	$15.00	18.0%	5.2%	12.5%	6.7%	18.0%	0.0%	-2.5%	-492	-32.0K	-1.0K	0.08	44.03	84	6	215	200
2018-09-24	$14.91	$15.00	13.6%	3.9%	12.8%	2.1%	10.9%	0.0%	7.3%	2.4K	1.8K	-1.0K	0.08	35.54	66	5	213	198
2018-09-25	$14.91	$15.00	16.3%	4.7%	12.6%	4.9%	16.1%	0.0%	1.8%	2.4K	-25.3K	-1.0K	0.15	35.14	34	5	213	198
2018-09-26	$14.91	$15.00	17.3%	5.0%	12.5%	5.9%	17.3%	0.0%	0.3%	2.6K	-3.2K	-1.0K	0.30	29.90	22	7	218	198
2018-09-27	$14.85	$15.00	13.3%	3.8%	12.5%	1.8%	12.5%	0.0%	4.3%	4.3K	-15.7K	-1.0K	0.38	32.26	18	7	225	200
2018-09-28	$14.88	$15.00	14.5%	4.2%	12.5%	3.0%	12.4%	0.0%	4.7%	3.8K	7.3K	-1.0K	0.37	67.29	18	7	226	200