OCSL Options History — October 2018

In October 2018, OCSL traded between $13.20 and $14.91. ATM implied volatility averaged 25.8%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 12.8% (HV 20d: 13.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.76.

Notable Days

2018-10-29: Highest Volume — 254 contracts
2018-10-17: Largest IV spike — 83.0% change
2018-10-29: Highest IV Rank — 36.0%
2018-10-29: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.08	$13.20	$14.91	$14.88	$13.77
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	25.8%	15.2%	46.5%	15.7%	30.6%
Expected Move	7.4%	4.4%	13.3%	4.5%	8.8%
HV 20d	13.0%	9.6%	19.4%	12.6%	19.4%
HV 60d	12.9%	11.9%	14.1%	12.1%	14.1%
IV Rank	14.7%	3.8%	36.0%	4.2%	19.6%
IV Percentile	38.4%	6.2%	87.7%	7.9%	51.6%
Term Structure	3.6%	-8.2%	34.5%	2.6%	17.3%
VWIV	32.3%	13.8%	68.2%	13.8%	37.6%
Bid-Ask Spread %	41.80	20.12	78.79	32.83	27.76
Gamma HHI	1.00	0.99	1.00	1.00	1.00
Net GEX	3.3K	-1.3K	13.2K	3.8K	10.9K
Net DEX	56.9K	-88.1K	200.5K	-812	-47.8K
Net VEX	-663	-1.0K	-255	-1.0K	-699
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.08	1.59	0.41	0.84
Total Volume	41.783	25	254	25	43
Total OI	385.261	256	479	427	479

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
2018-10-01	$14.88	$15.00	15.7%	4.5%	12.6%	4.2%	13.8%	0.0%	2.6%	3.8K	-812	-1.0K	0.41	32.83	18	7	227	200
2018-10-02	$14.88	$15.00	16.1%	4.6%	12.3%	4.7%	14.2%	0.0%	4.1%	3.7K	9.6K	-1.0K	0.41	34.53	18	7	227	201
2018-10-03	$14.91	$15.00	17.3%	4.9%	12.4%	5.9%	14.2%	0.0%	8.4%	3.5K	-22.7K	-1.0K	0.41	36.13	18	7	227	201
2018-10-04	$14.82	$15.00	15.2%	5.2%	12.5%	3.8%	18.0%	0.0%	2.3%	4.8K	13.7K	-986	0.42	50.56	18	7	227	201
2018-10-05	$14.73	$15.00	22.1%	5.6%	10.5%	10.9%	19.5%	0.0%	-3.0%	3.0K	29.5K	-963	0.42	54.41	18	7	227	201
2018-10-08	$14.58	$15.00	16.2%	5.5%	10.3%	4.8%	19.1%	0.0%	-2.2%	3.0K	74.0K	-877	0.42	25.86	18	7	227	201
2018-10-09	$14.73	$15.00	18.2%	4.9%	9.6%	6.9%	15.9%	0.0%	-7.2%	4.0K	59.6K	-883	0.42	37.15	18	7	227	201
2018-10-10	$14.49	$15.00	17.1%	4.9%	11.0%	5.7%	15.3%	0.0%	-6.8%	1.8K	65.3K	-861	0.43	30.74	18	8	227	201
2018-10-11	$14.25	$15.00	21.1%	6.1%	11.4%	9.9%	21.2%	0.0%	-8.2%	1.3K	79.4K	-788	0.52	74.53	23	12	227	201
2018-10-12	$14.04	$15.00	31.1%	8.9%	12.1%	20.1%	48.8%	0.0%	-0.0%	457	134.5K	-730	0.52	78.79	23	12	221	211
2018-10-15	$13.92	$15.00	25.1%	7.2%	11.7%	14.0%	35.2%	0.0%	5.0%	221	166.6K	-597	0.52	49.67	23	12	221	211
2018-10-16	$13.95	$15.00	15.5%	4.4%	11.8%	4.0%	16.0%	0.0%	4.2%	197	200.5K	-495	0.52	20.12	23	12	221	211
2018-10-17	$13.92	$15.00	28.3%	8.1%	11.0%	17.3%	41.2%	0.0%	8.7%	-1.3K	165.3K	-622	0.55	43.61	22	12	221	211
2018-10-18	$13.89	$15.00	28.7%	8.2%	11.0%	17.6%	41.3%	0.0%	-4.3%	3.3K	65.2K	-460	1.07	53.65	20	21	221	110
2018-10-19	$13.68	$15.00	22.6%	6.5%	11.6%	11.4%	26.7%	0.0%	-5.5%	2.5K	99.9K	-356	1.07	25.52	20	21	221	123
2018-10-22	$13.71	$15.00	35.1%	10.1%	11.8%	24.3%	51.1%	0.0%	0.0%	2.6K	76.8K	-392	1.59	43.83	12	20	182	119
2018-10-23	$13.65	$15.00	27.0%	7.7%	11.7%	15.9%	33.7%	0.0%	34.5%	2.5K	83.0K	-381	1.48	34.63	13	20	182	119
2018-10-24	$13.20	$15.00	29.6%	8.5%	15.5%	18.6%	33.9%	0.0%	-3.0%	1.9K	63.7K	-329	1.51	21.19	13	20	182	97
2018-10-25	$13.29	$15.00	31.3%	9.0%	16.1%	20.3%	37.7%	0.0%	-3.1%	2.8K	44.8K	-255	1.51	25.33	13	20	183	73
2018-10-26	$13.26	$15.00	41.3%	11.9%	15.9%	30.7%	57.6%	0.0%	-3.6%	3.1K	28.1K	-337	1.51	39.31	13	20	183	73
2018-10-29	$13.50	$15.00	46.5%	13.3%	17.9%	36.0%	68.2%	0.0%	30.9%	3.8K	7.5K	-394	0.08	73.62	234	20	183	73
2018-10-30	$13.71	$15.00	42.7%	12.2%	19.3%	32.1%	62.0%	0.0%	8.9%	13.2K	-88.1K	-821	0.84	47.74	23	20	406	73
2018-10-31	$13.77	$15.00	30.6%	8.8%	19.4%	19.6%	37.6%	0.0%	17.3%	10.9K	-47.8K	-699	0.84	27.76	23	20	406	73