OCSL Options History — November 2018

In November 2018, OCSL traded between $13.23 and $14.28. ATM implied volatility averaged 42.8%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 21.0% (HV 20d: 21.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.23.

Notable Days

2018-11-07: Highest Volume — 64 contracts
2018-11-14: Largest IV drop — 58.4% change
2018-11-13: Highest IV Rank — 79.9%
2018-11-27: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.72	$13.23	$14.28	$14.01	$14.25
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	42.8%	31.3%	89.1%	40.5%	33.6%
Expected Move	10.4%	6.0%	13.5%	11.6%	9.6%
HV 20d	21.8%	19.6%	26.3%	20.8%	25.7%
HV 60d	16.4%	14.5%	20.2%	14.5%	20.2%
IV Rank	32.2%	20.3%	79.9%	29.9%	22.7%
IV Percentile	74.8%	50.8%	99.6%	77.4%	58.3%
Term Structure	-0.6%	-8.1%	25.0%	12.3%	-6.3%
VWIV	46.7%	24.1%	71.7%	60.1%	49.3%
Bid-Ask Spread %	63.56	18.57	107.18	39.76	49.44
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	8.3K	3.6K	14.7K	12.7K	8.5K
Net DEX	-13.0K	-110.7K	51.8K	-99.0K	19.4K
Net VEX	-599	-829	-374	-809	-690
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.23	0.81	4.10	0.84	3.88
Total Volume	40.333	20	64	43	54
Total OI	447.762	379	505	479	416

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
2018-11-01	$14.01	$15.00	40.5%	11.6%	20.8%	29.9%	60.1%	0.0%	12.3%	12.7K	-99.0K	-809	0.84	39.76	23	20	406	73
2018-11-02	$13.77	$15.00	36.6%	10.5%	21.4%	25.8%	48.2%	0.0%	-0.8%	12.5K	-83.3K	-733	0.81	67.06	24	20	406	73
2018-11-05	$13.86	$15.00	38.0%	12.4%	21.5%	27.2%	24.1%	0.0%	-8.1%	11.7K	-91.7K	-789	0.81	107.18	24	20	408	73
2018-11-06	$13.98	$15.00	49.4%	12.1%	21.4%	39.0%	36.0%	0.0%	-7.9%	12.7K	-110.7K	-819	1.08	94.26	24	26	408	73
2018-11-07	$14.10	$15.00	40.0%	11.1%	21.1%	29.3%	33.6%	0.0%	-7.7%	14.2K	-86.2K	-777	1.63	93.37	24	40	408	80
2018-11-08	$14.04	$15.00	55.7%	10.3%	20.3%	45.4%	39.9%	0.0%	-4.1%	14.7K	-66.7K	-829	3.22	97.61	12	40	408	97
2018-11-09	$14.04	$15.00	49.6%	7.3%	19.6%	39.2%	30.1%	0.0%	-3.8%	14.7K	-31.9K	-729	3.22	88.92	12	40	408	97
2018-11-12	$13.62	$15.00	57.7%	6.0%	22.2%	47.5%	24.2%	0.0%	-2.9%	3.6K	-37.1K	-650	3.22	18.57	12	40	408	97
2018-11-13	$13.50	$15.00	89.1%	10.5%	22.4%	79.9%	54.3%	0.0%	-3.4%	5.5K	15.1K	-580	3.22	67.33	12	40	408	97
2018-11-14	$13.44	$15.00	37.1%	10.6%	22.4%	26.3%	54.3%	0.0%	-3.6%	5.3K	24.8K	-535	4.10	37.99	10	40	408	97
2018-11-15	$13.44	$15.00	33.0%	9.4%	22.4%	22.1%	45.8%	0.0%	-3.8%	5.2K	36.7K	-492	4.10	37.77	10	40	408	97
2018-11-16	$13.47	$15.00	33.6%	9.6%	21.8%	22.7%	47.0%	0.0%	-3.9%	5.4K	37.3K	-475	4.10	29.62	10	40	408	97
2018-11-19	$13.56	$15.00	40.4%	11.6%	22.0%	29.7%	60.4%	0.0%	25.0%	5.8K	13.4K	-525	2.14	70.46	7	16	285	94
2018-11-20	$13.23	$15.00	31.3%	9.0%	23.6%	20.3%	38.9%	0.0%	-1.5%	4.0K	51.8K	-374	2.14	43.80	7	16	285	94
2018-11-21	$13.38	$15.00	35.6%	10.2%	20.7%	24.8%	48.5%	0.0%	2.8%	4.9K	40.1K	-415	1.62	65.75	10	16	285	94
2018-11-23	$13.44	$15.00	37.3%	10.7%	20.6%	26.5%	51.7%	0.0%	6.6%	5.2K	30.7K	-464	1.62	49.02	10	16	287	94
2018-11-26	$13.38	$15.00	44.6%	12.8%	20.7%	34.1%	64.3%	0.0%	-2.7%	5.1K	34.0K	-413	1.62	63.64	10	16	287	94
2018-11-27	$13.65	$15.00	47.2%	13.5%	20.9%	36.7%	71.7%	0.0%	-7.3%	6.1K	11.1K	-488	1.62	61.23	10	16	287	94
2018-11-28	$13.62	$15.00	33.7%	9.7%	20.2%	22.8%	43.9%	0.0%	-2.8%	5.7K	32.9K	-438	1.00	71.25	10	10	287	94
2018-11-29	$14.28	$15.00	35.7%	10.2%	26.3%	24.9%	54.2%	0.0%	11.2%	9.8K	-14.1K	-564	0.94	80.76	10	10	288	95
2018-11-30	$14.25	$15.00	33.6%	9.6%	25.7%	22.7%	49.3%	0.0%	-6.3%	8.5K	19.4K	-690	3.88	49.44	11	43	289	127