OCSL Options History — December 2018

In December 2018, OCSL traded between $12.36 and $14.34. ATM implied volatility averaged 49.9%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 23.1% (HV 20d: 26.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 8.25.

Notable Days

2018-12-24: Highest Volume — 37 contracts
2018-12-17: Largest IV spike — 53.8% change
2018-12-20: Highest IV Rank — 74.6%
2018-12-20: Largest Expected Move — 24.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.24	$12.36	$14.34	$14.34	$12.87
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	49.9%	30.6%	84.0%	33.8%	51.7%
Expected Move	13.6%	8.2%	24.1%	9.7%	14.8%
HV 20d	26.7%	24.1%	30.8%	24.9%	29.3%
HV 60d	21.3%	19.5%	25.4%	19.9%	25.4%
IV Rank	39.5%	19.6%	74.6%	22.9%	41.4%
IV Percentile	82.9%	50.0%	99.2%	59.9%	89.3%
Term Structure	-13.7%	-40.9%	0.6%	-7.0%	-12.3%
VWIV	63.6%	26.6%	123.1%	119.7%	34.7%
Bid-Ask Spread %	85.55	39.62	139.67	59.43	41.30
Gamma HHI	0.97	0.89	1.00	1.00	0.95
Net GEX	2.3K	-918	9.8K	9.8K	-562
Net DEX	77.1K	11.9K	133.9K	26.1K	101.7K
Net VEX	-377	-638	-177	-638	-280
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.25	0.00	103.00	0.00	0.00
Total Volume	9.65	0	37	2	0
Total OI	367.35	196	430	423	210

Daily Data (20 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
2018-12-03	$14.34	$15.00	33.8%	9.7%	24.9%	22.9%	0.0%	0.0%	-7.0%	9.8K	26.1K	-638	0.00	59.43	2	0	296	127
2018-12-04	$14.25	$15.00	37.4%	10.7%	25.0%	26.6%	119.7%	0.0%	-7.8%	9.0K	31.8K	-632	1.50	80.34	3	4	298	127
2018-12-05	$14.19	$15.00	47.9%	13.7%	24.9%	37.4%	123.1%	0.0%	-8.6%	7.1K	18.9K	-605	1.50	87.59	3	4	298	127
2018-12-06	$13.98	$15.00	48.1%	8.2%	25.3%	37.7%	42.8%	0.0%	0.6%	6.9K	39.9K	-559	0.00	113.95	0	0	298	128
2018-12-07	$13.68	$15.00	51.0%	11.2%	26.4%	40.6%	26.6%	0.0%	-9.4%	5.6K	59.5K	-501	1.63	113.17	3	4	298	128
2018-12-10	$13.65	$15.00	70.0%	23.3%	26.4%	60.3%	0.0%	0.0%	-0.0%	5.9K	11.9K	-563	0.50	139.67	7	3	298	128
2018-12-11	$13.53	$15.00	59.4%	8.8%	24.3%	49.3%	0.0%	0.0%	-4.8%	4.9K	79.6K	-403	0.40	103.07	8	3	299	128
2018-12-12	$13.53	$15.00	31.2%	9.0%	24.1%	20.3%	0.0%	0.0%	-4.9%	4.9K	75.8K	-412	0.48	105.34	8	4	301	128
2018-12-13	$13.23	$15.00	35.7%	10.2%	25.3%	24.9%	34.4%	0.0%	-17.9%	-800	133.9K	-189	0.48	103.73	8	4	301	129
2018-12-14	$12.96	$15.00	30.6%	8.8%	26.3%	19.6%	34.7%	0.0%	-18.2%	-909	112.8K	-253	0.48	94.56	8	4	301	122
2018-12-17	$12.69	$15.00	47.1%	13.5%	27.1%	36.6%	0.0%	0.0%	-20.6%	-682	113.6K	-204	0.00	75.60	0	0	301	121
2018-12-18	$12.78	$15.00	45.8%	13.1%	27.1%	35.3%	0.0%	0.0%	-26.4%	-647	96.6K	-253	0.00	98.23	0	0	301	112
2018-12-19	$12.72	$15.00	59.7%	17.1%	25.9%	49.6%	0.0%	0.0%	-27.3%	-626	89.6K	-277	0.00	109.32	0	0	301	112
2018-12-20	$12.36	$15.00	84.0%	24.1%	27.0%	74.6%	0.0%	0.0%	-30.4%	-493	68.1K	-354	1.00	112.86	0	0	301	112
2018-12-21	$12.63	$15.00	58.8%	16.9%	28.4%	48.7%	0.0%	0.0%	-40.9%	-439	95.0K	-177	103.00	100.15	0	34	300	104
2018-12-24	$12.66	$15.00	54.1%	15.5%	28.5%	43.9%	0.0%	0.0%	-9.3%	-738	95.3K	-297	12.75	39.91	3	34	76	120
2018-12-26	$13.02	$15.00	52.7%	15.1%	29.4%	42.4%	0.0%	0.0%	-9.1%	-918	100.0K	-292	0.00	39.62	6	0	76	120
2018-12-27	$12.66	$15.00	51.5%	14.8%	30.8%	41.1%	0.0%	0.0%	-10.8%	-516	100.5K	-286	0.00	40.05	18	0	90	120
2018-12-28	$13.14	$15.00	46.8%	13.4%	28.7%	36.3%	0.0%	0.0%	-9.5%	-624	91.6K	-364	0.00	53.07	18	0	90	120
2018-12-31	$12.87	$15.00	51.7%	14.8%	29.3%	41.4%	0.0%	0.0%	-12.3%	-562	101.7K	-280	0.00	41.30	0	0	90	120