OCSL Options History — January 2019

In January 2019, OCSL traded between $12.99 and $14.43. ATM implied volatility averaged 29.7%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.7% (HV 20d: 28.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.40.

Notable Days

2019-01-31: Highest Volume — 62 contracts
2019-01-04: Largest IV spike — 59.3% change
2019-01-04: Highest IV Rank — 44.0%
2019-01-02: Largest Expected Move — 15.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.73	$12.99	$14.43	$13.08	$14.43
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	29.7%	19.6%	54.2%	53.0%	19.8%
Expected Move	7.8%	4.7%	15.2%	15.2%	4.7%
HV 20d	28.0%	19.1%	31.5%	30.0%	19.1%
HV 60d	25.9%	25.4%	26.6%	25.6%	25.4%
IV Rank	18.7%	8.3%	44.0%	42.7%	8.5%
IV Percentile	46.4%	24.6%	91.7%	90.9%	25.4%
Term Structure	4.0%	-12.8%	125.8%	-12.8%	1.3%
VWIV	26.5%	21.5%	36.4%	21.5%	21.7%
Bid-Ask Spread %	41.91	22.23	78.17	52.40	48.89
Gamma HHI	0.98	0.93	1.00	0.96	1.00
Net GEX	-41	-872	2.3K	-608	2.3K
Net DEX	81.1K	28.7K	116.7K	97.0K	28.7K
Net VEX	-383	-601	-207	-321	-601
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.00	4.00	0.00	0.94
Total Volume	17.143	0	62	0	62
Total OI	234.286	210	285	210	285

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
2019-01-02	$13.08	$15.00	53.0%	15.2%	30.0%	42.7%	0.0%	0.0%	-12.8%	-608	97.0K	-321	0.00	52.40	0	0	90	120
2019-01-03	$12.99	$15.00	34.0%	9.2%	30.0%	23.2%	0.0%	0.0%	-4.4%	-701	106.7K	-258	0.00	43.38	0	0	90	120
2019-01-04	$13.23	$15.00	54.2%	9.0%	31.1%	44.0%	0.0%	0.0%	-4.0%	-655	97.4K	-319	0.00	41.87	3	0	90	120
2019-01-07	$13.44	$15.00	36.8%	8.4%	31.5%	26.0%	0.0%	0.0%	-3.9%	-686	99.7K	-315	0.00	46.02	0	0	94	120
2019-01-08	$13.62	$15.00	46.1%	7.5%	31.1%	35.5%	0.0%	0.0%	-3.5%	-674	95.3K	-337	0.00	37.06	0	0	94	120
2019-01-09	$13.47	$15.00	23.1%	6.6%	31.3%	11.9%	0.0%	0.0%	-1.3%	-674	101.3K	-314	0.00	33.79	0	0	94	120
2019-01-10	$13.56	$15.00	24.1%	6.9%	31.3%	12.9%	0.0%	0.0%	-4.0%	-673	102.2K	-303	0.00	23.21	0	0	94	120
2019-01-11	$13.44	$15.00	30.8%	8.8%	31.4%	19.9%	0.0%	0.0%	-4.6%	-656	99.2K	-306	0.00	34.35	2	0	94	120
2019-01-14	$13.32	$15.00	23.5%	6.7%	30.5%	12.3%	0.0%	0.0%	-9.2%	-827	116.7K	-207	0.00	28.08	0	0	95	120
2019-01-15	$13.71	$15.00	26.8%	7.7%	31.1%	15.7%	0.0%	0.0%	8.9%	-872	89.9K	-342	0.00	35.04	53	0	95	120
2019-01-16	$13.71	$15.00	24.7%	7.1%	29.8%	13.6%	0.0%	0.0%	-4.8%	74	90.6K	-383	0.00	39.62	53	0	129	120
2019-01-17	$13.86	$15.00	26.1%	7.5%	29.9%	14.9%	0.0%	0.0%	-1.7%	111	78.8K	-423	0.00	30.18	58	0	129	120
2019-01-18	$13.86	$15.00	23.9%	6.9%	29.7%	12.7%	0.0%	0.0%	-1.9%	264	82.3K	-429	0.00	35.58	58	0	134	120
2019-01-22	$13.80	$15.00	25.4%	7.3%	27.3%	14.3%	0.0%	0.0%	0.0%	226	82.8K	-406	0.00	39.00	0	0	124	120
2019-01-23	$13.80	$15.00	28.8%	8.3%	26.7%	17.8%	0.0%	0.0%	-4.7%	240	87.5K	-387	0.00	38.95	7	0	124	120
2019-01-24	$13.98	$15.00	27.8%	8.0%	26.8%	16.7%	0.0%	0.0%	12.2%	290	69.0K	-421	0.00	50.21	7	0	131	120
2019-01-25	$14.31	$15.00	27.3%	7.8%	26.3%	16.2%	0.0%	0.0%	-3.2%	387	48.2K	-493	0.00	45.90	9	0	131	120
2019-01-28	$14.22	$15.00	22.9%	6.6%	23.8%	11.7%	0.0%	0.0%	125.8%	686	48.1K	-476	0.00	78.17	0	0	134	120
2019-01-29	$14.16	$15.00	19.6%	5.6%	20.9%	8.3%	21.5%	0.0%	-5.1%	739	34.8K	-503	4.00	22.23	2	7	134	120
2019-01-30	$14.43	$15.00	25.6%	7.3%	19.4%	14.4%	36.4%	0.0%	0.4%	903	47.7K	-489	0.21	76.16	32	7	135	120
2019-01-31	$14.43	$15.00	19.8%	4.7%	19.1%	8.5%	21.7%	0.0%	1.3%	2.3K	28.7K	-601	0.94	48.89	32	30	165	120