OCSL Options History — February 2019

In February 2019, OCSL traded between $14.58 and $15.87. ATM implied volatility averaged 23.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.4% (HV 20d: 18.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.30.

Notable Days

2019-02-08: Highest Volume — 171 contracts
2019-02-07: Largest IV drop — 39.3% change
2019-02-06: Highest IV Rank — 20.2%
2019-02-06: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.47	$14.58	$15.87	$14.58	$15.63
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	23.8%	18.9%	31.1%	21.4%	27.8%
Expected Move	6.6%	4.8%	8.9%	5.5%	8.0%
HV 20d	18.4%	17.2%	20.4%	18.7%	18.0%
HV 60d	25.4%	23.7%	25.9%	25.5%	23.7%
IV Rank	12.6%	7.6%	20.2%	10.1%	16.7%
IV Percentile	37.2%	22.2%	54.4%	29.0%	51.6%
Term Structure	-7.8%	-23.3%	4.8%	-2.9%	-13.6%
VWIV	27.5%	16.6%	40.9%	22.3%	29.0%
Bid-Ask Spread %	64.48	21.14	132.24	81.89	31.23
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	5.0K	1.8K	11.5K	1.8K	5.1K
Net DEX	-194.6K	-364.7K	29.8K	29.8K	-194.8K
Net VEX	-1.2K	-1.5K	-701	-701	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	1.80	1.80	0.00
Total Volume	27.368	0	171	47	0
Total OI	510.158	307	646	307	549

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
2019-02-01	$14.58	$15.00	21.4%	5.5%	18.7%	10.1%	22.3%	0.0%	-2.9%	1.8K	29.8K	-701	1.80	81.89	17	30	167	140
2019-02-04	$14.76	$15.00	21.2%	5.3%	18.2%	10.0%	0.0%	0.0%	-0.2%	5.2K	-4.6K	-803	0.00	132.24	0	0	209	140
2019-02-05	$14.82	$15.00	27.7%	4.8%	17.8%	16.6%	16.6%	0.0%	-4.2%	4.7K	-13.7K	-823	0.00	106.97	10	0	210	140
2019-02-06	$14.88	$15.00	31.1%	8.9%	17.5%	20.2%	28.1%	0.0%	-16.2%	4.8K	-33.4K	-839	0.00	77.85	1	0	210	140
2019-02-07	$15.15	$15.00	18.9%	5.4%	17.2%	7.6%	17.0%	0.0%	2.8%	5.0K	-76.5K	-854	0.01	114.41	163	1	209	140
2019-02-08	$15.72	$15.00	21.2%	6.1%	20.4%	10.0%	21.7%	0.0%	4.8%	9.9K	-301.7K	-1.2K	1.49	104.04	69	102	340	141
2019-02-11	$15.69	$15.00	22.4%	6.4%	19.8%	11.2%	31.5%	0.0%	-6.6%	11.5K	-364.7K	-1.3K	0.00	69.61	7	0	406	141
2019-02-12	$15.66	$15.00	23.2%	6.7%	19.2%	12.0%	33.2%	0.0%	-12.2%	7.3K	-326.0K	-1.5K	0.00	22.13	3	0	411	234
2019-02-13	$15.72	$15.00	24.9%	7.1%	17.6%	13.7%	35.7%	0.0%	-13.7%	8.4K	-324.6K	-1.5K	0.03	29.44	21	1	411	234
2019-02-14	$15.78	$15.00	20.6%	5.9%	17.4%	9.3%	26.2%	0.0%	-4.0%	5.3K	-354.0K	-1.4K	0.04	105.42	31	1	411	235
2019-02-15	$15.78	$15.00	20.9%	6.0%	17.5%	9.7%	20.9%	0.0%	-4.0%	3.3K	-349.2K	-1.4K	0.80	78.09	22	18	411	235
2019-02-19	$15.66	$15.00	24.0%	6.9%	18.1%	12.9%	33.1%	0.0%	-13.2%	4.1K	-189.8K	-1.5K	0.00	21.14	7	0	325	216
2019-02-20	$15.60	$15.00	21.3%	6.1%	18.1%	10.1%	28.2%	0.0%	-7.3%	1.8K	-184.7K	-1.5K	0.00	73.89	7	0	331	216
2019-02-21	$15.51	$15.00	27.3%	7.8%	18.4%	16.2%	40.9%	0.0%	-15.9%	5.1K	-164.1K	-1.5K	0.00	33.88	7	0	331	216
2019-02-22	$15.87	$15.00	23.7%	6.8%	19.3%	12.6%	29.0%	0.0%	-11.3%	4.0K	-233.4K	-1.4K	0.00	29.37	2	0	331	216
2019-02-25	$15.81	$15.00	23.2%	6.6%	18.5%	12.0%	0.0%	0.0%	-4.2%	2.4K	-234.8K	-1.4K	0.00	37.07	0	0	331	218
2019-02-26	$15.66	$15.00	21.7%	6.2%	18.8%	10.5%	0.0%	0.0%	-3.6%	1.9K	-206.0K	-1.4K	0.00	40.56	0	0	331	218
2019-02-27	$15.63	$15.00	29.8%	8.6%	18.7%	18.8%	0.0%	0.0%	-23.3%	4.2K	-171.3K	-1.4K	0.00	35.81	0	0	331	218
2019-02-28	$15.63	$15.00	27.8%	8.0%	18.0%	16.7%	0.0%	0.0%	-13.6%	5.1K	-194.8K	-1.4K	0.00	31.23	0	0	331	218