OCSL Options History — March 2019

In March 2019, OCSL traded between $15.36 and $15.66. ATM implied volatility averaged 26.1%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 11.9% (HV 20d: 14.3%). 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 11 of 21 days. Put/call ratio averaged 23.50.

Notable Days

2019-03-13: Highest Volume — 31 contracts
2019-03-20: Largest IV spike — 184.1% change
2019-03-06: Highest IV Rank — 43.2%
2019-03-06: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.54	$15.36	$15.66	$15.48	$15.60
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	26.1%	13.0%	53.4%	29.7%	18.9%
Expected Move	7.0%	4.4%	15.3%	8.5%	5.6%
HV 20d	14.3%	10.8%	18.6%	18.6%	10.8%
HV 60d	21.4%	16.6%	23.8%	23.7%	16.6%
IV Rank	16.3%	1.9%	43.2%	18.7%	9.4%
IV Percentile	39.8%	1.2%	93.3%	54.8%	25.8%
Term Structure	-1.5%	-26.4%	7.7%	-8.2%	-1.9%
VWIV	22.0%	16.6%	24.1%	22.4%	22.5%
Bid-Ask Spread %	68.87	40.73	89.51	75.96	52.81
Gamma HHI	1.00	0.99	1.00	1.00	1.00
Net GEX	5.8K	378	11.3K	3.5K	7.7K
Net DEX	-216.8K	-322.4K	-163.1K	-168.7K	-251.2K
Net VEX	-1.2K	-1.4K	-1.0K	-1.4K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	23.50	0.00	94.00	94.00	0.00
Total Volume	10.238	0	31	0	6
Total OI	505.571	445	581	549	449

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
2019-03-01	$15.48	$15.00	29.7%	8.5%	18.6%	18.7%	0.0%	0.0%	-8.2%	3.5K	-168.7K	-1.4K	0.00	75.96	0	0	331	218
2019-03-04	$15.66	$15.00	31.5%	9.0%	18.6%	20.5%	0.0%	0.0%	-3.8%	4.7K	-194.2K	-1.3K	0.00	40.73	0	0	331	218
2019-03-05	$15.60	$15.00	47.4%	13.6%	18.5%	36.9%	0.0%	0.0%	1.7%	4.1K	-187.1K	-1.3K	0.00	89.51	0	0	331	218
2019-03-06	$15.63	$15.00	53.4%	15.3%	18.5%	43.2%	0.0%	0.0%	2.7%	4.8K	-181.3K	-1.3K	0.00	63.31	0	8	331	218
2019-03-07	$15.60	$15.00	40.3%	11.5%	18.6%	29.6%	0.0%	0.0%	0.3%	3.1K	-185.3K	-1.3K	0.00	75.08	0	8	331	219
2019-03-08	$15.45	$15.00	30.7%	8.8%	18.1%	19.7%	22.4%	0.0%	-2.1%	378	-163.1K	-1.3K	0.00	74.01	0	8	331	219
2019-03-11	$15.66	$15.00	38.7%	5.4%	13.1%	28.0%	0.0%	0.0%	0.5%	1.4K	-216.8K	-1.2K	0.00	78.76	0	0	331	219
2019-03-12	$15.66	$15.00	17.1%	6.0%	13.1%	5.7%	0.0%	0.0%	-1.2%	5.4K	-191.8K	-1.2K	0.00	43.58	0	0	331	219
2019-03-13	$15.63	$15.00	17.3%	5.5%	13.1%	5.9%	23.3%	0.0%	5.0%	1.6K	-171.0K	-1.2K	94.00	58.47	0	31	331	250
2019-03-14	$15.57	$15.00	14.4%	4.4%	13.1%	3.6%	16.6%	0.0%	-2.1%	8.1K	-322.4K	-1.0K	94.00	51.23	0	31	331	250
2019-03-15	$15.45	$15.00	13.0%	5.8%	13.2%	1.9%	24.1%	0.0%	7.1%	5.6K	-270.2K	-1.1K	94.00	81.86	0	31	331	250
2019-03-18	$15.63	$15.00	17.4%	4.8%	14.0%	7.5%	0.0%	0.0%	3.2%	6.8K	-247.2K	-1.1K	0.00	81.62	0	0	296	149
2019-03-19	$15.60	$15.00	15.4%	5.0%	13.7%	4.9%	20.1%	0.0%	0.4%	7.5K	-252.8K	-1.1K	0.00	75.94	23	0	296	149
2019-03-20	$15.42	$15.00	43.6%	4.8%	14.3%	41.4%	19.5%	0.0%	-26.4%	11.3K	-229.3K	-1.1K	0.01	63.56	23	0	299	149
2019-03-21	$15.45	$15.00	14.5%	5.1%	14.2%	3.8%	21.8%	0.0%	7.7%	6.9K	-225.0K	-1.1K	0.01	83.64	23	0	299	149
2019-03-22	$15.42	$15.00	30.3%	5.3%	11.2%	24.2%	23.0%	0.0%	-22.7%	8.8K	-212.7K	-1.1K	0.01	80.44	23	0	299	149
2019-03-25	$15.36	$15.00	19.4%	5.2%	11.2%	10.1%	22.3%	0.0%	-1.4%	7.9K	-204.4K	-1.1K	0.00	79.58	0	0	299	149
2019-03-26	$15.42	$15.00	20.6%	5.5%	11.0%	11.7%	24.0%	0.0%	-1.1%	7.5K	-215.9K	-1.1K	0.00	56.11	0	0	300	149
2019-03-27	$15.45	$15.00	16.4%	5.4%	11.0%	6.2%	23.3%	0.0%	7.3%	7.0K	-224.4K	-1.1K	0.00	85.95	0	0	300	149
2019-03-28	$15.57	$15.00	18.8%	5.6%	11.4%	9.3%	23.4%	0.0%	4.4%	7.5K	-238.4K	-1.0K	0.00	54.17	0	0	300	149
2019-03-29	$15.60	$15.00	18.9%	5.6%	10.8%	9.4%	22.5%	0.0%	-1.9%	7.7K	-251.2K	-1.0K	0.00	52.81	6	0	300	149