OCSL Options History — June 2019

In June 2019, OCSL traded between $16.02 and $16.47. ATM implied volatility averaged 27.7%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 13.0% (HV 20d: 14.7%). 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 0.10.

Notable Days

2019-06-28: Highest Volume — 14 contracts
2019-06-12: Largest IV drop — 53.6% change
2019-06-11: Highest IV Rank — 52.1%
2019-06-04: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.26	$16.02	$16.47	$16.14	$16.23
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	27.7%	18.8%	52.0%	31.2%	24.4%
Expected Move	7.0%	5.4%	10.3%	9.0%	7.0%
HV 20d	14.7%	11.8%	21.1%	21.0%	11.8%
HV 60d	14.9%	14.5%	15.3%	15.0%	15.3%
IV Rank	20.8%	9.3%	52.1%	25.4%	16.6%
IV Percentile	51.6%	23.0%	93.3%	68.3%	46.4%
Term Structure	-9.0%	-32.2%	2.6%	-20.2%	-10.7%
Bid-Ask Spread %	43.78	16.76	100.55	79.07	18.31
Gamma HHI	0.99	0.98	1.00	0.98	0.99
Net GEX	-40	-1.6K	2.2K	1.6K	-1.2K
Net DEX	-66.1K	-134.1K	-22.0K	-89.8K	-36.4K
Net VEX	-272	-465	-154	-465	-170
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.44	0.00	0.14
Total Volume	1.35	0	14	0	14
Total OI	164.75	132	210	210	133

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
2019-06-03	$16.14	$15.00	31.2%	9.0%	21.0%	25.4%	0.0%	0.0%	-20.2%	1.6K	-89.8K	-465	0.00	79.07	0	0	144	66
2019-06-04	$16.26	$15.00	35.9%	10.3%	21.1%	31.4%	0.0%	0.0%	-25.7%	1.8K	-101.1K	-450	0.00	19.38	0	0	144	66
2019-06-05	$16.26	$15.00	27.2%	7.8%	21.1%	20.1%	0.0%	0.0%	-7.3%	1.8K	-100.6K	-447	0.00	19.24	0	0	144	66
2019-06-06	$16.32	$0.00	30.8%	7.0%	15.1%	24.8%	0.0%	0.0%	2.6%	1.6K	-106.2K	-431	0.00	98.68	0	2	144	66
2019-06-07	$16.32	$0.00	32.2%	5.9%	15.1%	26.6%	0.0%	0.0%	-5.8%	2.1K	-126.4K	-348	0.00	18.40	0	2	144	64
2019-06-10	$16.47	$0.00	43.6%	5.8%	15.4%	41.3%	0.0%	0.0%	-6.6%	1.8K	-134.1K	-323	0.00	78.16	0	0	144	64
2019-06-11	$16.38	$0.00	52.0%	7.5%	15.5%	52.1%	0.0%	0.0%	-10.6%	1.7K	-107.4K	-418	0.00	22.06	0	0	144	64
2019-06-12	$16.32	$0.00	24.1%	6.9%	15.5%	16.2%	0.0%	0.0%	-10.8%	2.2K	-126.8K	-338	0.00	22.29	1	0	144	64
2019-06-13	$16.20	$0.00	18.8%	5.4%	15.2%	9.3%	0.0%	0.0%	-2.9%	-1.4K	-34.1K	-209	0.00	18.02	1	0	74	64
2019-06-14	$16.41	$0.00	19.7%	5.6%	12.9%	10.5%	0.0%	0.0%	-2.9%	-1.1K	-39.6K	-188	0.44	80.51	3	1	74	64
2019-06-17	$16.44	$0.00	20.3%	5.8%	12.6%	11.3%	0.0%	0.0%	-6.8%	-915	-44.0K	-154	0.00	16.84	0	0	74	63
2019-06-18	$16.26	$0.00	22.2%	6.4%	12.9%	13.7%	0.0%	0.0%	-8.2%	-1.3K	-37.8K	-191	0.00	16.76	0	0	74	63
2019-06-19	$16.20	$0.00	28.3%	8.1%	12.8%	21.5%	0.0%	0.0%	-4.1%	-1.5K	-38.8K	-175	0.00	100.55	0	0	74	63
2019-06-20	$16.11	$0.00	19.3%	5.5%	12.8%	9.9%	0.0%	0.0%	-3.5%	-1.4K	-35.1K	-195	0.00	86.70	0	1	74	63
2019-06-21	$16.29	$0.00	20.6%	5.9%	12.6%	11.6%	0.0%	0.0%	-7.5%	-1.1K	-40.1K	-165	0.00	18.31	0	1	74	63
2019-06-24	$16.14	$0.00	23.2%	6.6%	12.7%	14.9%	0.0%	0.0%	-0.1%	-1.3K	-22.0K	-231	0.00	80.61	0	0	72	60
2019-06-25	$16.02	$0.00	22.0%	6.3%	12.8%	13.4%	0.0%	0.0%	-5.7%	-1.6K	-29.1K	-203	0.00	26.68	0	0	72	60
2019-06-26	$16.20	$0.00	23.6%	6.8%	12.9%	15.5%	0.0%	0.0%	-10.0%	-1.3K	-36.6K	-171	0.00	24.68	1	0	72	60
2019-06-27	$16.14	$0.00	35.3%	10.1%	11.8%	30.6%	0.0%	0.0%	-32.2%	-1.4K	-36.2K	-175	0.00	30.31	0	0	73	60
2019-06-28	$16.23	$0.00	24.4%	7.0%	11.8%	16.6%	0.0%	0.0%	-10.7%	-1.2K	-36.4K	-170	0.14	18.31	12	2	73	60