OCSL Options History — August 2019

In August 2019, OCSL traded between $15.15 and $15.87. ATM implied volatility averaged 27.0%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.9% (HV 20d: 19.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 12.14.

Notable Days

2019-08-29: Highest Volume — 67 contracts
2019-08-07: Largest IV drop — 53.3% change
2019-08-06: Highest IV Rank — 66.1%
2019-08-02: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.52	$15.15	$15.87	$15.78	$15.54
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	27.0%	18.5%	62.8%	27.2%	22.5%
Expected Move	6.9%	5.3%	10.9%	7.8%	6.5%
HV 20d	19.2%	9.6%	22.4%	10.0%	21.6%
HV 60d	15.0%	12.5%	15.7%	15.1%	15.3%
IV Rank	19.7%	8.3%	66.1%	20.2%	13.5%
IV Percentile	47.2%	13.9%	98.0%	56.7%	36.5%
Term Structure	20.3%	-12.7%	167.6%	3.0%	-10.4%
VWIV	27.2%	22.4%	30.7%	29.6%	25.9%
Bid-Ask Spread %	85.50	20.56	135.07	27.20	95.72
Gamma HHI	1.00	0.97	1.00	1.00	1.00
Net GEX	-2.5K	-7.2K	-733	-2.0K	-4.6K
Net DEX	-5.3K	-40.9K	60.0K	-30.8K	60.0K
Net VEX	-196	-495	-142	-196	-495
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.14	0.00	60.00	3.33	60.00
Total Volume	6.045	0	67	9	0
Total OI	134.182	80	168	163	168

Daily Data (22 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
2019-08-01	$15.78	$15.00	27.2%	7.8%	10.0%	20.2%	29.6%	0.0%	3.0%	-2.0K	-30.8K	-196	3.33	27.20	2	7	81	82
2019-08-02	$15.84	$15.00	37.9%	10.9%	9.6%	33.9%	0.0%	0.0%	-6.2%	-2.1K	-31.0K	-190	0.00	83.08	0	1	81	82
2019-08-05	$15.42	$0.00	45.3%	10.6%	13.1%	43.5%	0.0%	0.0%	-12.7%	-2.4K	-16.7K	-201	1.00	109.51	0	0	81	83
2019-08-06	$15.45	$0.00	62.8%	10.5%	13.2%	66.1%	0.0%	0.0%	-7.4%	-1.6K	-4.5K	-218	20.00	135.07	0	7	81	84
2019-08-07	$15.87	$0.00	29.3%	6.5%	16.7%	22.9%	0.0%	0.0%	-9.5%	-1.9K	-37.9K	-171	0.00	95.82	7	0	81	86
2019-08-08	$15.87	$0.00	31.1%	6.0%	16.5%	25.2%	0.0%	0.0%	-10.7%	-2.1K	-40.9K	-162	0.00	95.68	0	0	81	86
2019-08-09	$15.48	$0.00	23.9%	5.7%	18.7%	15.9%	0.0%	0.0%	-4.9%	-3.4K	-25.2K	-185	0.00	97.79	3	0	81	86
2019-08-12	$15.15	$0.00	23.2%	6.4%	19.8%	15.0%	22.4%	0.0%	-4.4%	-7.2K	-1.3K	-187	0.67	94.60	1	1	78	86
2019-08-13	$15.39	$15.00	30.8%	5.7%	20.9%	24.8%	0.0%	0.0%	-3.0%	-4.6K	-17.3K	-174	0.00	97.11	0	0	78	87
2019-08-14	$15.24	$15.00	23.2%	6.7%	21.0%	15.0%	0.0%	0.0%	-3.6%	-6.7K	-6.9K	-174	0.00	101.94	0	0	78	87
2019-08-15	$15.45	$15.00	22.3%	6.4%	21.7%	13.8%	0.0%	0.0%	-1.5%	-4.2K	-18.2K	-163	0.00	64.10	0	0	78	87
2019-08-16	$15.42	$15.00	20.6%	5.9%	21.7%	11.6%	0.0%	0.0%	-8.0%	-858	-32.3K	-151	0.00	99.45	0	7	78	87
2019-08-19	$15.60	$15.00	21.7%	6.2%	22.0%	12.4%	0.0%	0.0%	167.6%	-733	1.6K	-150	0.00	77.39	0	0	48	32
2019-08-20	$15.69	$15.00	20.8%	6.0%	22.1%	11.3%	0.0%	0.0%	-7.5%	-902	-1.8K	-146	0.00	76.65	0	0	48	32
2019-08-21	$15.66	$15.00	21.6%	6.2%	22.0%	12.3%	0.0%	0.0%	97.7%	-774	179	-145	0.00	20.56	0	2	48	32
2019-08-22	$15.57	$15.00	20.8%	6.0%	22.1%	11.3%	0.0%	0.0%	142.3%	-755	1.3K	-146	0.00	98.43	0	0	48	32
2019-08-23	$15.54	$15.00	23.9%	6.9%	22.0%	15.3%	30.7%	0.0%	142.2%	-918	1.3K	-142	60.00	99.86	0	20	48	32
2019-08-26	$15.36	$15.00	20.3%	5.8%	22.4%	10.7%	0.0%	0.0%	-3.1%	-1.5K	20.7K	-228	0.00	60.66	0	0	49	52
2019-08-27	$15.30	$15.00	21.4%	6.1%	21.5%	12.0%	0.0%	0.0%	-7.9%	-1.6K	22.2K	-226	0.00	87.50	0	0	49	52
2019-08-28	$15.39	$15.00	25.9%	7.4%	21.6%	17.9%	25.9%	0.0%	-2.9%	-1.5K	21.1K	-226	0.00	101.99	0	8	49	52
2019-08-29	$15.42	$15.00	18.5%	5.3%	21.4%	8.3%	0.0%	0.0%	-1.9%	-1.8K	19.6K	-225	0.00	60.77	0	67	49	52
2019-08-30	$15.54	$15.00	22.5%	6.5%	21.6%	13.5%	0.0%	0.0%	-10.4%	-4.6K	60.0K	-495	0.00	95.72	0	0	49	119