OCSL Options History — September 2019 In September 2019, OCSL traded between $15.36 and $15.96. ATM implied volatility averaged 23.8%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 9.9% (HV 20d: 13.9%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-09-19 : Highest Volume — 1 contracts2019-09-13 : Largest IV spike — 123.6% change2019-09-13 : Highest IV Rank — 47.4%2019-09-13 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $15.63 $15.36 $15.96 $15.54 $15.57 Max Pain $19.50 $15.00 $22.50 $15.00 $22.50 ATM IV 23.8% 14.5% 48.6% 25.1% 20.4% Expected Move 6.2% 4.2% 13.9% 7.2% 5.8% HV 20d 13.9% 11.3% 19.5% 19.3% 13.7% HV 60d 15.4% 14.9% 15.9% 15.3% 15.5% IV Rank 14.6% 2.0% 47.4% 16.9% 9.6% IV Percentile 34.8% 2.4% 90.1% 47.6% 19.8% Term Structure -3.5% -16.4% 11.3% -13.7% -1.2% Bid-Ask Spread % 71.53 20.64 134.93 94.85 88.36 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -5.3K -6.6K -4.6K -4.6K -6.0K Net DEX 56.6K 45.1K 66.9K 65.9K 58.0K Net VEX -443 -503 -399 -503 -407 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.1 0 1 0 0 Total OI 163.3 158 170 170 160
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 2019-09-03 $15.54 $15.00 25.1% 7.2% 19.3% 16.9% 0.0% 0.0% -13.7% -4.6K 65.9K -503 0.00 94.85 0 0 49 121 2019-09-04 $15.69 $15.00 26.1% 7.5% 19.5% 18.1% 0.0% 0.0% -16.4% -4.9K 56.1K -491 0.00 50.81 0 0 49 121 2019-09-05 $15.72 $0.00 26.3% 6.0% 17.0% 18.4% 0.0% 0.0% -10.0% -4.6K 53.5K -488 0.00 34.11 0 0 49 121 2019-09-06 $15.66 $0.00 24.9% 4.6% 17.0% 16.7% 0.0% 0.0% -2.3% -5.0K 57.1K -488 0.00 20.64 0 0 49 121 2019-09-09 $15.69 $0.00 27.3% 5.4% 14.4% 19.7% 0.0% 0.0% -3.5% -4.9K 58.4K -487 0.00 93.43 0 0 49 121 2019-09-10 $15.69 $0.00 37.4% 5.4% 11.8% 32.8% 0.0% 0.0% -3.7% -4.7K 56.4K -483 0.00 93.43 0 0 49 121 2019-09-11 $15.96 $0.00 23.1% 6.6% 12.0% 14.3% 0.0% 0.0% -11.8% -4.8K 46.7K -467 0.00 97.28 0 0 49 121 2019-09-12 $15.78 $0.00 21.8% 6.2% 12.2% 12.5% 0.0% 0.0% -2.9% -6.6K 45.1K -415 0.00 61.10 0 0 39 121 2019-09-13 $15.81 $0.00 48.6% 13.9% 11.4% 47.4% 0.0% 0.0% -12.3% -5.6K 50.9K -436 0.00 134.93 0 0 39 121 2019-09-16 $15.81 $0.00 22.9% 6.6% 11.3% 14.0% 0.0% 0.0% -3.5% -5.0K 46.4K -411 0.00 106.69 0 0 39 121 2019-09-17 $15.54 $0.00 27.4% 7.9% 12.4% 18.9% 0.0% 0.0% -11.0% -5.8K 57.2K -432 0.00 31.76 0 0 39 121 2019-09-18 $15.69 $22.50 22.0% 6.3% 12.7% 11.8% 0.0% 0.0% -3.4% -5.5K 51.0K -412 0.00 37.86 0 0 39 122 2019-09-19 $15.51 $22.50 20.9% 6.0% 13.3% 10.3% 0.0% 0.0% 11.3% -5.3K 64.0K -434 0.00 106.15 0 1 39 122 2019-09-20 $15.45 $22.50 14.5% 4.2% 13.3% 2.0% 0.0% 0.0% 5.0% -5.5K 62.0K -424 0.00 63.22 0 1 39 122 2019-09-23 $15.45 $0.00 17.9% 5.1% 13.2% 6.4% 0.0% 0.0% -0.3% -5.9K 62.1K -419 0.00 70.63 0 0 38 120 2019-09-24 $15.36 $0.00 16.2% 4.6% 12.7% 4.1% 0.0% 0.0% 1.6% -5.7K 66.0K -425 0.00 69.09 0 0 38 120 2019-09-25 $15.36 $0.00 16.5% 4.7% 12.6% 4.6% 0.0% 0.0% 2.3% -5.6K 66.9K -424 0.00 31.93 0 0 39 120 2019-09-26 $15.63 $0.00 18.0% 5.2% 13.9% 6.5% 0.0% 0.0% 1.1% -5.8K 51.3K -399 0.00 82.23 0 0 39 120 2019-09-27 $15.60 $0.00 18.6% 5.3% 14.0% 7.3% 0.0% 0.0% 4.7% -5.3K 56.8K -413 0.00 62.15 0 0 39 120 2019-09-30 $15.57 $0.00 20.4% 5.8% 13.7% 9.6% 0.0% 0.0% -1.2% -6.0K 58.0K -407 0.00 88.36 0 0 39 121
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