OCSL Options History — October 2019

In October 2019, OCSL traded between $15.09 and $15.57. ATM implied volatility averaged 19.8%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.1% (HV 20d: 14.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2019-10-03: Highest Volume — 30 contracts
  • 2019-10-16: Largest IV spike — 56.4% change
  • 2019-10-03: Highest IV Rank — 35.5%
  • 2019-10-04: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.43$15.09$15.57$15.42$15.51
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV19.8%13.3%40.0%39.5%16.0%
Expected Move5.7%3.8%12.6%11.3%4.6%
HV 20d14.7%12.4%16.5%14.2%12.4%
HV 60d16.4%14.7%16.9%15.6%14.7%
IV Rank8.9%0.3%35.5%34.8%3.9%
IV Percentile19.5%0.4%81.7%81.3%5.6%
Term Structure1.6%-15.7%17.5%-8.7%7.3%
VWIV56.4%28.6%84.3%84.3%28.6%
Bid-Ask Spread %48.4213.76117.4794.6017.06
Gamma HHI0.990.981.001.000.99
Net GEX-7.8K-9.6K-4.7K-5.3K-8.8K
Net DEX91.4K66.3K109.1K66.3K84.4K
Net VEX-525-581-412-417-545
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume3.1303000
Total OI208.13160233160233

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$15.42$0.0039.5%11.3%14.2%34.8%0.0%0.0%-8.7%-5.3K66.3K-4170.0094.600039121
2019-10-02$15.18$0.0026.6%7.6%14.6%17.8%0.0%0.0%-9.3%-4.7K75.3K-4170.00108.980039121
2019-10-03$15.09$15.0040.0%7.1%14.6%35.5%0.0%0.0%-1.6%-4.9K74.5K-4120.0098.2903039121
2019-10-04$15.33$15.0018.1%12.6%15.9%6.6%84.3%0.0%-15.0%-6.1K104.6K-5290.00117.470039157
2019-10-07$15.42$15.0019.6%3.9%16.1%8.6%0.0%0.0%4.1%-8.6K92.9K-5030.0039.590039157
2019-10-08$15.27$15.0021.8%5.1%16.4%11.5%0.0%0.0%-3.3%-8.2K103.1K-5120.0075.940039157
2019-10-09$15.27$15.0013.3%3.8%14.9%0.3%0.0%0.0%13.1%-7.0K93.7K-5090.0070.550039157
2019-10-10$15.54$15.0017.2%4.9%16.0%5.4%0.0%0.0%0.4%-7.5K90.0K-4990.0028.130039157
2019-10-11$15.57$15.0016.4%4.7%16.0%4.4%0.0%0.0%3.6%-7.2K87.0K-4930.0027.2001939157
2019-10-14$15.39$15.0016.2%4.7%16.5%4.2%0.0%0.0%1.7%-8.5K109.1K-5810.0024.120039176
2019-10-15$15.51$15.0015.8%4.5%15.6%3.6%0.0%0.0%4.5%-8.6K100.2K-5670.0026.840039176
2019-10-16$15.51$15.0024.7%7.1%15.2%15.3%0.0%0.0%-15.1%-7.9K104.3K-5700.0070.560039176
2019-10-17$15.48$15.0023.0%6.6%14.7%13.1%0.0%0.0%-15.7%-8.6K105.5K-5720.0069.850039176
2019-10-18$15.57$15.0021.0%6.0%14.7%10.5%0.0%0.0%1.9%-8.0K101.7K-5610.0038.931039177
2019-10-21$15.51$15.0025.0%7.2%14.8%15.7%28.6%0.0%17.5%-7.8K101.0K-5540.0031.7417040177
2019-10-22$15.57$15.0014.9%4.3%14.7%2.4%0.0%0.0%7.8%-9.6K82.7K-5220.0034.760148177
2019-10-23$15.45$15.0013.3%3.8%15.0%0.4%0.0%0.0%11.1%-8.4K89.8K-5530.0017.690048178
2019-10-24$15.48$15.0013.4%3.8%13.6%0.5%0.0%0.0%8.5%-8.4K87.7K-5470.0017.120048178
2019-10-25$15.48$15.0013.7%3.9%13.6%0.9%0.0%0.0%10.0%-8.4K84.7K-5560.0054.840451178
2019-10-28$15.48$15.0014.8%4.3%13.6%2.4%0.0%0.0%7.7%-8.6K87.4K-5600.0016.560051182
2019-10-29$15.39$15.0016.4%4.7%13.3%4.4%0.0%0.0%6.4%-8.3K98.8K-5700.0013.760051182
2019-10-30$15.57$15.0014.9%4.3%12.6%2.5%0.0%0.0%-0.1%-9.2K77.2K-5260.0019.150051182
2019-10-31$15.51$15.0016.0%4.6%12.4%3.9%0.0%0.0%7.3%-8.8K84.4K-5450.0017.060051182