OCSL Options History — November 2019

In November 2019, OCSL traded between $15.45 and $15.93. ATM implied volatility averaged 23.4%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 13.0% (HV 20d: 10.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.51.

Notable Days

2019-11-04: Highest Volume — 33 contracts
2019-11-12: Largest IV spike — 98.0% change
2019-11-12: Highest IV Rank — 72.2%
2019-11-06: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.72	$15.45	$15.93	$15.51	$15.81
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	23.4%	13.7%	68.0%	16.6%	20.8%
Expected Move	5.6%	3.9%	8.3%	4.8%	6.0%
HV 20d	10.4%	9.0%	11.6%	11.2%	9.9%
HV 60d	12.8%	12.4%	14.7%	14.7%	12.5%
IV Rank	13.8%	0.9%	72.2%	4.7%	10.9%
IV Percentile	31.1%	1.6%	98.4%	8.3%	29.8%
Term Structure	1.0%	-26.7%	124.4%	8.8%	-10.3%
VWIV	22.3%	22.3%	22.3%	22.3%	22.3%
Bid-Ask Spread %	35.34	11.30	85.12	18.07	61.80
Gamma HHI	0.99	0.97	1.00	0.99	1.00
Net GEX	-10.2K	-14.8K	-6.4K	-8.7K	-14.1K
Net DEX	112.7K	75.0K	142.2K	85.2K	104.8K
Net VEX	-442	-550	-182	-541	-355
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.06	1.31	0.17	1.31
Total Volume	3.15	0	33	0	1
Total OI	239.65	197	273	233	218

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
2019-11-01	$15.51	$15.00	16.6%	4.8%	11.2%	4.7%	0.0%	0.0%	8.8%	-8.7K	85.2K	-541	0.00	18.07	0	0	51	182
2019-11-04	$15.63	$15.00	21.4%	6.4%	11.3%	11.0%	0.0%	0.0%	-11.0%	-9.4K	75.0K	-515	0.00	24.98	0	33	51	182
2019-11-05	$15.45	$15.00	24.4%	7.8%	11.6%	15.0%	0.0%	0.0%	-6.0%	-8.6K	142.2K	-550	0.00	78.79	0	2	51	216
2019-11-06	$15.51	$15.00	25.2%	8.3%	11.6%	15.9%	0.0%	0.0%	-7.0%	-9.0K	141.0K	-541	0.00	85.12	0	0	51	217
2019-11-07	$15.63	$15.00	29.9%	6.6%	10.2%	22.2%	0.0%	0.0%	0.1%	-9.7K	131.1K	-524	0.00	49.94	0	0	51	217
2019-11-08	$15.69	$15.00	36.1%	5.4%	10.2%	30.4%	0.0%	0.0%	4.7%	-9.3K	129.6K	-515	0.00	38.20	0	0	51	217
2019-11-11	$15.69	$15.00	34.3%	6.7%	9.2%	28.0%	0.0%	0.0%	-11.0%	-10.1K	121.5K	-478	0.00	12.78	0	0	51	217
2019-11-12	$15.78	$15.00	68.0%	5.7%	9.0%	72.2%	22.3%	0.0%	-8.9%	-13.1K	108.5K	-422	0.17	77.37	4	1	51	217
2019-11-13	$15.78	$15.00	17.9%	5.1%	9.0%	6.5%	0.0%	0.0%	-4.9%	-12.6K	96.0K	-412	0.00	12.34	0	0	55	218
2019-11-14	$15.93	$15.00	17.5%	5.0%	9.5%	6.3%	0.0%	0.0%	-8.2%	-13.4K	77.8K	-316	0.00	12.16	0	0	55	218
2019-11-15	$15.78	$15.00	18.4%	5.3%	10.1%	7.6%	0.0%	0.0%	2.9%	-7.6K	106.6K	-462	0.06	12.34	6	0	55	218
2019-11-18	$15.93	$15.00	18.6%	5.3%	10.4%	7.8%	0.0%	0.0%	124.4%	-8.0K	124.7K	-432	0.00	11.30	0	1	10	187
2019-11-19	$15.84	$15.00	17.0%	4.9%	10.6%	5.6%	0.0%	0.0%	-5.3%	-8.2K	128.9K	-451	1.31	13.47	4	6	10	189
2019-11-20	$15.72	$15.00	15.6%	4.5%	10.6%	3.6%	0.0%	0.0%	-1.5%	-10.7K	122.2K	-435	0.00	75.67	0	4	15	195
2019-11-21	$15.78	$15.00	15.4%	4.4%	10.6%	3.3%	0.0%	0.0%	-1.0%	-14.8K	100.2K	-346	0.00	12.25	0	0	15	199
2019-11-22	$15.72	$15.00	13.7%	3.9%	10.8%	0.9%	0.0%	0.0%	-5.3%	-9.8K	125.9K	-451	0.00	17.00	0	1	15	199
2019-11-25	$15.72	$15.00	14.4%	4.1%	10.8%	2.0%	0.0%	0.0%	-6.0%	-9.8K	125.9K	-445	0.00	13.01	0	0	15	200
2019-11-26	$15.72	$15.00	25.0%	7.2%	10.5%	16.9%	0.0%	0.0%	-26.7%	-10.0K	131.0K	-461	0.00	64.96	0	0	15	201
2019-11-27	$15.84	$15.00	17.0%	4.9%	10.0%	5.5%	0.0%	0.0%	-7.4%	-6.4K	75.8K	-182	0.00	15.27	0	0	15	203
2019-11-29	$15.81	$15.00	20.8%	6.0%	9.9%	10.9%	0.0%	0.0%	-10.3%	-14.1K	104.8K	-355	0.00	61.80	0	1	15	203