OCSL Options History — December 2019

In December 2019, OCSL traded between $15.57 and $16.47. ATM implied volatility averaged 23.0%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 11.6% (HV 20d: 11.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.44.

Notable Days

2019-12-05: Highest Volume — 10 contracts
2019-12-27: Largest IV spike — 46.4% change
2019-12-31: Highest IV Rank — 38.9%
2019-12-31: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.08	$15.57	$16.47	$15.78	$16.41
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	23.0%	12.0%	38.8%	16.4%	38.8%
Expected Move	6.3%	3.5%	11.1%	4.7%	11.1%
HV 20d	11.4%	9.1%	13.4%	10.0%	12.8%
HV 60d	12.2%	11.2%	12.8%	12.5%	11.2%
IV Rank	15.0%	0.0%	38.9%	4.8%	38.9%
IV Percentile	42.8%	0.0%	90.5%	9.5%	90.5%
Term Structure	-7.9%	-28.6%	3.9%	-3.6%	-15.0%
VWIV	31.5%	31.5%	31.5%	31.5%	31.5%
Bid-Ask Spread %	39.79	8.03	98.10	32.15	77.42
Gamma HHI	0.98	0.92	1.00	0.99	1.00
Net GEX	-9.8K	-17.6K	-5.5K	-14.8K	-7.7K
Net DEX	94.5K	70.5K	139.0K	102.1K	74.7K
Net VEX	-336	-466	-189	-343	-189
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	1.20	0.00	1.20
Total Volume	2.238	0	10	1	0
Total OI	232.762	218	244	218	236

Daily Data (21 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
2019-12-02	$15.78	$15.00	16.4%	4.7%	10.0%	4.8%	0.0%	0.0%	-3.6%	-14.8K	102.1K	-343	0.00	32.15	1	0	15	203
2019-12-03	$15.66	$15.00	21.1%	6.1%	10.1%	11.4%	0.0%	0.0%	-15.7%	-14.6K	115.5K	-397	0.00	36.90	0	0	15	204
2019-12-04	$15.69	$15.00	18.3%	5.3%	9.1%	7.5%	0.0%	0.0%	-5.9%	-14.5K	111.6K	-384	0.00	26.59	0	1	15	204
2019-12-05	$15.57	$15.00	23.0%	3.9%	9.5%	14.1%	0.0%	0.0%	3.9%	-10.5K	139.0K	-466	1.00	52.57	5	5	15	204
2019-12-06	$15.78	$15.00	22.3%	4.8%	10.3%	13.1%	0.0%	0.0%	1.1%	-11.5K	111.9K	-418	0.00	88.55	0	0	20	208
2019-12-09	$15.87	$15.00	28.2%	7.7%	10.4%	21.4%	0.0%	0.0%	-28.6%	-13.6K	79.7K	-231	0.00	98.10	0	2	20	218
2019-12-10	$15.84	$15.00	21.0%	3.7%	10.4%	11.2%	0.0%	0.0%	-0.0%	-15.8K	83.6K	-292	0.00	8.03	2	0	20	219
2019-12-11	$15.81	$15.00	13.4%	3.8%	10.3%	0.5%	0.0%	0.0%	-0.5%	-17.6K	84.1K	-290	0.00	15.46	0	0	22	219
2019-12-12	$15.78	$15.00	13.0%	3.7%	10.3%	0.0%	0.0%	0.0%	-4.5%	-10.1K	108.8K	-428	0.00	50.32	0	3	18	219
2019-12-13	$15.90	$15.00	12.0%	3.5%	10.1%	0.0%	0.0%	0.0%	-0.2%	-9.1K	96.5K	-375	0.63	92.81	3	2	18	219
2019-12-16	$16.02	$15.00	14.1%	4.0%	9.8%	2.9%	0.0%	0.0%	-1.2%	-8.0K	99.3K	-379	0.45	10.81	4	2	15	221
2019-12-17	$16.47	$15.00	20.4%	5.9%	13.4%	11.6%	0.0%	0.0%	-11.8%	-5.5K	80.4K	-320	0.00	14.20	0	0	19	222
2019-12-18	$16.44	$15.00	23.9%	6.9%	13.2%	16.5%	0.0%	0.0%	-8.3%	-6.9K	90.2K	-320	0.00	40.10	0	0	15	223
2019-12-19	$16.44	$15.00	24.4%	7.0%	12.7%	17.1%	0.0%	0.0%	-5.1%	-6.6K	104.7K	-440	0.00	18.76	0	0	21	223
2019-12-20	$16.44	$15.00	27.4%	7.9%	12.7%	21.3%	0.0%	0.0%	-14.1%	-6.0K	83.4K	-350	0.00	31.33	0	0	21	223
2019-12-23	$16.41	$15.00	26.6%	7.6%	12.6%	21.1%	0.0%	0.0%	-10.3%	-5.9K	91.3K	-323	0.67	15.17	5	3	14	212
2019-12-24	$16.29	$15.00	25.4%	7.3%	13.1%	19.4%	0.0%	0.0%	-9.9%	-7.1K	76.2K	-243	0.00	23.49	0	1	18	212
2019-12-26	$16.35	$15.00	25.9%	7.4%	13.1%	20.2%	0.0%	0.0%	-10.1%	-5.6K	87.9K	-342	0.00	11.33	0	1	18	213
2019-12-27	$16.38	$15.00	38.0%	10.9%	12.9%	37.7%	31.5%	0.0%	-16.5%	-7.3K	70.5K	-189	1.20	74.09	3	4	18	213
2019-12-30	$16.35	$15.00	28.7%	8.2%	12.9%	24.2%	0.0%	0.0%	-8.5%	-6.8K	93.6K	-333	0.00	17.46	0	0	19	217
2019-12-31	$16.41	$15.00	38.8%	11.1%	12.8%	38.9%	0.0%	0.0%	-15.0%	-7.7K	74.7K	-189	0.00	77.42	0	0	19	217