OCSL Options History — January 2020

In January 2020, OCSL traded between $16.32 and $16.77. ATM implied volatility averaged 33.6%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 22.6% (HV 20d: 11.0%). 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 9 of 21 days. Put/call ratio averaged 135.67.

Notable Days

2020-01-27: Highest Volume — 247 contracts
2020-01-15: Largest IV drop — 64.3% change
2020-01-13: Highest IV Rank — 78.2%
2020-01-03: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.57	$16.32	$16.77	$16.41	$16.77
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	33.6%	18.6%	65.9%	34.4%	23.9%
Expected Move	6.9%	5.3%	12.3%	9.9%	6.9%
HV 20d	11.0%	9.1%	12.9%	12.4%	11.3%
HV 60d	10.9%	10.2%	11.4%	11.2%	11.2%
IV Rank	31.3%	9.5%	78.2%	32.4%	17.3%
IV Percentile	65.6%	20.2%	99.2%	86.9%	53.6%
Term Structure	0.6%	-17.9%	37.0%	-16.9%	11.4%
VWIV	29.9%	22.2%	37.6%	37.6%	22.2%
Bid-Ask Spread %	53.70	9.17	136.68	51.12	45.20
Gamma HHI	0.97	0.94	1.00	0.95	0.95
Net GEX	-6.5K	-8.3K	-2.9K	-6.4K	-5.7K
Net DEX	84.1K	53.6K	113.9K	93.7K	82.3K
Net VEX	-264	-435	-31	-341	-273
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	135.67	0.00	400.00	7.00	400.00
Total Volume	32.524	0	247	0	2
Total OI	390.762	233	600	236	560

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
2020-01-02	$16.41	$15.00	34.4%	9.9%	12.4%	32.4%	0.0%	0.0%	-16.9%	-6.4K	93.7K	-341	0.00	51.12	0	0	19	217
2020-01-03	$16.41	$15.00	42.8%	12.3%	12.4%	44.7%	37.6%	0.0%	-17.9%	-6.4K	93.5K	-340	7.00	81.43	0	2	19	217
2020-01-06	$16.38	$15.00	44.4%	7.3%	11.9%	47.0%	0.0%	0.0%	-8.6%	-6.5K	113.9K	-419	0.00	46.49	0	0	19	214
2020-01-07	$16.35	$15.00	38.6%	5.8%	11.3%	38.6%	0.0%	0.0%	3.1%	-6.5K	96.8K	-360	0.00	59.71	0	2	19	214
2020-01-08	$16.47	$15.00	52.5%	6.4%	11.4%	58.7%	0.0%	0.0%	-4.1%	-6.7K	97.4K	-348	0.00	47.43	0	0	19	216
2020-01-09	$16.47	$15.00	46.1%	5.7%	11.3%	49.4%	0.0%	0.0%	1.7%	-6.1K	87.2K	-293	0.00	57.90	0	0	19	216
2020-01-10	$16.41	$15.00	50.4%	7.4%	11.4%	55.7%	0.0%	0.0%	-8.9%	-6.7K	110.3K	-395	0.00	58.16	0	0	19	216
2020-01-13	$16.44	$15.00	65.9%	7.4%	11.3%	78.2%	0.0%	0.0%	-8.6%	-6.7K	105.4K	-366	0.00	52.27	2	0	19	216
2020-01-14	$16.32	$15.00	62.5%	6.7%	11.6%	73.3%	0.0%	0.0%	-3.5%	-7.0K	102.0K	-372	0.00	12.48	0	5	21	216
2020-01-15	$16.62	$15.00	22.3%	6.4%	12.9%	14.9%	22.2%	0.0%	-8.0%	-5.8K	78.3K	-258	0.00	38.25	0	1	21	220
2020-01-16	$16.77	$15.00	20.9%	6.0%	9.1%	12.9%	0.0%	0.0%	-5.7%	-5.8K	67.6K	-184	0.00	70.56	0	133	21	351
2020-01-17	$16.71	$15.00	19.2%	5.5%	9.2%	10.4%	0.0%	0.0%	-7.0%	-5.5K	72.1K	-225	400.00	18.37	0	133	21	484
2020-01-21	$16.62	$15.00	18.6%	5.3%	9.4%	9.5%	0.0%	0.0%	0.0%	-6.5K	66.5K	-162	0.00	9.17	0	133	19	408
2020-01-22	$16.77	$15.00	20.0%	5.7%	9.9%	11.5%	0.0%	0.0%	5.9%	-2.9K	53.6K	-31	0.00	9.41	0	20	19	542
2020-01-23	$16.71	$15.00	24.2%	6.9%	10.0%	17.7%	0.0%	0.0%	4.6%	-6.0K	58.9K	-66	0.00	9.33	0	0	19	536
2020-01-24	$16.77	$15.00	23.8%	6.8%	9.5%	17.1%	0.0%	0.0%	1.9%	-7.1K	88.2K	-314	0.00	49.41	0	3	19	536
2020-01-27	$16.53	$15.00	22.1%	6.3%	11.0%	14.5%	0.0%	0.0%	7.0%	-8.1K	104.8K	-435	0.00	74.23	0	247	19	536
2020-01-28	$16.65	$15.00	24.1%	6.9%	11.3%	17.5%	0.0%	0.0%	-1.1%	-8.0K	60.7K	-108	0.00	84.48	0	0	19	581
2020-01-29	$16.68	$15.00	24.3%	7.0%	11.2%	17.7%	0.0%	0.0%	30.2%	-8.3K	69.8K	-140	0.00	115.70	0	0	19	581
2020-01-30	$16.68	$15.00	24.8%	7.1%	11.2%	18.5%	0.0%	0.0%	37.0%	-7.3K	62.3K	-111	0.00	136.68	0	0	19	541
2020-01-31	$16.77	$15.00	23.9%	6.9%	11.3%	17.3%	0.0%	0.0%	11.4%	-5.7K	82.3K	-273	0.00	45.20	0	2	19	541