OCSL Options History — February 2020

In February 2020, OCSL traded between $14.79 and $16.89. ATM implied volatility averaged 25.9%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 11.2% (HV 20d: 14.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 120.37.

Notable Days

2020-02-04: Highest Volume — 443 contracts
2020-02-13: Largest IV spike — 94.0% change
2020-02-11: Highest IV Rank — 47.9%
2020-02-13: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.05	$14.79	$16.89	$16.86	$14.79
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	25.9%	16.2%	45.0%	23.8%	28.1%
Expected Move	6.4%	4.6%	10.2%	6.8%	8.0%
HV 20d	14.7%	11.4%	19.5%	11.4%	19.5%
HV 60d	12.6%	10.9%	15.7%	10.9%	15.7%
IV Rank	20.1%	6.0%	47.9%	17.1%	23.3%
IV Percentile	50.5%	9.5%	93.3%	51.6%	71.0%
Term Structure	2.1%	-24.3%	89.2%	32.1%	-1.1%
VWIV	26.5%	21.4%	33.9%	21.4%	24.3%
Bid-Ask Spread %	90.51	29.81	132.02	84.53	108.17
Gamma HHI	1.00	0.99	1.00	0.99	1.00
Net GEX	-10.7K	-18.2K	-4.8K	-4.8K	-10.2K
Net DEX	79.1K	18.9K	181.5K	62.9K	181.5K
Net VEX	-326	-549	-119	-135	-543
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	120.37	0.00	1000.00	0.00	0.00
Total Volume	92.316	0	443	2	15
Total OI	567.421	278	907	465	415

Daily Data (19 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
2020-02-03	$16.86	$15.00	23.8%	6.8%	11.4%	17.1%	21.4%	0.0%	32.1%	-4.8K	62.9K	-135	0.00	84.53	2	0	19	446
2020-02-04	$16.80	$15.00	30.1%	8.6%	11.5%	26.3%	33.9%	0.0%	-0.8%	-4.9K	65.8K	-119	48.19	57.82	9	434	19	446
2020-02-05	$16.89	$15.00	29.5%	8.5%	11.5%	25.3%	0.0%	0.0%	89.2%	-6.2K	110.4K	-357	0.00	127.99	0	0	28	879
2020-02-06	$16.41	$15.00	41.3%	7.7%	15.6%	42.6%	0.0%	0.0%	-24.3%	-18.2K	97.9K	-314	12.53	108.59	6	71	28	879
2020-02-07	$16.29	$15.00	29.3%	5.2%	15.8%	25.0%	0.0%	0.0%	-8.5%	-10.1K	66.5K	-216	0.00	110.64	0	16	31	817
2020-02-10	$16.08	$15.00	35.8%	5.1%	16.3%	34.5%	0.0%	0.0%	-9.1%	-16.4K	59.5K	-284	0.00	78.05	0	2	31	800
2020-02-11	$16.11	$15.00	45.0%	5.1%	16.3%	47.9%	0.0%	0.0%	-8.7%	-13.9K	76.0K	-347	0.00	58.24	0	337	31	798
2020-02-12	$16.08	$15.00	18.4%	5.3%	16.2%	9.2%	0.0%	0.0%	-3.3%	-12.2K	65.5K	-317	0.00	105.02	3	0	31	533
2020-02-13	$16.05	$15.00	35.7%	10.2%	14.5%	34.3%	28.6%	0.0%	-21.0%	-14.4K	93.8K	-462	0.00	124.67	0	73	34	533
2020-02-14	$16.17	$15.00	18.3%	5.3%	14.4%	9.1%	0.0%	0.0%	-6.5%	-8.8K	57.8K	-346	1000.00	82.80	0	333	34	512
2020-02-18	$16.14	$15.00	17.3%	4.9%	14.4%	7.6%	0.0%	0.0%	-3.4%	-9.4K	46.8K	-256	0.00	76.20	0	89	34	465
2020-02-19	$16.08	$15.00	18.0%	5.2%	14.3%	8.7%	0.0%	0.0%	-7.0%	-11.1K	18.9K	-133	0.00	129.91	0	0	34	547
2020-02-20	$16.14	$15.00	20.4%	5.8%	13.9%	12.1%	0.0%	0.0%	-9.0%	-5.7K	44.9K	-281	0.00	100.07	0	71	34	547
2020-02-21	$16.02	$15.00	21.8%	6.2%	14.1%	14.1%	0.0%	0.0%	-8.1%	-6.4K	55.3K	-341	2.00	76.68	2	5	34	484
2020-02-24	$15.72	$15.00	19.7%	5.6%	15.1%	11.1%	0.0%	0.0%	39.1%	-10.6K	79.3K	-373	0.00	29.81	0	0	22	256
2020-02-25	$15.48	$15.00	18.6%	5.3%	15.2%	9.5%	24.4%	0.0%	-9.0%	-13.6K	98.7K	-418	1.27	68.84	4	5	22	256
2020-02-26	$15.54	$15.00	16.2%	4.6%	14.9%	6.0%	0.0%	0.0%	0.3%	-12.5K	82.9K	-395	0.00	59.56	0	136	24	259
2020-02-27	$15.39	$15.00	24.8%	7.1%	14.9%	18.6%	24.3%	0.0%	-1.8%	-14.5K	137.7K	-549	139.67	132.02	1	140	24	395
2020-02-28	$14.79	$15.00	28.1%	8.0%	19.5%	23.3%	0.0%	0.0%	-1.1%	-10.2K	181.5K	-543	0.00	108.17	15	0	24	391