OCSL Options History — March 2020

In March 2020, OCSL traded between $7.05 and $15.45. ATM implied volatility averaged 85.3%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 6.4% (HV 20d: 78.9%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 8.57.

Notable Days

2020-03-24: Highest Volume — 156 contracts
2020-03-18: Largest IV spike — 277.9% change
2020-03-11: Highest IV Rank — 100.0%
2020-03-16: Largest Expected Move — 53.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.51	$7.05	$15.45	$15.03	$9.69
Max Pain	$11.93	$7.50	$15.00	$15.00	$7.50
ATM IV	85.3%	21.4%	187.4%	21.8%	88.1%
Expected Move	23.1%	5.1%	53.7%	6.3%	25.3%
HV 20d	78.9%	20.7%	149.1%	20.7%	148.8%
HV 60d	48.8%	16.1%	87.0%	16.1%	87.0%
IV Rank	57.2%	13.6%	100.0%	14.2%	43.4%
IV Percentile	89.6%	40.1%	100.0%	43.3%	95.6%
Term Structure	-13.0%	-77.8%	16.6%	-4.1%	-19.7%
VWIV	75.7%	23.3%	108.9%	23.3%	90.7%
Bid-Ask Spread %	126.67	29.47	166.71	79.37	129.59
Gamma HHI	0.88	0.50	1.00	1.00	0.91
Net GEX	-3.6K	-16.7K	126	-16.7K	-512
Net DEX	97.7K	-95.9K	200.2K	157.3K	-47.7K
Net VEX	-346	-651	-28	-555	-590
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.57	0.00	100.00	100.00	0.00
Total Volume	21.182	0	156	33	0
Total OI	391.545	278	499	429	499

Daily Data (22 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
2020-03-02	$15.03	$15.00	21.8%	6.3%	20.7%	14.2%	23.3%	0.0%	-4.1%	-16.7K	157.3K	-555	100.00	79.37	0	33	38	391
2020-03-03	$15.15	$7.50	31.8%	9.1%	20.9%	28.6%	0.0%	0.0%	-5.9%	-9.2K	118.7K	-521	0.00	68.00	0	2	38	358
2020-03-04	$15.45	$7.50	22.8%	6.5%	22.7%	15.6%	0.0%	0.0%	-0.5%	-11.0K	88.0K	-498	0.00	29.47	0	0	38	356
2020-03-05	$15.27	$15.00	41.0%	5.1%	22.5%	42.0%	0.0%	0.0%	9.6%	-10.3K	105.4K	-515	0.00	162.27	0	0	38	356
2020-03-06	$14.97	$15.00	21.4%	9.6%	21.5%	13.6%	0.0%	0.0%	-13.9%	-7.5K	127.0K	-510	0.00	125.45	0	0	38	356
2020-03-09	$13.65	$15.00	75.7%	7.0%	37.8%	92.4%	23.7%	0.0%	-1.8%	-3.7K	180.6K	-342	7.50	123.11	1	5	38	356
2020-03-10	$13.56	$15.00	73.0%	8.3%	37.8%	88.5%	0.0%	0.0%	-2.1%	-3.6K	180.0K	-344	0.00	109.55	0	0	39	358
2020-03-11	$13.35	$15.00	88.2%	25.3%	37.7%	100.0%	0.0%	0.0%	-52.6%	-2.6K	200.2K	-249	19.00	155.58	1	13	39	358
2020-03-12	$11.46	$15.00	90.2%	25.9%	63.1%	100.0%	0.0%	0.0%	-38.9%	-556	189.9K	-109	1.00	166.71	0	0	39	358
2020-03-13	$12.24	$15.00	104.8%	30.0%	69.5%	100.0%	0.0%	0.0%	-77.8%	-1.4K	156.4K	-222	4.62	164.78	4	20	39	335
2020-03-16	$11.43	$15.00	187.4%	53.7%	71.7%	100.0%	0.0%	0.0%	0.0%	-521	169.4K	-158	0.00	153.16	0	0	37	335
2020-03-17	$11.55	$15.00	45.6%	13.1%	72.2%	19.1%	0.0%	0.0%	-2.2%	-1.1K	155.2K	-219	0.00	147.27	0	0	37	335
2020-03-18	$9.75	$15.00	172.4%	49.4%	90.0%	91.4%	0.0%	0.0%	15.5%	-630	154.7K	-28	0.00	149.36	0	1	37	335
2020-03-19	$8.37	$15.00	163.3%	46.8%	99.9%	86.3%	0.0%	0.0%	0.0%	-2.8K	112.5K	-138	1.00	151.37	2	2	37	286
2020-03-20	$7.50	$15.00	77.5%	22.2%	103.0%	37.3%	100.5%	0.0%	16.6%	-1.6K	124.6K	-247	0.34	142.05	15	5	40	286
2020-03-23	$7.05	$7.50	99.1%	28.4%	103.1%	49.6%	99.1%	0.0%	-68.4%	-1.3K	101.3K	-221	0.67	119.52	2	1	52	233
2020-03-24	$7.50	$7.50	88.7%	25.4%	109.0%	43.7%	108.9%	0.0%	12.4%	-2.0K	90.9K	-230	1.06	98.36	76	80	53	225
2020-03-25	$9.21	$7.50	74.8%	21.5%	138.4%	35.8%	74.1%	0.0%	3.6%	-1.1K	7.9K	-425	0.71	108.40	88	63	129	258
2020-03-26	$10.41	$7.50	94.4%	27.1%	148.1%	47.0%	79.2%	0.0%	9.5%	-475	-70.0K	-544	0.10	125.01	7	1	190	275
2020-03-27	$10.68	$7.50	101.4%	29.1%	148.7%	50.9%	0.0%	0.0%	-19.7%	126	-95.9K	-300	0.17	134.95	31	5	196	275
2020-03-30	$10.02	$7.50	113.4%	32.5%	149.1%	57.8%	82.2%	0.0%	-20.2%	-478	-56.8K	-651	1.00	143.40	4	4	221	277
2020-03-31	$9.69	$7.50	88.1%	25.3%	148.8%	43.4%	90.7%	0.0%	-19.7%	-512	-47.7K	-590	0.00	129.59	0	0	225	274