OCSL Options History — April 2020

In April 2020, OCSL traded between $9.15 and $12.18. ATM implied volatility averaged 97.4%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 28.4%. IV traded below realized volatility by 15.0% (HV 20d: 112.4%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.86.

Notable Days

2020-04-27: Highest Volume — 71 contracts
2020-04-07: Largest IV spike — 95.6% change
2020-04-07: Highest IV Rank — 99.7%
2020-04-06: Largest Expected Move — 56.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.03	$9.15	$12.18	$9.69	$12.00
Max Pain	$14.64	$7.50	$15.00	$7.50	$15.00
ATM IV	97.4%	44.6%	186.9%	90.8%	79.3%
Expected Move	28.4%	12.8%	56.0%	26.0%	22.7%
HV 20d	112.4%	53.3%	152.2%	148.2%	54.0%
HV 60d	90.8%	87.0%	93.1%	87.0%	93.1%
IV Rank	48.7%	18.6%	99.7%	44.9%	38.3%
IV Percentile	92.8%	80.6%	99.6%	96.8%	89.7%
Term Structure	1.4%	-114.7%	86.1%	-20.9%	17.2%
VWIV	86.6%	48.1%	118.1%	93.4%	90.3%
Bid-Ask Spread %	64.55	30.66	108.65	108.65	47.42
Gamma HHI	0.60	0.46	0.95	0.95	0.49
Net GEX	1.0K	-473	2.9K	-253	2.9K
Net DEX	-197.5K	-347.4K	-32.6K	-50.3K	-333.9K
Net VEX	-587	-869	-145	-545	-869
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.00	15.50	15.50	0.00
Total Volume	21.571	0	71	11	1
Total OI	598.333	499	690	499	690

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
2020-04-01	$9.69	$7.50	90.8%	26.0%	148.2%	44.9%	93.4%	0.0%	-20.9%	-253	-50.3K	-545	15.50	108.65	1	10	225	274
2020-04-02	$9.30	$15.00	132.6%	37.1%	148.3%	68.8%	112.0%	0.0%	-37.6%	26	-47.4K	-588	0.32	81.57	40	13	224	277
2020-04-03	$9.15	$15.00	143.2%	43.6%	148.3%	74.8%	0.0%	0.0%	-38.1%	-473	-32.6K	-683	0.10	77.03	53	5	246	287
2020-04-06	$9.84	$15.00	95.6%	56.0%	149.9%	47.6%	0.0%	0.0%	-114.7%	250	-125.6K	-145	0.00	88.01	4	0	293	289
2020-04-07	$10.20	$15.00	186.9%	32.5%	151.0%	99.7%	113.2%	0.0%	-22.6%	311	-101.2K	-733	0.63	39.32	5	3	293	289
2020-04-08	$10.62	$15.00	128.6%	36.9%	152.2%	66.5%	118.1%	0.0%	-32.2%	167	-109.9K	-566	0.14	50.93	10	1	294	289
2020-04-09	$11.25	$15.00	113.6%	32.6%	144.4%	57.9%	59.2%	0.0%	-0.3%	549	-152.3K	-630	0.08	71.27	20	2	297	288
2020-04-13	$11.52	$15.00	77.8%	22.3%	142.6%	37.5%	0.0%	0.0%	30.8%	591	-169.1K	-626	0.03	96.89	10	0	301	288
2020-04-14	$11.52	$15.00	95.9%	27.5%	140.5%	47.8%	48.4%	0.0%	11.4%	89	-186.6K	-359	0.01	45.78	60	0	304	288
2020-04-15	$11.25	$15.00	129.0%	37.0%	140.7%	66.7%	96.4%	0.0%	27.6%	991	-216.7K	-416	0.00	73.94	0	0	351	288
2020-04-16	$11.49	$15.00	48.1%	13.8%	126.0%	20.5%	48.1%	0.0%	17.6%	1.2K	-197.4K	-554	0.00	66.60	7	0	348	288
2020-04-17	$11.64	$15.00	47.0%	13.5%	110.8%	19.9%	90.3%	0.0%	52.8%	780	-204.7K	-161	0.07	88.90	48	3	350	288
2020-04-20	$10.98	$15.00	90.1%	25.8%	104.3%	44.5%	0.0%	0.0%	0.0%	839	-204.8K	-809	0.00	38.15	27	0	353	194
2020-04-21	$11.22	$15.00	85.7%	24.6%	99.8%	42.0%	0.0%	0.0%	0.0%	1.3K	-233.3K	-816	0.00	45.92	23	0	380	194
2020-04-22	$11.07	$15.00	146.8%	42.1%	99.6%	76.9%	0.0%	0.0%	17.4%	1.9K	-255.7K	-553	0.10	75.24	7	1	402	194
2020-04-23	$11.07	$15.00	115.1%	33.0%	71.4%	58.8%	0.0%	0.0%	-43.2%	1.8K	-238.8K	-854	0.03	58.73	13	0	409	194
2020-04-24	$11.55	$15.00	44.6%	12.8%	59.2%	18.6%	0.0%	0.0%	12.0%	1.5K	-279.1K	-414	0.12	57.11	11	1	412	194
2020-04-27	$12.12	$15.00	69.8%	20.0%	60.7%	32.9%	0.0%	0.0%	86.1%	2.2K	-314.3K	-681	0.01	54.78	70	1	423	193
2020-04-28	$11.94	$15.00	57.9%	16.6%	55.5%	26.1%	0.0%	0.0%	31.9%	2.9K	-345.7K	-610	0.00	30.66	1	0	493	193
2020-04-29	$12.18	$15.00	66.8%	19.1%	53.3%	31.2%	0.0%	0.0%	31.1%	2.2K	-347.4K	-722	0.00	58.68	2	0	493	195
2020-04-30	$12.00	$15.00	79.3%	22.7%	54.0%	38.3%	0.0%	0.0%	17.2%	2.9K	-333.9K	-869	0.00	47.42	1	0	495	195