OCSL Options History — May 2020

In May 2020, OCSL traded between $11.94 and $13.68. ATM implied volatility averaged 52.2%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 10.6% (HV 20d: 41.7%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2020-05-27: Highest Volume — 23 contracts
2020-05-19: Largest IV spike — 110.2% change
2020-05-12: Highest IV Rank — 47.8%
2020-05-06: Largest Expected Move — 27.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.68	$11.94	$13.68	$12.06	$13.68
Max Pain	$8.25	$7.50	$15.00	$15.00	$7.50
ATM IV	52.2%	29.4%	95.9%	82.6%	29.4%
Expected Move	12.7%	8.1%	27.1%	23.7%	8.4%
HV 20d	41.7%	33.7%	50.5%	50.5%	33.7%
HV 60d	94.2%	93.1%	95.0%	93.1%	94.7%
IV Rank	22.9%	9.9%	47.8%	40.2%	9.9%
IV Percentile	77.0%	60.7%	94.0%	90.1%	60.7%
Term Structure	7.8%	-7.9%	38.3%	38.3%	1.2%
VWIV	61.3%	35.7%	103.3%	67.7%	44.1%
Bid-Ask Spread %	78.73	11.60	163.51	16.36	135.80
Gamma HHI	0.68	0.49	0.99	0.49	0.99
Net GEX	2.5K	2.0K	3.1K	3.1K	2.9K
Net DEX	-388.4K	-455.2K	-338.9K	-338.9K	-455.2K
Net VEX	-746	-1.0K	-542	-786	-732
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.00	3.90	0.00	0.07
Total Volume	7.45	0	23	0	15
Total OI	676.15	629	720	690	661

Daily Data (20 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
2020-05-01	$12.06	$15.00	82.6%	23.7%	50.5%	40.2%	0.0%	0.0%	38.3%	3.1K	-338.9K	-786	0.00	16.36	0	0	495	195
2020-05-04	$12.24	$7.50	61.3%	19.6%	49.3%	28.1%	0.0%	0.0%	3.2%	2.3K	-366.1K	-542	0.00	163.51	0	0	495	195
2020-05-05	$12.24	$7.50	80.3%	9.8%	44.4%	38.9%	0.0%	0.0%	26.3%	2.6K	-359.4K	-664	0.00	158.36	9	0	495	195
2020-05-06	$12.42	$7.50	59.4%	27.1%	43.4%	27.0%	67.7%	0.0%	-3.8%	2.6K	-372.1K	-654	1.00	161.67	1	1	497	195
2020-05-07	$12.15	$7.50	69.5%	10.4%	43.3%	32.7%	35.7%	0.0%	21.3%	2.3K	-350.5K	-997	0.00	135.54	1	0	497	195
2020-05-08	$12.78	$7.50	63.0%	8.1%	42.2%	29.1%	0.0%	0.0%	27.6%	2.5K	-400.0K	-748	1.25	47.43	8	10	497	187
2020-05-11	$12.84	$7.50	69.8%	11.5%	41.7%	33.0%	55.9%	0.0%	24.5%	2.9K	-418.1K	-668	0.97	37.98	10	10	500	187
2020-05-12	$12.30	$15.00	95.9%	10.5%	45.1%	47.8%	0.0%	0.0%	4.0%	2.9K	-350.6K	-936	0.41	91.85	9	4	506	197
2020-05-13	$11.94	$7.50	45.1%	12.9%	45.6%	18.9%	0.0%	0.0%	-7.9%	2.7K	-341.2K	-928	1.22	23.92	3	4	515	200
2020-05-14	$12.00	$7.50	40.3%	11.6%	45.1%	16.1%	0.0%	0.0%	0.0%	2.4K	-356.9K	-773	0.30	11.93	10	3	516	204
2020-05-15	$12.18	$7.50	36.5%	10.5%	45.2%	14.0%	0.0%	0.0%	-2.1%	2.8K	-344.8K	-1.0K	0.00	71.58	1	0	516	204
2020-05-18	$12.69	$7.50	31.2%	8.9%	41.1%	10.9%	0.0%	0.0%	-2.1%	2.6K	-389.7K	-651	3.90	11.60	3	13	479	150
2020-05-19	$12.78	$7.50	65.6%	18.8%	40.8%	30.5%	103.3%	0.0%	-2.2%	2.5K	-386.8K	-923	0.06	82.87	6	0	482	162
2020-05-20	$12.96	$7.50	35.4%	10.2%	40.1%	13.3%	44.1%	0.0%	2.5%	2.3K	-412.8K	-637	2.00	61.87	1	1	485	163
2020-05-21	$13.08	$7.50	31.0%	8.9%	40.0%	10.8%	0.0%	0.0%	-2.2%	2.1K	-415.8K	-642	0.00	76.89	0	2	485	163
2020-05-22	$13.14	$7.50	32.3%	9.3%	37.9%	11.5%	0.0%	0.0%	-2.3%	2.0K	-411.1K	-605	0.00	26.55	0	0	488	163
2020-05-26	$13.20	$7.50	32.1%	9.2%	34.6%	11.4%	0.0%	0.0%	-3.4%	2.2K	-426.2K	-650	0.25	111.64	1	0	488	163
2020-05-27	$13.53	$7.50	53.6%	15.4%	34.5%	23.7%	0.0%	0.0%	1.5%	2.5K	-430.3K	-642	0.00	108.73	23	0	484	163
2020-05-28	$13.47	$7.50	29.7%	8.5%	34.3%	10.1%	0.0%	0.0%	23.6%	2.7K	-440.7K	-711	0.00	38.41	0	0	498	163
2020-05-29	$13.68	$7.50	29.4%	8.4%	33.7%	9.9%	0.0%	0.0%	1.2%	2.9K	-455.2K	-732	0.07	135.80	14	1	498	163