OCSL Options History — June 2020

In June 2020, OCSL traded between $13.11 and $14.49. ATM implied volatility averaged 42.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 10.8% (HV 20d: 31.8%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.51.

Notable Days

2020-06-17: Highest Volume — 50 contracts
2020-06-29: Largest IV spike — 256.3% change
2020-06-29: Highest IV Rank — 49.3%
2020-06-29: Largest Expected Move — 28.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.55	$13.11	$14.49	$13.77	$13.41
Max Pain	$7.84	$7.50	$15.00	$7.50	$7.50
ATM IV	42.6%	25.9%	98.4%	29.1%	86.2%
Expected Move	12.0%	7.4%	28.2%	8.3%	24.7%
HV 20d	31.8%	29.2%	35.2%	33.7%	30.2%
HV 60d	68.1%	39.6%	94.7%	94.7%	39.6%
IV Rank	17.4%	7.9%	49.3%	9.7%	42.3%
IV Percentile	67.2%	50.0%	94.0%	59.9%	89.7%
Term Structure	-0.8%	-100.7%	47.6%	-4.3%	9.7%
VWIV	58.4%	26.3%	139.1%	66.8%	26.3%
Bid-Ask Spread %	112.53	20.77	172.22	117.99	121.14
Gamma HHI	0.94	0.70	1.00	0.99	0.99
Net GEX	3.8K	2.5K	5.2K	3.0K	3.8K
Net DEX	-367.3K	-511.6K	-280.8K	-459.2K	-297.8K
Net VEX	-758	-870	-680	-742	-703
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.00	4.00	0.00	4.00
Total Volume	10.318	1	50	3	5
Total OI	636.045	594	706	673	600

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
2020-06-01	$13.77	$7.50	29.1%	8.3%	33.7%	9.7%	0.0%	0.0%	-4.3%	3.0K	-459.2K	-742	0.00	117.99	3	0	509	164
2020-06-02	$13.44	$7.50	48.3%	13.8%	35.2%	20.7%	66.8%	0.0%	-5.9%	2.5K	-438.1K	-684	0.75	20.77	1	1	500	165
2020-06-03	$13.53	$7.50	31.3%	9.0%	35.2%	11.0%	0.0%	0.0%	-6.2%	2.6K	-443.3K	-695	0.00	147.22	3	0	501	166
2020-06-04	$13.65	$15.00	34.2%	9.7%	35.1%	12.6%	40.2%	0.0%	2.5%	2.7K	-440.0K	-680	1.00	118.22	8	8	498	166
2020-06-05	$13.95	$7.50	85.1%	13.4%	34.1%	41.7%	47.5%	0.0%	3.4%	3.0K	-464.4K	-710	0.32	108.73	15	5	499	166
2020-06-08	$14.49	$7.50	74.8%	11.6%	32.2%	35.8%	0.0%	0.0%	-9.5%	3.9K	-511.6K	-798	0.22	76.44	31	7	502	167
2020-06-09	$14.19	$7.50	27.0%	24.6%	33.6%	8.5%	139.1%	0.0%	-45.3%	3.8K	-483.0K	-793	0.00	110.56	4	0	526	169
2020-06-10	$13.92	$7.50	63.4%	18.2%	29.9%	29.3%	63.4%	0.0%	-22.1%	3.7K	-459.8K	-766	0.00	172.22	18	0	523	169
2020-06-11	$13.38	$7.50	27.3%	7.8%	31.7%	8.7%	27.3%	0.0%	47.6%	3.3K	-431.5K	-695	0.00	167.62	15	0	537	169
2020-06-12	$13.44	$7.50	38.2%	10.9%	31.7%	14.9%	0.0%	0.0%	6.4%	4.7K	-305.6K	-865	0.09	103.86	4	0	444	169
2020-06-15	$13.32	$7.50	42.7%	12.2%	31.9%	17.5%	85.0%	0.0%	-6.5%	3.9K	-307.9K	-748	3.00	76.67	1	4	447	163
2020-06-16	$13.53	$7.50	25.9%	7.4%	29.2%	7.9%	0.0%	0.0%	16.1%	4.1K	-299.2K	-734	0.06	148.78	6	0	448	167
2020-06-17	$13.35	$7.50	27.6%	7.9%	29.7%	8.9%	0.0%	0.0%	10.4%	4.2K	-290.8K	-776	0.29	105.22	39	11	450	167
2020-06-18	$13.20	$7.50	29.6%	8.5%	29.7%	10.0%	29.6%	0.0%	1.9%	4.6K	-291.7K	-814	0.00	91.96	1	0	461	170
2020-06-19	$13.56	$7.50	26.3%	7.5%	31.0%	8.1%	26.3%	0.0%	13.6%	4.4K	-312.6K	-799	0.08	110.84	4	0	462	170
2020-06-22	$13.56	$7.50	29.1%	8.3%	31.0%	9.7%	0.0%	0.0%	0.1%	5.2K	-321.5K	-870	0.00	113.68	1	0	440	154
2020-06-23	$13.41	$7.50	28.0%	8.0%	31.3%	9.1%	0.0%	0.0%	16.4%	4.4K	-312.9K	-824	1.22	158.75	8	9	441	154
2020-06-24	$13.20	$7.50	29.4%	8.4%	30.5%	9.9%	0.0%	0.0%	14.7%	4.8K	-310.9K	-766	0.18	72.21	4	1	441	154
2020-06-25	$13.35	$7.50	28.3%	8.1%	30.8%	9.3%	0.0%	0.0%	13.8%	4.1K	-295.6K	-739	0.00	81.05	3	0	444	155
2020-06-26	$13.11	$7.50	27.6%	7.9%	30.8%	8.9%	0.0%	0.0%	26.2%	2.8K	-280.8K	-690	0.00	170.29	3	0	444	155
2020-06-29	$13.29	$7.50	98.4%	28.2%	31.2%	49.3%	0.0%	0.0%	-100.7%	4.5K	-323.0K	-789	0.00	81.40	4	0	442	155
2020-06-30	$13.41	$7.50	86.2%	24.7%	30.2%	42.3%	0.0%	0.0%	9.7%	3.8K	-297.8K	-703	4.00	121.14	1	4	445	155