OCSL Options History — July 2020

In July 2020, OCSL traded between $12.99 and $13.74. ATM implied volatility averaged 40.6%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 22.4% (HV 20d: 18.3%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 29.86.

Notable Days

2020-07-24: Highest Volume — 484 contracts
2020-07-07: Largest IV spike — 205.5% change
2020-07-07: Highest IV Rank — 56.5%
2020-07-01: Largest Expected Move — 22.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.37	$12.99	$13.74	$13.38	$13.59
Max Pain	$9.89	$7.50	$15.00	$7.50	$15.00
ATM IV	40.6%	19.3%	111.2%	78.7%	24.8%
Expected Move	9.5%	5.5%	22.6%	22.6%	7.1%
HV 20d	18.3%	11.6%	30.1%	30.1%	12.2%
HV 60d	31.1%	27.4%	37.2%	37.2%	27.4%
IV Rank	16.3%	4.1%	56.5%	38.0%	7.3%
IV Percentile	55.8%	18.3%	95.2%	87.3%	40.9%
Term Structure	1.0%	-42.9%	17.4%	9.2%	-0.8%
VWIV	33.2%	18.4%	60.6%	29.0%	20.0%
Bid-Ask Spread %	89.75	19.00	182.47	142.36	50.08
Gamma HHI	0.98	0.87	1.00	0.90	1.00
Net GEX	-3.3K	-35.0K	4.6K	4.6K	-22.1K
Net DEX	51.3K	-314.0K	1.2M	-314.0K	1.2M
Net VEX	-786	-1.5K	-571	-819	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	29.86	0.00	500.00	0.00	0.00
Total Volume	55.273	0	484	0	3
Total OI	868.045	586	1,738	602	1,738

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
2020-07-01	$13.38	$7.50	78.7%	22.6%	30.1%	38.0%	0.0%	0.0%	9.2%	4.6K	-314.0K	-819	0.00	142.36	0	0	445	157
2020-07-02	$13.29	$7.50	34.1%	0.0%	30.0%	12.6%	0.0%	0.0%	-42.9%	3.8K	-298.9K	-787	0.00	182.47	1	0	445	157
2020-07-06	$13.23	$7.50	36.4%	9.5%	28.7%	13.9%	29.0%	0.0%	4.3%	3.6K	-278.5K	-685	0.90	110.22	7	6	444	157
2020-07-07	$13.17	$7.50	111.2%	9.5%	24.4%	56.5%	40.6%	0.0%	2.2%	4.1K	-287.7K	-695	2.20	108.23	3	7	444	157
2020-07-08	$13.14	$7.50	41.7%	10.3%	23.6%	16.9%	0.0%	0.0%	8.3%	3.6K	-295.3K	-769	0.00	100.63	0	0	447	161
2020-07-09	$13.02	$7.50	46.3%	12.8%	23.0%	19.5%	0.0%	0.0%	-14.1%	4.0K	-301.4K	-710	3.33	127.74	1	3	447	161
2020-07-10	$13.08	$7.50	48.4%	11.1%	18.7%	20.7%	45.4%	0.0%	3.4%	3.2K	-276.0K	-690	0.00	125.23	9	0	446	164
2020-07-13	$12.99	$7.50	66.2%	12.3%	18.7%	30.9%	41.9%	0.0%	10.8%	3.5K	-280.3K	-690	0.01	147.45	26	0	452	164
2020-07-14	$13.14	$7.50	72.2%	9.1%	19.1%	34.3%	0.0%	0.0%	17.4%	3.2K	-257.7K	-620	0.00	156.43	0	0	478	164
2020-07-15	$13.23	$7.50	66.6%	19.1%	18.3%	31.1%	60.6%	0.0%	1.0%	3.8K	-296.6K	-749	0.43	115.23	28	12	478	164
2020-07-16	$13.32	$7.50	37.6%	10.8%	17.9%	14.6%	0.0%	0.0%	0.0%	4.5K	-298.4K	-737	0.00	99.30	7	0	470	164
2020-07-17	$13.35	$7.50	22.5%	6.4%	17.4%	5.9%	0.0%	0.0%	5.6%	4.2K	-280.1K	-701	0.00	29.32	4	0	470	164
2020-07-20	$13.29	$7.50	22.5%	6.4%	14.5%	6.0%	0.0%	0.0%	-1.2%	3.7K	-256.4K	-587	0.00	64.01	25	0	444	163
2020-07-21	$13.32	$7.50	26.8%	7.7%	14.5%	8.4%	0.0%	0.0%	6.6%	3.6K	-254.0K	-571	5.00	67.53	1	3	423	163
2020-07-22	$13.47	$7.50	22.4%	6.4%	14.6%	5.9%	18.4%	0.0%	9.6%	3.6K	-251.7K	-572	21.00	36.59	2	35	423	166
2020-07-23	$13.71	$15.00	19.3%	5.5%	14.5%	4.1%	20.7%	0.0%	1.2%	-528	-41.8K	-687	4.59	64.10	31	141	423	339
2020-07-24	$13.74	$15.00	20.0%	5.7%	14.1%	4.5%	22.0%	0.0%	1.1%	-4.1K	117.4K	-747	0.00	58.45	0	484	428	462
2020-07-27	$13.65	$15.00	20.0%	5.7%	12.5%	4.5%	20.0%	0.0%	0.4%	-12.3K	773.3K	-785	500.00	65.31	1	333	428	946
2020-07-28	$13.59	$15.00	23.2%	6.6%	11.9%	6.4%	0.0%	0.0%	0.0%	-22.6K	1.2M	-1.0K	0.00	49.78	34	0	428	1,279
2020-07-29	$13.65	$15.00	27.5%	7.9%	11.6%	8.8%	0.0%	0.0%	-0.1%	-35.0K	1.0M	-1.5K	0.00	19.00	0	0	443	1,279
2020-07-30	$13.74	$15.00	25.8%	7.4%	11.7%	7.9%	0.0%	0.0%	-0.1%	-32.5K	1.1M	-1.2K	0.00	55.09	9	0	443	1,279
2020-07-31	$13.59	$15.00	24.8%	7.1%	12.2%	7.3%	0.0%	0.0%	-0.8%	-22.1K	1.2M	-1.0K	0.00	50.08	3	0	459	1,279