OCSL Options History — August 2020

In August 2020, OCSL traded between $13.77 and $15.51. ATM implied volatility averaged 27.5%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.9% (HV 20d: 26.6%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 8.09.

Notable Days

2020-08-07: Highest Volume — 332 contracts
2020-08-12: Largest IV spike — 46.4% change
2020-08-14: Highest IV Rank — 13.5%
2020-08-14: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.84	$13.77	$15.51	$13.80	$14.97
Max Pain	$14.64	$7.50	$15.00	$15.00	$15.00
ATM IV	27.5%	18.6%	35.8%	24.9%	18.7%
Expected Move	8.2%	5.4%	10.2%	7.1%	5.4%
HV 20d	26.6%	12.1%	31.6%	13.0%	31.1%
HV 60d	26.0%	23.3%	27.3%	27.1%	25.5%
IV Rank	8.8%	3.7%	13.5%	7.3%	3.8%
IV Percentile	46.8%	17.1%	64.7%	42.1%	17.9%
Term Structure	4.3%	-25.5%	37.3%	-1.2%	17.3%
VWIV	31.7%	20.0%	39.9%	27.9%	28.3%
Bid-Ask Spread %	76.46	50.21	106.63	50.25	77.24
Gamma HHI	1.00	0.99	1.00	1.00	1.00
Net GEX	-103.0K	-445.9K	45.9K	-36.3K	45.9K
Net DEX	177.2K	-505.9K	1.4M	1.1M	-433.7K
Net VEX	-1.6K	-2.5K	-1.0K	-1.2K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.09	0.00	140.00	140.00	8.00
Total Volume	49.143	0	332	141	6
Total OI	1,724.476	702	2,288	1,738	737

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
2020-08-03	$13.80	$15.00	24.9%	7.1%	13.0%	7.3%	27.9%	0.0%	-1.2%	-36.3K	1.1M	-1.2K	140.00	50.25	1	140	459	1,279
2020-08-04	$13.77	$15.00	29.7%	8.5%	12.8%	10.0%	0.0%	0.0%	-1.7%	-40.0K	1.3M	-1.2K	0.00	50.21	0	0	460	1,419
2020-08-05	$13.86	$15.00	27.9%	8.0%	12.8%	9.0%	0.0%	0.0%	-1.8%	-43.3K	1.3M	-1.3K	0.00	50.98	3	0	460	1,419
2020-08-06	$13.95	$15.00	21.9%	6.5%	12.1%	5.6%	20.0%	0.0%	15.6%	-36.7K	1.4M	-1.0K	0.00	70.23	6	0	463	1,419
2020-08-07	$14.43	$15.00	31.5%	9.3%	16.2%	11.1%	35.2%	0.0%	5.6%	-89.3K	806.4K	-2.1K	0.33	67.71	249	83	469	1,419
2020-08-10	$15.51	$7.50	18.6%	8.5%	28.3%	3.7%	33.1%	0.0%	-0.4%	-110.8K	-473.2K	-1.9K	0.04	97.94	197	7	674	1,502
2020-08-11	$15.48	$15.00	24.2%	9.0%	28.6%	6.9%	31.4%	0.0%	13.1%	-107.3K	-399.4K	-2.3K	0.00	52.43	208	0	774	1,505
2020-08-12	$15.12	$15.00	35.5%	10.2%	30.7%	13.4%	35.5%	0.0%	-3.2%	-126.1K	115.3K	-2.5K	0.19	73.92	21	4	771	1,505
2020-08-13	$15.18	$15.00	35.6%	10.2%	30.7%	13.4%	0.0%	0.0%	-1.9%	-189.2K	-64.8K	-2.4K	0.00	73.92	3	0	771	1,506
2020-08-14	$15.09	$15.00	35.8%	10.2%	31.0%	13.5%	35.7%	0.0%	-5.5%	-197.7K	119.0K	-2.4K	0.00	66.02	0	0	765	1,506
2020-08-17	$15.09	$15.00	27.4%	7.8%	30.8%	8.7%	28.1%	0.0%	5.7%	-188.3K	126.8K	-2.0K	0.00	93.87	1	0	765	1,506
2020-08-18	$14.97	$15.00	29.3%	8.4%	31.2%	9.8%	37.9%	0.0%	-5.9%	-252.2K	374.4K	-1.9K	0.00	106.63	1	0	766	1,506
2020-08-19	$14.85	$15.00	23.3%	6.7%	31.5%	6.4%	32.3%	0.0%	5.2%	-227.8K	665.6K	-1.7K	0.00	93.86	4	0	765	1,506
2020-08-20	$14.97	$15.00	32.1%	9.2%	31.2%	11.4%	33.2%	0.0%	-25.5%	-249.7K	379.8K	-1.5K	9.50	100.48	1	13	769	1,506
2020-08-21	$15.12	$15.00	26.9%	7.7%	31.3%	8.5%	0.0%	0.0%	37.3%	-445.9K	-255.7K	-1.2K	0.00	79.94	15	0	769	1,519
2020-08-24	$15.24	$15.00	24.0%	6.9%	31.0%	6.8%	22.7%	0.0%	8.3%	28.8K	-505.9K	-1.1K	0.00	79.17	4	0	561	156
2020-08-25	$15.21	$15.00	32.9%	9.4%	30.9%	11.9%	34.5%	0.0%	13.9%	21.5K	-489.7K	-1.1K	3.67	86.89	1	4	559	156
2020-08-26	$15.09	$15.00	30.5%	8.7%	31.3%	10.5%	39.9%	0.0%	-6.8%	19.4K	-463.8K	-1.1K	0.00	76.88	24	0	559	159
2020-08-27	$14.97	$15.00	19.6%	5.6%	31.6%	4.3%	0.0%	0.0%	6.4%	36.9K	-410.3K	-1.0K	0.00	82.92	2	0	543	159
2020-08-28	$15.06	$15.00	28.3%	8.1%	31.1%	9.2%	28.3%	0.0%	15.4%	24.7K	-447.3K	-1.0K	0.00	74.10	34	0	544	159
2020-08-31	$14.97	$15.00	18.7%	5.4%	31.1%	3.8%	0.0%	0.0%	17.3%	45.9K	-433.7K	-1.0K	8.00	77.24	1	5	578	159