OCSL Options History — September 2020

In September 2020, OCSL traded between $14.19 and $15.06. ATM implied volatility averaged 22.6%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 7.0% (HV 20d: 15.6%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.61.

Notable Days

2020-09-03: Highest Volume — 54 contracts
2020-09-03: Largest IV spike — 116.4% change
2020-09-03: Highest IV Rank — 22.9%
2020-09-04: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.70	$14.19	$15.06	$14.97	$14.58
Max Pain	$13.21	$7.50	$15.00	$15.00	$15.00
ATM IV	22.6%	15.4%	52.3%	16.0%	23.3%
Expected Move	6.7%	4.4%	14.6%	4.6%	6.7%
HV 20d	15.6%	10.6%	31.3%	31.0%	15.6%
HV 60d	21.7%	20.6%	24.3%	24.3%	21.3%
IV Rank	6.0%	1.9%	22.9%	2.2%	6.4%
IV Percentile	27.9%	5.6%	77.0%	6.7%	33.7%
Term Structure	11.0%	-9.6%	27.1%	27.1%	10.0%
VWIV	23.1%	15.4%	43.4%	22.6%	20.7%
Bid-Ask Spread %	80.63	19.06	118.27	19.06	64.14
Gamma HHI	1.00	0.99	1.00	1.00	1.00
Net GEX	33.1K	10.1K	64.9K	56.1K	14.7K
Net DEX	-232.1K	-453.3K	-36.3K	-427.3K	-98.7K
Net VEX	-896	-1.1K	-664	-1.0K	-769
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.00	5.00	0.00	0.00
Total Volume	7.238	0	54	5	0
Total OI	607.524	375	819	742	396

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
2020-09-01	$14.97	$15.00	16.0%	4.6%	31.0%	2.2%	22.6%	0.0%	27.1%	56.1K	-427.3K	-1.0K	0.00	19.06	5	0	577	165
2020-09-02	$15.06	$15.00	24.1%	6.9%	31.0%	6.9%	25.2%	0.0%	2.1%	42.7K	-453.3K	-1.0K	0.19	45.28	19	4	579	165
2020-09-03	$14.94	$15.00	52.3%	12.2%	31.3%	22.9%	43.4%	0.0%	-8.5%	19.3K	-453.1K	-1.1K	0.00	112.93	54	0	590	168
2020-09-04	$14.79	$7.50	23.8%	14.6%	29.5%	6.7%	0.0%	0.0%	-9.6%	35.1K	-412.3K	-1.1K	0.00	89.91	1	0	643	168
2020-09-08	$14.85	$7.50	24.4%	7.8%	13.1%	7.1%	27.2%	0.0%	19.2%	44.0K	-419.6K	-1.0K	1.50	92.15	2	3	644	168
2020-09-09	$14.91	$7.50	26.0%	7.4%	13.3%	7.9%	20.1%	0.0%	16.4%	48.1K	-446.4K	-1.1K	5.00	54.05	1	3	646	169
2020-09-10	$14.82	$7.50	23.1%	6.6%	10.7%	6.3%	0.0%	0.0%	16.0%	43.9K	-399.0K	-1.0K	0.00	98.70	0	0	646	173
2020-09-11	$14.91	$7.50	15.4%	4.4%	10.8%	1.9%	15.4%	0.0%	16.8%	64.9K	-216.0K	-991	0.08	86.51	4	0	514	173
2020-09-14	$14.91	$15.00	23.9%	6.9%	10.7%	6.8%	0.0%	0.0%	4.3%	60.8K	-283.4K	-1.0K	2.00	113.39	2	3	517	173
2020-09-15	$14.79	$15.00	23.0%	6.6%	11.0%	6.3%	23.1%	0.0%	10.5%	57.1K	-226.1K	-973	0.00	104.68	4	0	518	172
2020-09-16	$14.79	$15.00	22.2%	6.4%	10.7%	5.8%	20.5%	0.0%	10.3%	57.4K	-223.2K	-936	0.00	108.17	14	0	519	172
2020-09-17	$14.64	$15.00	28.1%	8.1%	10.9%	9.2%	28.2%	0.0%	4.7%	42.3K	-195.0K	-890	0.00	93.43	0	0	521	172
2020-09-18	$14.76	$15.00	19.4%	5.6%	10.9%	4.2%	19.7%	0.0%	8.4%	15.3K	-114.5K	-835	0.00	100.38	6	0	521	172
2020-09-21	$14.55	$15.00	21.1%	6.0%	11.2%	5.1%	21.1%	0.0%	10.7%	13.6K	-102.6K	-777	0.00	96.29	8	0	297	78
2020-09-22	$14.46	$15.00	18.5%	5.3%	10.6%	3.7%	17.5%	0.0%	14.5%	14.0K	-90.4K	-761	1.00	74.15	3	3	303	78
2020-09-23	$14.28	$15.00	17.7%	5.1%	11.2%	3.2%	0.0%	0.0%	18.7%	11.8K	-61.6K	-717	0.00	78.58	0	3	306	81
2020-09-24	$14.19	$15.00	17.4%	5.0%	11.1%	3.0%	19.4%	0.0%	18.2%	10.1K	-38.4K	-664	0.00	90.43	0	3	306	85
2020-09-25	$14.22	$15.00	18.1%	5.2%	11.1%	3.4%	20.7%	0.0%	11.7%	11.4K	-36.3K	-679	0.00	118.27	0	0	306	88
2020-09-28	$14.64	$15.00	19.2%	5.5%	15.6%	4.1%	0.0%	0.0%	14.7%	16.7K	-98.7K	-784	0.00	27.39	5	0	306	88
2020-09-29	$14.55	$15.00	17.3%	5.0%	15.6%	3.0%	0.0%	0.0%	15.0%	15.8K	-78.5K	-752	0.67	25.41	1	1	307	88
2020-09-30	$14.58	$15.00	23.3%	6.7%	15.6%	6.4%	0.0%	0.0%	10.0%	14.7K	-98.7K	-769	0.00	64.14	0	0	308	88