OCSL Options History — October 2020

In October 2020, OCSL traded between $13.62 and $14.76. ATM implied volatility averaged 29.4%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 13.2% (HV 20d: 16.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.56.

Notable Days

2020-10-16: Highest Volume — 36 contracts
2020-10-12: Largest IV spike — 213.0% change
2020-10-13: Highest IV Rank — 28.1%
2020-10-15: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.45	$13.62	$14.76	$14.76	$13.62
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	29.4%	15.1%	61.3%	21.4%	28.9%
Expected Move	8.3%	4.3%	14.0%	6.1%	8.3%
HV 20d	16.3%	13.1%	20.4%	16.2%	20.4%
HV 60d	21.7%	21.2%	23.5%	21.4%	23.5%
IV Rank	9.9%	1.7%	28.1%	5.3%	9.6%
IV Percentile	43.9%	5.2%	78.6%	25.8%	50.8%
Term Structure	2.7%	-16.3%	43.5%	13.2%	-7.9%
VWIV	27.8%	17.0%	38.5%	17.0%	29.6%
Bid-Ask Spread %	68.67	28.05	99.92	82.08	59.82
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	15.0K	5.3K	24.7K	16.1K	5.3K
Net DEX	-59.5K	-123.7K	63.2K	-123.7K	63.2K
Net VEX	-665	-782	-383	-782	-432
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.00	2.33	0.66	0.00
Total Volume	7.227	0	36	35	13
Total OI	410	376	446	396	408

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
2020-10-01	$14.76	$15.00	21.4%	6.1%	16.2%	5.3%	17.0%	0.0%	13.2%	16.1K	-123.7K	-782	0.66	82.08	21	14	308	88
2020-10-02	$14.67	$15.00	15.1%	4.3%	16.1%	1.7%	0.0%	0.0%	13.7%	22.5K	-77.3K	-773	0.00	28.05	0	0	327	100
2020-10-05	$14.58	$15.00	20.2%	8.8%	15.8%	4.7%	0.0%	0.0%	-1.8%	18.6K	-78.5K	-749	1.00	34.09	0	0	328	100
2020-10-06	$14.55	$15.00	21.0%	8.3%	15.7%	5.1%	28.9%	0.0%	-1.5%	18.5K	-71.4K	-724	0.00	70.13	0	5	328	96
2020-10-07	$14.55	$15.00	22.1%	8.3%	15.6%	5.7%	0.0%	0.0%	-2.6%	18.6K	-69.4K	-716	0.00	91.88	2	0	328	96
2020-10-08	$14.76	$15.00	20.5%	9.3%	16.5%	4.8%	0.0%	0.0%	-0.4%	23.3K	-109.9K	-746	0.00	42.73	0	0	328	96
2020-10-09	$14.70	$15.00	16.7%	6.8%	16.3%	2.6%	0.0%	0.0%	-5.5%	24.7K	-90.6K	-722	0.00	99.92	0	0	328	96
2020-10-12	$14.58	$15.00	52.2%	9.2%	16.5%	22.9%	32.0%	0.0%	-11.1%	16.7K	-96.7K	-691	0.00	74.71	5	0	328	96
2020-10-13	$14.64	$15.00	61.3%	7.8%	16.4%	28.1%	0.0%	0.0%	-1.2%	18.0K	-100.7K	-677	0.00	77.91	0	0	333	96
2020-10-14	$14.76	$15.00	25.2%	7.2%	16.7%	7.5%	26.8%	0.0%	2.9%	23.3K	-112.5K	-687	0.00	89.23	20	0	333	96
2020-10-15	$14.70	$15.00	48.8%	14.0%	16.4%	21.0%	38.5%	0.0%	36.7%	19.7K	-91.0K	-646	0.00	96.36	0	0	349	96
2020-10-16	$14.64	$15.00	24.1%	6.9%	16.2%	6.9%	24.5%	0.0%	43.5%	10.8K	-60.3K	-666	0.40	87.89	26	10	350	96
2020-10-19	$14.40	$15.00	28.7%	8.2%	16.4%	9.5%	27.4%	0.0%	0.7%	11.0K	-52.5K	-672	0.73	79.60	4	3	282	94
2020-10-20	$14.46	$15.00	32.8%	9.4%	16.4%	11.8%	0.0%	0.0%	-8.9%	12.2K	-53.0K	-691	0.00	99.43	2	0	286	98
2020-10-21	$14.40	$15.00	26.7%	7.6%	15.8%	8.3%	0.0%	0.0%	2.0%	11.0K	-46.8K	-678	0.00	75.00	0	0	288	98
2020-10-22	$14.55	$15.00	25.9%	7.4%	15.9%	7.9%	26.2%	0.0%	6.0%	12.7K	-57.7K	-679	0.50	73.83	1	0	288	98
2020-10-23	$14.49	$15.00	25.0%	7.2%	16.0%	7.4%	0.0%	0.0%	1.0%	11.8K	-54.0K	-668	0.00	73.02	0	3	288	98
2020-10-26	$14.28	$15.00	31.3%	9.0%	13.1%	11.0%	0.0%	0.0%	-16.3%	10.9K	-40.1K	-610	0.00	57.62	0	3	288	98
2020-10-27	$14.13	$15.00	29.8%	8.5%	13.4%	10.1%	27.8%	0.0%	-5.8%	10.0K	-36.3K	-627	2.33	29.60	1	2	288	101
2020-10-28	$13.68	$15.00	24.8%	7.1%	17.2%	7.3%	27.5%	0.0%	-6.8%	5.6K	52.8K	-383	2.27	53.09	7	17	289	102
2020-10-29	$13.98	$15.00	44.8%	12.8%	18.6%	18.7%	0.0%	0.0%	9.6%	7.3K	-3.5K	-605	0.00	34.77	0	0	290	118
2020-10-30	$13.62	$15.00	28.9%	8.3%	20.4%	9.6%	29.6%	0.0%	-7.9%	5.3K	63.2K	-432	0.00	59.82	13	0	290	118