OCSL Options History — November 2020

In November 2020, OCSL traded between $13.77 and $16.80. ATM implied volatility averaged 32.9%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.7% (HV 20d: 27.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.11.

Notable Days

2020-11-25: Highest Volume — 358 contracts
2020-11-09: Largest IV spike — 164.1% change
2020-11-27: Highest IV Rank — 33.8%
2020-11-27: Largest Expected Move — 20.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.53	$13.77	$16.80	$13.77	$16.80
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	32.9%	19.6%	71.3%	25.3%	38.1%
Expected Move	9.0%	5.0%	20.4%	7.3%	10.9%
HV 20d	27.2%	21.0%	30.7%	21.0%	21.2%
HV 60d	20.3%	17.1%	22.6%	22.6%	21.4%
IV Rank	11.9%	4.3%	33.8%	7.6%	14.9%
IV Percentile	51.1%	13.1%	83.7%	39.7%	66.3%
Term Structure	8.6%	-66.7%	142.7%	-1.1%	1.8%
VWIV	40.3%	20.1%	103.2%	35.3%	76.2%
Bid-Ask Spread %	87.01	28.99	138.82	67.59	28.99
Gamma HHI	0.91	0.53	1.00	1.00	0.82
Net GEX	9.9K	-4.7K	26.6K	5.5K	-4.7K
Net DEX	-171.0K	-438.1K	68.9K	68.9K	-158.3K
Net VEX	-573	-779	-204	-397	-330
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.00	13.16	2.67	0.36
Total Volume	34.15	0	358	0	11
Total OI	449	269	650	405	650

Daily Data (20 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
2020-11-02	$13.77	$15.00	25.3%	7.3%	21.0%	7.6%	0.0%	0.0%	-1.1%	5.5K	68.9K	-397	0.00	67.59	0	0	290	115
2020-11-03	$14.01	$15.00	28.4%	8.1%	22.2%	9.3%	0.0%	0.0%	-0.6%	8.5K	35.4K	-498	0.00	69.53	0	0	290	115
2020-11-04	$14.40	$15.00	25.3%	7.3%	24.5%	7.6%	35.3%	0.0%	8.8%	13.7K	-456	-578	0.00	68.92	0	7	290	115
2020-11-05	$14.67	$15.00	24.3%	7.4%	24.9%	7.0%	0.0%	0.0%	-0.6%	17.9K	-42.0K	-642	2.67	83.67	2	5	290	119
2020-11-06	$14.70	$15.00	25.3%	5.0%	24.9%	7.5%	0.0%	0.0%	11.0%	18.7K	-52.6K	-656	0.00	104.74	0	0	292	119
2020-11-09	$15.24	$15.00	66.8%	14.9%	27.7%	31.2%	27.0%	0.0%	-1.0%	6.5K	-160.0K	-668	0.00	138.82	32	0	292	119
2020-11-10	$15.24	$15.00	35.9%	7.7%	27.7%	13.6%	29.4%	0.0%	1.5%	16.2K	-190.9K	-684	0.00	109.27	0	0	315	119
2020-11-11	$15.69	$15.00	34.1%	9.8%	29.3%	12.6%	29.6%	0.0%	1.7%	15.9K	-256.5K	-633	0.13	92.42	52	7	316	119
2020-11-12	$15.33	$15.00	25.4%	7.3%	30.7%	7.6%	26.8%	0.0%	1.6%	15.1K	-199.8K	-737	0.00	137.60	2	0	326	125
2020-11-13	$15.45	$15.00	29.7%	8.5%	30.6%	10.1%	29.4%	0.0%	-0.4%	26.6K	-259.4K	-668	0.00	135.81	2	0	327	125
2020-11-16	$15.69	$15.00	32.4%	9.3%	30.1%	11.6%	39.7%	0.0%	-10.1%	11.5K	-257.6K	-646	0.11	112.89	84	9	328	125
2020-11-17	$15.57	$15.00	31.3%	9.0%	30.4%	11.0%	33.5%	0.0%	-3.5%	15.1K	-263.8K	-738	0.21	125.72	19	4	394	134
2020-11-18	$15.78	$15.00	35.0%	10.0%	30.4%	13.1%	46.8%	0.0%	-12.5%	12.1K	-289.4K	-779	0.04	106.96	9	0	405	138
2020-11-19	$15.93	$15.00	19.6%	5.6%	30.4%	4.3%	21.5%	0.0%	0.0%	12.5K	-363.9K	-577	0.05	37.72	18	1	407	138
2020-11-20	$16.14	$15.00	22.8%	6.5%	30.4%	6.1%	50.5%	0.0%	142.7%	3.0K	-438.1K	-713	0.64	60.71	11	7	404	139
2020-11-23	$16.23	$15.00	29.4%	8.4%	29.4%	9.9%	35.8%	0.0%	48.3%	3.6K	-142.5K	-519	0.12	71.02	32	4	197	72
2020-11-24	$16.47	$15.00	27.0%	7.7%	28.9%	8.5%	20.1%	0.0%	9.8%	501	-170.4K	-263	0.20	67.66	2	0	216	76
2020-11-25	$16.77	$15.00	31.6%	9.0%	24.9%	11.1%	0.0%	0.0%	33.2%	2.1K	-131.6K	-533	13.16	30.91	25	333	215	76
2020-11-27	$16.77	$15.00	71.3%	20.4%	24.7%	33.8%	103.2%	0.0%	-66.7%	-3.1K	-147.6K	-204	0.00	89.33	5	0	238	410
2020-11-30	$16.80	$15.00	38.1%	10.9%	21.2%	14.9%	76.2%	0.0%	1.8%	-4.7K	-158.3K	-330	0.36	28.99	8	3	240	410