OCSL Options History — December 2020

In December 2020, OCSL traded between $16.35 and $16.83. ATM implied volatility averaged 39.8%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 24.5% (HV 20d: 15.3%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 64.66.

Notable Days

2020-12-16: Highest Volume — 681 contracts
2020-12-04: Largest IV spike — 64.1% change
2020-12-02: Highest IV Rank — 29.5%
2020-12-02: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.63	$16.35	$16.83	$16.77	$16.77
Max Pain	$17.39	$15.00	$22.50	$15.00	$15.00
ATM IV	39.8%	23.6%	63.8%	49.8%	36.4%
Expected Move	10.7%	6.8%	18.3%	14.3%	10.4%
HV 20d	15.3%	11.2%	21.7%	21.6%	11.6%
HV 60d	21.0%	20.3%	21.6%	21.3%	20.3%
IV Rank	15.0%	4.9%	29.5%	21.5%	12.4%
IV Percentile	60.3%	21.0%	79.8%	75.0%	60.3%
Term Structure	-11.2%	-38.3%	19.8%	-31.6%	-16.5%
VWIV	36.8%	23.4%	45.1%	42.4%	45.1%
Bid-Ask Spread %	99.59	43.16	130.42	43.16	88.03
Gamma HHI	0.56	0.50	0.71	0.58	0.50
Net GEX	1.1K	-2.9K	5.8K	2.7K	2.6K
Net DEX	-130.4K	-207.1K	-12.7K	-150.2K	-186.1K
Net VEX	-546	-750	-394	-447	-539
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	64.66	0.00	333.67	0.89	14.91
Total Volume	175.773	0	681	6	286
Total OI	486.364	330	737	651	477

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
2020-12-01	$16.77	$15.00	49.8%	14.3%	21.6%	21.5%	42.4%	0.0%	-31.6%	2.7K	-150.2K	-447	0.89	43.16	3	3	239	412
2020-12-02	$16.77	$15.00	63.8%	18.3%	21.7%	29.5%	0.0%	0.0%	-25.4%	-1.9K	-102.6K	-750	0.00	82.81	1	0	238	413
2020-12-03	$16.71	$15.00	35.7%	12.2%	21.0%	13.5%	23.4%	0.0%	-38.3%	-2.9K	-135.2K	-458	333.67	91.84	1	334	239	413
2020-12-04	$16.74	$15.00	58.6%	8.6%	20.6%	26.6%	0.0%	0.0%	-5.5%	3.0K	-157.1K	-397	3.13	120.80	3	8	239	314
2020-12-07	$16.80	$22.50	49.6%	7.5%	20.6%	21.4%	0.0%	0.0%	19.8%	2.5K	-129.6K	-574	0.00	110.74	0	0	241	89
2020-12-08	$16.83	$22.50	46.5%	11.1%	17.5%	19.7%	0.0%	0.0%	-33.3%	1.3K	-176.3K	-394	0.00	122.32	1	0	241	89
2020-12-09	$16.71	$22.50	39.7%	11.4%	17.9%	15.8%	0.0%	0.0%	-9.9%	2.3K	-124.0K	-601	0.00	112.72	2	0	241	89
2020-12-10	$16.71	$22.50	38.8%	11.1%	15.5%	15.2%	29.6%	0.0%	-16.7%	2.2K	-125.6K	-488	30.77	130.42	4	133	241	89
2020-12-11	$16.80	$22.50	50.9%	14.6%	11.9%	22.2%	42.3%	0.0%	-15.9%	105	-130.4K	-654	19.62	105.87	7	137	243	221
2020-12-14	$16.44	$22.50	39.4%	11.3%	15.0%	15.6%	0.0%	0.0%	-10.2%	-2.6K	-12.7K	-568	200.00	126.38	1	133	178	332
2020-12-15	$16.62	$22.50	24.2%	6.9%	14.6%	5.8%	30.1%	0.0%	-2.1%	-1.2K	-41.0K	-439	8.04	110.17	33	268	179	221
2020-12-16	$16.62	$15.00	32.6%	9.3%	14.1%	10.2%	0.0%	0.0%	-3.4%	60	-93.8K	-597	64.90	99.05	10	671	212	223
2020-12-17	$16.47	$15.00	29.4%	8.4%	14.2%	8.3%	0.0%	0.0%	0.4%	-216	-76.6K	-570	200.00	100.00	0	67	211	225
2020-12-18	$16.41	$15.00	32.9%	9.4%	14.1%	10.3%	0.0%	0.0%	7.9%	-503	-64.1K	-475	1.00	98.21	67	68	211	271
2020-12-21	$16.41	$15.00	23.6%	6.8%	13.4%	4.9%	0.0%	0.0%	-0.1%	1.8K	-163.1K	-520	80.00	66.67	2	133	272	212
2020-12-22	$16.35	$15.00	27.3%	7.8%	13.4%	7.1%	36.1%	0.0%	-4.5%	1.0K	-149.6K	-566	40.00	89.31	3	133	274	322
2020-12-23	$16.47	$15.00	35.7%	10.2%	12.6%	12.0%	38.0%	0.0%	-2.7%	2.0K	-152.1K	-553	0.00	93.62	0	204	275	212
2020-12-24	$16.62	$15.00	37.9%	10.9%	11.2%	13.3%	0.0%	0.0%	-0.7%	5.8K	-207.1K	-550	100.00	123.03	1	67	275	220
2020-12-28	$16.59	$15.00	39.1%	11.2%	11.2%	14.0%	44.2%	0.0%	3.2%	3.1K	-167.5K	-605	0.00	94.14	0	203	275	190
2020-12-29	$16.59	$15.00	48.2%	13.8%	11.2%	19.2%	0.0%	0.0%	-37.0%	3.5K	-171.3K	-577	67.00	94.62	5	335	275	130
2020-12-30	$16.68	$15.00	36.3%	10.4%	11.4%	12.3%	0.0%	0.0%	-24.3%	-274	-152.8K	-699	0.00	87.10	0	540	275	462
2020-12-31	$16.77	$15.00	36.4%	10.4%	11.6%	12.4%	45.1%	0.0%	-16.5%	2.6K	-186.1K	-539	14.91	88.03	18	268	275	202