OCSL Options History — January 2021

In January 2021, OCSL traded between $16.68 and $17.43. ATM implied volatility averaged 46.3%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 31.9% (HV 20d: 14.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 7.51.

Notable Days

2021-01-07: Highest Volume — 348 contracts
2021-01-26: Largest IV spike — 65.8% change
2021-01-12: Highest IV Rank — 42.9%
2021-01-29: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.06	$16.68	$17.43	$16.80	$16.68
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	46.3%	27.7%	88.9%	51.3%	60.1%
Expected Move	11.3%	7.9%	17.2%	11.0%	17.2%
HV 20d	14.4%	11.5%	18.6%	11.5%	18.6%
HV 60d	20.2%	19.0%	20.7%	20.3%	19.0%
IV Rank	18.1%	7.3%	42.9%	21.0%	26.1%
IV Percentile	65.2%	35.7%	90.5%	74.6%	77.4%
Term Structure	15.7%	-33.2%	126.1%	-0.9%	-33.2%
VWIV	40.6%	30.7%	53.7%	40.3%	53.7%
Bid-Ask Spread %	83.53	60.01	112.78	79.76	94.41
Gamma HHI	0.55	0.50	0.92	0.51	0.52
Net GEX	2.5K	-518	3.9K	3.2K	-518
Net DEX	-209.8K	-252.0K	-128.6K	-205.4K	-128.6K
Net VEX	-459	-706	-158	-617	-516
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.51	0.00	62.50	22.50	0.26
Total Volume	52.158	1	348	141	33
Total OI	439.684	375	710	496	451

Daily Data (19 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
2021-01-04	$16.80	$15.00	51.3%	11.0%	11.5%	21.0%	40.3%	0.0%	-0.9%	3.2K	-205.4K	-617	22.50	79.76	6	135	292	204
2021-01-05	$16.95	$15.00	45.9%	11.6%	11.9%	17.9%	42.5%	0.0%	-3.7%	3.6K	-220.6K	-568	62.50	79.05	5	333	294	96
2021-01-06	$16.77	$15.00	46.9%	11.5%	12.5%	18.5%	39.4%	0.0%	-4.6%	908	-185.2K	-693	0.16	62.97	6	1	299	405
2021-01-07	$17.04	$15.00	60.6%	10.0%	13.7%	26.4%	41.6%	0.0%	6.2%	1.3K	-207.2K	-672	25.13	85.62	13	335	304	406
2021-01-08	$16.80	$15.00	52.6%	11.5%	14.4%	21.8%	38.4%	0.0%	-0.8%	3.8K	-218.0K	-631	0.33	84.64	1	0	317	97
2021-01-11	$16.98	$15.00	55.3%	10.7%	14.9%	23.4%	0.0%	0.0%	-14.3%	2.9K	-235.7K	-371	0.00	89.10	4	0	317	98
2021-01-12	$17.04	$15.00	88.9%	11.3%	14.8%	42.9%	0.0%	0.0%	-11.3%	3.0K	-229.0K	-435	0.10	95.22	3	0	321	98
2021-01-13	$17.10	$15.00	37.4%	10.7%	12.3%	13.0%	44.8%	0.0%	0.4%	3.4K	-242.1K	-613	0.50	80.68	2	1	324	98
2021-01-14	$17.43	$15.00	42.9%	12.3%	13.4%	16.1%	36.5%	0.0%	34.8%	2.6K	-250.4K	-257	0.00	82.61	13	0	326	98
2021-01-15	$17.28	$15.00	42.1%	12.1%	13.9%	15.7%	0.0%	0.0%	65.7%	3.9K	-252.0K	-706	0.00	83.27	1	0	335	98
2021-01-19	$17.19	$15.00	28.7%	8.2%	13.6%	7.9%	0.0%	0.0%	1.1%	2.4K	-206.7K	-413	0.00	88.61	0	4	301	79
2021-01-20	$17.19	$15.00	29.2%	8.4%	13.4%	8.2%	0.0%	0.0%	13.8%	1.5K	-214.9K	-158	0.00	63.60	1	0	301	79
2021-01-21	$17.43	$15.00	32.4%	9.3%	14.0%	10.1%	40.6%	0.0%	126.1%	1.5K	-220.7K	-175	4.17	97.02	2	8	302	82
2021-01-22	$17.22	$15.00	33.2%	9.5%	14.8%	10.5%	30.7%	0.0%	33.1%	1.8K	-212.5K	-200	0.18	78.12	4	1	302	73
2021-01-25	$17.28	$15.00	27.7%	7.9%	14.7%	7.3%	32.0%	0.0%	44.1%	1.6K	-218.7K	-357	0.11	60.01	12	1	306	74
2021-01-26	$17.37	$15.00	45.9%	13.2%	14.6%	17.9%	46.4%	0.0%	33.6%	3.2K	-198.6K	-437	0.00	112.78	3	0	311	77
2021-01-27	$16.86	$15.00	51.2%	14.7%	18.5%	21.0%	0.0%	0.0%	14.4%	3.6K	-167.7K	-502	0.45	93.03	7	3	313	77
2021-01-28	$16.77	$15.00	47.8%	13.7%	18.6%	19.0%	53.7%	0.0%	-7.1%	3.0K	-172.4K	-405	18.75	76.47	3	50	319	80
2021-01-29	$16.68	$15.00	60.1%	17.2%	18.6%	26.1%	0.0%	0.0%	-33.2%	-518	-128.6K	-516	0.26	94.41	26	7	321	130