OCSL Options History — February 2021

In February 2021, OCSL traded between $16.98 and $18.69. ATM implied volatility averaged 59.4%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 35.7% (HV 20d: 23.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.14.

Notable Days

2021-02-04: Highest Volume — 107 contracts
2021-02-18: Largest IV spike — 193.7% change
2021-02-18: Highest IV Rank — 56.2%
2021-02-18: Largest Expected Move — 32.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.14	$16.98	$18.69	$16.98	$18.45
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	59.4%	29.5%	111.9%	30.3%	49.3%
Expected Move	13.5%	8.5%	32.1%	8.7%	14.1%
HV 20d	23.6%	19.6%	25.2%	19.6%	22.4%
HV 60d	18.3%	17.5%	19.3%	19.0%	18.1%
IV Rank	25.7%	8.4%	56.2%	8.8%	19.9%
IV Percentile	71.0%	40.5%	95.2%	44.4%	69.0%
Term Structure	-11.1%	-38.4%	70.9%	8.0%	-22.7%
VWIV	47.3%	33.5%	68.2%	33.5%	62.5%
Skew 25d	35.5%	6.6%	57.6%	42.1%	57.6%
Skew 10d	47.4%	18.1%	93.8%	30.4%	93.8%
Call IV 25d	43.7%	26.5%	53.7%	26.5%	51.0%
Put IV 25d	79.2%	60.3%	108.7%	68.6%	108.7%
Bid-Ask Spread %	69.36	41.91	130.45	52.92	44.15
Gamma HHI	0.63	0.53	0.99	0.53	0.61
Net GEX	3.6K	818	5.7K	818	4.4K
Net DEX	-204.5K	-303.4K	-126.1K	-185.9K	-127.5K
Net VEX	-891	-1.2K	-439	-684	-857
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	1.19	0.00	0.00
Total Volume	31.421	2	107	4	4
Total OI	596.789	483	748	483	561

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
2021-02-01	$16.98	$15.00	30.3%	8.7%	19.6%	8.8%	33.5%	0.0%	8.0%	818	-185.9K	-684	0.00	52.92	4	0	346	137
2021-02-02	$17.55	$15.00	48.7%	14.0%	22.7%	19.5%	48.7%	0.0%	-2.0%	1.5K	-208.7K	-703	0.00	61.46	17	0	349	137
2021-02-03	$17.67	$15.00	39.8%	11.4%	22.6%	14.4%	0.0%	0.0%	-0.3%	1.1K	-220.0K	-689	0.38	72.69	43	17	364	137
2021-02-04	$17.46	$15.00	90.8%	9.9%	22.7%	43.9%	34.9%	0.0%	-18.4%	4.2K	-183.8K	-439	0.16	91.37	92	15	400	137
2021-02-05	$17.97	$15.00	93.3%	9.5%	24.2%	45.4%	35.8%	0.0%	7.1%	5.2K	-303.4K	-906	1.19	87.19	30	35	465	148
2021-02-08	$17.94	$15.00	109.1%	8.6%	23.4%	54.6%	0.0%	0.0%	-5.6%	4.2K	-191.0K	-1.0K	0.13	58.04	15	2	416	177
2021-02-09	$17.88	$15.00	66.6%	8.9%	23.4%	29.9%	0.0%	0.0%	-7.7%	2.4K	-195.6K	-924	0.38	52.70	22	8	428	179
2021-02-10	$18.24	$15.00	29.5%	8.5%	24.2%	8.4%	0.0%	0.0%	-10.6%	1.8K	-208.3K	-801	0.38	65.41	18	7	413	186
2021-02-11	$18.51	$15.00	37.1%	10.6%	24.5%	12.8%	0.0%	0.0%	-19.3%	5.7K	-237.7K	-1.1K	0.01	58.18	47	1	427	193
2021-02-12	$18.66	$15.00	47.4%	13.6%	23.9%	18.8%	68.2%	0.0%	-38.1%	3.3K	-250.7K	-999	0.00	69.87	82	0	468	193
2021-02-16	$18.69	$15.00	49.0%	14.0%	23.5%	19.7%	62.5%	0.0%	-24.0%	5.0K	-266.5K	-980	0.00	68.51	43	0	546	193
2021-02-17	$18.27	$15.00	38.1%	10.9%	25.2%	13.4%	0.0%	0.0%	-21.5%	3.3K	-248.3K	-790	0.00	82.99	9	0	555	193
2021-02-18	$18.33	$15.00	111.9%	32.1%	25.1%	56.2%	0.0%	0.0%	0.0%	4.1K	-251.5K	-1.2K	0.03	130.45	10	0	549	193
2021-02-19	$18.36	$15.00	41.1%	11.8%	24.8%	15.1%	0.0%	0.0%	-32.5%	4.1K	-249.5K	-747	0.00	87.64	21	0	546	193
2021-02-22	$18.48	$15.00	47.6%	13.6%	24.2%	18.9%	0.0%	0.0%	70.9%	4.6K	-142.8K	-1.1K	0.03	41.91	12	0	382	129
2021-02-23	$18.33	$15.00	44.7%	12.8%	24.6%	17.2%	0.0%	42.1%	-11.7%	3.9K	-126.1K	-782	0.00	62.32	2	0	394	129
2021-02-24	$18.57	$15.00	79.7%	22.8%	24.8%	37.5%	0.0%	6.6%	-38.4%	4.8K	-160.6K	-1.2K	0.00	79.11	34	0	392	129
2021-02-25	$18.30	$15.00	73.7%	21.1%	22.6%	34.0%	0.0%	0.0%	-32.3%	4.3K	-127.9K	-950	0.00	50.95	7	0	426	129
2021-02-26	$18.45	$15.00	49.3%	14.1%	22.4%	19.9%	0.0%	57.6%	-22.7%	4.4K	-127.5K	-857	0.00	44.15	4	0	432	129