OCSL Options History — March 2021

In March 2021, OCSL traded between $18.39 and $19.02. ATM implied volatility averaged 93.1%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded above realized volatility by 77.2% (HV 20d: 16.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.08.

Notable Days

  • 2021-03-03: Highest Volume — 63 contracts
  • 2021-03-17: Largest IV spike — 80.4% change
  • 2021-03-26: Highest IV Rank — 88.9%
  • 2021-03-26: Largest Expected Move — 48.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.61$18.39$19.02$18.60$18.63
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV93.1%38.5%167.8%75.5%135.7%
Expected Move26.4%11.0%48.1%21.7%38.9%
HV 20d16.0%13.3%22.1%22.1%13.9%
HV 60d18.3%17.7%18.7%18.1%18.6%
IV Rank45.4%13.6%88.9%35.1%70.2%
IV Percentile83.1%53.6%99.6%82.9%96.0%
Term Structure-50.2%-110.2%-6.8%-50.1%-86.9%
VWIV62.9%38.7%116.1%61.3%90.6%
Skew 25d-8.0%-42.5%30.1%-6.7%-18.1%
Skew 10d-11.3%-56.4%31.0%-2.0%30.9%
Call IV 25d84.2%29.3%170.9%43.6%96.2%
Put IV 25d76.2%34.2%128.4%37.0%78.1%
Bid-Ask Spread %107.4925.17142.3933.64124.64
Gamma HHI0.680.630.890.640.66
Net GEX5.7K3.8K9.0K5.0K4.5K
Net DEX-93.7K-161.6K7.7K-135.8K-44.4K
Net VEX-990-1.3K-849-849-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.670.070.00
Total Volume9.435063512
Total OI557.391388634566456

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$18.60$15.0075.5%21.7%22.1%35.1%0.0%-6.7%-50.1%5.0K-135.8K-8490.0733.6450437129
2021-03-02$18.57$15.0049.4%14.2%21.7%19.9%61.3%16.6%-15.0%5.2K-140.5K-9290.0025.1780440129
2021-03-03$18.57$15.0077.4%22.2%19.0%36.2%116.1%0.0%-65.1%5.0K-136.7K-9240.0038.06630441129
2021-03-04$18.42$15.0065.6%15.6%19.3%29.4%0.0%23.8%-19.3%5.7K-140.6K-1.1K0.00105.4750503129
2021-03-05$18.45$15.0067.5%18.0%18.6%30.5%0.0%-1.7%-58.8%5.4K-137.0K-9520.0098.4370505129
2021-03-08$18.51$15.0071.3%21.9%15.8%32.6%0.0%30.1%-56.5%6.0K-146.4K-1.1K0.14113.3851499129
2021-03-09$18.72$15.0091.8%21.8%16.1%44.6%0.0%0.0%-46.1%5.9K-142.6K-9550.00107.8530494130
2021-03-10$18.66$15.0064.5%18.5%16.1%28.7%42.5%0.0%-55.0%6.2K-148.0K-9110.67119.291510494130
2021-03-11$18.90$15.0039.9%11.4%15.3%14.4%0.0%0.0%-6.9%8.4K-161.6K-8550.00115.06150496130
2021-03-12$18.84$15.0038.5%11.0%14.6%13.6%46.9%0.0%-6.8%8.6K-118.1K-1.1K0.15109.19152486130
2021-03-15$19.02$15.0051.4%14.7%14.7%21.1%38.7%0.0%-7.1%9.0K-126.6K-1.1K0.50102.8610497131
2021-03-16$18.78$15.0038.8%11.1%15.4%13.7%44.0%0.0%-7.8%6.2K-69.5K-1.0K0.0087.1800498131
2021-03-17$18.63$15.0069.9%20.1%13.3%31.9%90.6%0.0%-61.6%7.0K-94.2K-9630.00110.7900498131
2021-03-18$18.39$15.0077.4%22.2%14.1%36.3%0.0%12.6%-31.7%7.4K-115.3K-1.3K0.00118.5260498131
2021-03-19$18.69$15.0089.1%25.6%15.2%43.1%0.0%11.3%-60.3%7.6K-102.1K-9890.00109.7880503131
2021-03-22$18.72$0.00137.5%39.4%15.1%71.2%0.0%-20.6%-63.1%5.1K-80.8K-9020.00132.4820032860
2021-03-23$18.42$0.00140.3%40.2%15.9%72.9%0.0%-33.5%-66.6%3.9K-34.2K-1.0K0.00131.94130349104
2021-03-24$18.51$0.00144.9%41.6%15.3%75.6%0.0%-42.5%-62.9%3.9K7.7K-8810.00138.0600353104
2021-03-25$18.51$0.00143.1%41.0%14.3%74.5%0.0%-21.5%-56.1%3.8K-16.7K-9750.00142.3920353104
2021-03-26$18.48$0.00167.8%48.1%14.1%88.9%0.0%-22.1%-75.2%4.0K-36.1K-1.0K0.00136.0500353104
2021-03-29$18.51$0.00139.5%40.0%13.8%72.4%0.0%-18.4%-110.2%4.1K-33.1K-9870.00133.6200353104
2021-03-30$18.57$0.00165.1%47.3%13.8%87.3%0.0%-28.9%-86.3%4.3K-1.4K-9620.00138.4310353104
2021-03-31$18.63$0.00135.7%38.9%13.9%70.2%0.0%-18.1%-86.9%4.5K-44.4K-1.1K0.00124.64120352104