OCSL Options History — April 2021

In April 2021, OCSL traded between $18.69 and $20.34. ATM implied volatility averaged 156.7%, placing in the 69.6% IV rank vs the trailing year. The 30-day expected move averaged 49.0%. IV traded above realized volatility by 141.2% (HV 20d: 15.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.04.

Notable Days

  • 2021-04-28: Highest Volume — 148 contracts
  • 2021-04-14: Largest IV spike — 229.2% change
  • 2021-04-14: Highest IV Rank — 100.0%
  • 2021-04-30: Largest Expected Move — 80.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.83$18.69$20.34$18.69$20.01
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV156.7%48.4%281.6%91.5%281.6%
Expected Move49.0%10.8%80.7%26.2%80.7%
HV 20d15.5%13.4%18.0%13.5%15.6%
HV 60d18.2%15.7%19.2%18.6%16.1%
IV Rank69.6%13.9%100.0%44.5%100.0%
IV Percentile93.1%64.7%100.0%90.1%100.0%
Term Structure-35.4%-128.2%141.1%-128.2%-88.3%
VWIV153.3%58.1%248.4%248.4%58.1%
Skew 25d-22.5%-37.1%29.8%-16.6%-28.2%
Skew 10d-19.8%-47.8%63.6%-42.9%46.4%
Call IV 25d121.4%21.6%160.2%108.1%112.3%
Put IV 25d98.8%39.6%124.7%91.5%84.1%
Bid-Ask Spread %127.95104.42142.73122.72122.20
Gamma HHI0.950.670.990.670.92
Net GEX10.7K4.6K18.1K4.6K17.0K
Net DEX-97.4K-261.9K-22.7K-40.8K-261.9K
Net VEX-1.1K-2.0K-833-990-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.470.000.00
Total Volume13.6670148310
Total OI509.714465699468699

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$18.69$0.0091.5%26.2%13.5%44.5%248.4%-16.6%-128.2%4.6K-40.8K-9900.00122.7230364104
2021-04-05$19.23$0.0054.6%54.2%16.8%23.0%0.0%-26.5%-62.2%7.1K-52.9K-1.0K0.00126.3510361104
2021-04-06$19.29$0.0090.4%55.4%16.8%43.8%0.0%-36.3%-31.7%9.7K-98.2K-1.2K0.00134.3220364105
2021-04-07$19.44$0.00149.6%52.5%16.5%78.3%0.0%-21.5%-35.1%11.3K-106.5K-1.2K0.00122.5900363105
2021-04-08$19.89$0.00117.2%29.7%18.0%59.4%0.0%-17.1%-18.9%10.7K-77.2K-1.0K0.00135.6130363105
2021-04-09$19.83$0.00105.4%30.0%17.8%59.2%0.0%-30.4%-35.8%12.0K-81.5K-1.0K0.00137.1700366105
2021-04-12$19.83$0.00139.4%60.1%17.7%81.4%0.0%-27.8%-44.4%8.9K-71.0K-9600.00120.6920366105
2021-04-13$19.83$15.0061.5%10.8%17.5%30.4%58.1%18.1%141.1%16.4K-147.7K-1.3K0.47104.422411528143
2021-04-14$19.62$0.00202.4%58.0%17.3%100.0%0.0%-34.7%-40.5%8.3K-67.0K-9160.00127.4530366105
2021-04-15$19.71$0.00127.2%36.5%16.9%59.9%0.0%-37.1%28.8%7.9K-22.7K-8330.00135.8500369105
2021-04-16$19.86$0.00208.0%59.6%15.9%100.0%0.0%-23.5%-50.0%8.0K-25.7K-8690.00132.3600369105
2021-04-19$20.01$0.00222.5%63.8%15.2%100.0%0.0%-25.1%-46.7%9.5K-74.5K-9380.00139.6330369105
2021-04-20$20.04$0.00134.5%38.6%15.3%57.6%0.0%-35.5%-60.7%9.9K-77.9K-9630.00142.7350369105
2021-04-21$20.07$0.00232.9%66.8%13.4%100.0%0.0%-26.3%-57.8%10.0K-84.3K-9590.00135.8130373105
2021-04-22$20.01$0.00231.6%66.4%13.7%99.4%0.0%-25.2%-56.5%10.3K-86.8K-9940.33125.4721377105
2021-04-23$20.10$0.00240.3%68.9%13.6%100.0%0.0%-26.4%-65.2%9.7K-82.8K-9220.00125.3230378106
2021-04-26$20.07$0.00255.1%73.1%13.6%100.0%0.0%-28.5%-71.9%9.4K-88.5K-9220.00116.62140382106
2021-04-27$20.22$0.00144.9%41.5%13.6%54.1%0.0%-28.5%-61.2%11.6K-100.9K-1.0K0.00126.80470396106
2021-04-28$20.34$0.0048.4%13.9%13.6%13.9%0.0%29.8%136.7%13.8K-173.7K-1.4K0.00138.751480449106
2021-04-29$20.34$0.00151.9%43.6%13.7%57.0%0.0%-25.9%-94.4%18.1K-223.7K-1.7K0.00114.1720592106
2021-04-30$20.01$0.00281.6%80.7%15.6%100.0%0.0%-28.2%-88.3%17.0K-261.9K-2.0K0.00122.20100593106