OCSL Options History — May 2021

In May 2021, OCSL traded between $19.20 and $20.34. ATM implied volatility averaged 204.7%, placing in the 67.4% IV rank vs the trailing year. The 30-day expected move averaged 63.2%. IV traded above realized volatility by 187.4% (HV 20d: 17.3%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.03.

Notable Days

2021-05-24: Highest Volume — 107 contracts
2021-05-13: Largest IV spike — 101.4% change
2021-05-05: Highest IV Rank — 100.0%
2021-05-05: Largest Expected Move — 85.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.95	$19.20	$20.34	$20.19	$20.22
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	204.7%	73.8%	298.6%	250.7%	284.0%
Expected Move	63.2%	27.8%	85.6%	71.9%	81.4%
HV 20d	17.3%	12.1%	20.1%	12.6%	19.2%
HV 60d	16.0%	15.2%	16.7%	15.9%	16.1%
IV Rank	67.4%	20.7%	100.0%	88.4%	94.8%
IV Percentile	94.6%	81.3%	100.0%	99.2%	99.6%
Term Structure	-185.3%	-265.0%	-47.9%	-47.9%	-265.0%
Skew 25d	2.6%	-33.7%	96.7%	-28.8%	83.0%
Skew 10d	0.1%	-56.4%	121.9%	-34.0%	121.2%
Call IV 25d	111.0%	27.2%	156.4%	116.5%	41.3%
Put IV 25d	113.6%	87.7%	145.0%	87.7%	124.3%
Bid-Ask Spread %	127.05	118.94	143.72	127.02	119.62
Gamma HHI	0.97	0.91	1.00	0.92	1.00
Net GEX	22.0K	16.1K	28.7K	17.9K	28.7K
Net DEX	-261.8K	-310.3K	-188.0K	-279.7K	-285.3K
Net VEX	-2.0K	-2.2K	-1.7K	-2.0K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.33	0.00	0.00
Total Volume	20.85	0	107	23	2
Total OI	833.2	700	931	700	931

Daily Data (20 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
2021-05-03	$20.19	$0.00	250.7%	71.9%	12.6%	88.4%	0.0%	-28.8%	-47.9%	17.9K	-279.7K	-2.0K	0.00	127.02	23	0	594	106
2021-05-04	$19.89	$0.00	239.1%	68.5%	14.1%	84.1%	0.0%	-10.2%	-54.9%	16.8K	-264.4K	-2.1K	0.00	130.19	41	0	614	106
2021-05-05	$20.13	$0.00	298.6%	85.6%	14.4%	100.0%	0.0%	-25.4%	-102.9%	19.4K	-278.9K	-2.1K	0.00	118.99	27	0	637	106
2021-05-06	$20.07	$22.50	73.8%	57.6%	12.1%	20.7%	0.0%	-27.4%	-174.5%	22.0K	-276.8K	-2.1K	0.00	143.72	15	0	663	106
2021-05-07	$20.34	$22.50	95.3%	33.9%	12.9%	28.3%	0.0%	-29.1%	-172.3%	22.0K	-310.3K	-2.2K	0.00	132.95	4	0	666	106
2021-05-10	$20.10	$22.50	118.4%	62.2%	13.7%	36.4%	0.0%	-30.1%	-187.8%	20.9K	-279.2K	-2.0K	0.04	119.15	8	0	662	106
2021-05-11	$19.74	$22.50	76.0%	39.7%	15.2%	21.5%	0.0%	-9.0%	-199.9%	17.6K	-207.6K	-1.7K	0.03	137.99	76	2	669	106
2021-05-12	$19.20	$22.50	96.9%	27.8%	17.8%	28.9%	0.0%	-6.9%	-121.6%	16.1K	-188.0K	-1.8K	0.00	135.40	48	0	705	108
2021-05-13	$19.53	$22.50	195.1%	55.9%	18.8%	63.5%	0.0%	-24.3%	-168.0%	20.5K	-246.5K	-2.1K	0.00	124.89	0	1	751	108
2021-05-14	$19.86	$22.50	209.4%	60.0%	19.6%	68.5%	0.0%	-25.9%	-179.7%	21.5K	-274.9K	-2.1K	0.00	132.46	2	0	751	109
2021-05-17	$19.92	$22.50	237.3%	68.0%	19.4%	78.4%	0.0%	-33.7%	-211.8%	22.8K	-255.8K	-2.0K	0.12	119.59	6	1	752	109
2021-05-18	$19.92	$22.50	130.0%	37.3%	19.4%	40.5%	0.0%	-27.4%	-201.4%	22.6K	-303.4K	-2.2K	0.00	133.91	0	0	757	109
2021-05-19	$19.92	$22.50	229.5%	65.8%	19.4%	75.6%	0.0%	-28.6%	-204.9%	24.3K	-260.7K	-2.0K	0.00	140.94	0	0	757	109
2021-05-20	$20.01	$22.50	240.1%	68.8%	19.5%	79.4%	0.0%	-30.9%	-177.6%	23.3K	-258.4K	-2.0K	0.00	119.67	0	0	757	109
2021-05-21	$20.04	$22.50	250.6%	71.8%	19.4%	83.1%	0.0%	-33.6%	-235.8%	24.0K	-251.1K	-1.9K	0.33	118.94	1	0	757	110
2021-05-24	$20.07	$22.50	264.4%	75.8%	19.4%	87.9%	0.0%	84.0%	-249.3%	22.7K	-239.5K	-1.8K	0.02	119.34	105	2	756	110
2021-05-25	$19.86	$22.50	275.7%	79.0%	19.5%	91.9%	0.0%	96.7%	-259.6%	24.6K	-242.9K	-1.9K	0.01	119.22	26	0	791	112
2021-05-26	$19.89	$22.50	266.1%	76.3%	19.4%	88.5%	0.0%	75.3%	-245.9%	24.5K	-259.8K	-1.9K	0.00	127.73	26	0	816	113
2021-05-27	$20.16	$22.50	263.5%	75.5%	20.1%	87.6%	0.0%	83.6%	-244.4%	27.2K	-273.6K	-2.0K	0.00	119.25	1	0	817	113
2021-05-28	$20.22	$22.50	284.0%	81.4%	19.2%	94.8%	0.0%	83.0%	-265.0%	28.7K	-285.3K	-2.1K	0.00	119.62	2	0	818	113