OCSL Options History — June 2021

In June 2021, OCSL traded between $19.83 and $20.67. ATM implied volatility averaged 61.0%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 44.8% (HV 20d: 16.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 4.31.

Notable Days

  • 2021-06-29: Highest Volume — 422 contracts
  • 2021-06-04: Largest IV spike — 79.1% change
  • 2021-06-01: Highest IV Rank — 100.0%
  • 2021-06-01: Largest Expected Move — 91.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.27$19.83$20.67$20.40$20.04
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV61.0%21.1%318.4%318.4%32.9%
Expected Move12.8%5.1%91.3%91.3%9.4%
HV 20d16.2%10.4%19.2%19.2%17.1%
HV 60d16.4%15.7%17.3%16.2%16.4%
IV Rank15.1%2.0%100.0%100.0%5.9%
IV Percentile45.2%8.7%100.0%100.0%41.7%
Term Structure-10.8%-299.5%14.1%-299.5%6.2%
VWIV31.9%19.8%61.8%19.8%34.8%
Skew 25d24.8%-27.7%122.4%109.0%-24.4%
Skew 10d69.3%13.4%147.0%135.6%39.5%
Call IV 25d61.7%23.1%92.5%32.6%90.6%
Put IV 25d86.5%33.4%147.6%141.7%66.2%
Bid-Ask Spread %102.1972.19135.53119.0994.42
Gamma HHI0.990.981.001.000.99
Net GEX31.9K26.4K37.8K30.0K34.1K
Net DEX-295.9K-452.3K-204.9K-294.9K-447.8K
Net VEX-2.0K-2.3K-1.7K-2.0K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.310.0027.270.1725.38
Total Volume60.864042220
Total OI980.59261,1629311,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$20.40$22.50318.4%91.3%19.2%100.0%0.0%109.0%-299.5%30.0K-294.9K-2.0K0.17119.0920818113
2021-06-02$20.40$22.50103.2%29.6%18.3%29.1%0.0%-13.8%-88.2%28.3K-213.7K-1.9K0.00135.53210817113
2021-06-03$20.28$22.5080.3%7.0%18.0%21.5%0.0%90.3%6.7%28.6K-221.0K-1.9K0.00100.3310820113
2021-06-04$20.40$22.50143.8%6.8%18.1%42.4%0.0%93.3%7.2%29.3K-219.3K-1.9K10.0099.4403818113
2021-06-07$20.49$22.50128.3%5.1%17.5%37.3%19.8%87.8%6.9%31.6K-226.6K-1.9K0.00100.22100818116
2021-06-08$20.58$22.5099.1%7.8%16.9%27.7%35.2%100.3%10.5%29.4K-220.7K-1.8K1.00116.6722823116
2021-06-09$20.49$22.5038.8%11.1%15.5%7.8%0.0%122.4%14.1%27.9K-217.9K-1.8K0.00115.21150823118
2021-06-10$20.43$22.5042.9%12.3%11.1%9.2%21.0%-21.8%6.4%31.5K-224.2K-1.9K0.00130.1040829118
2021-06-11$20.67$22.5027.3%7.8%10.4%4.0%0.0%102.8%5.9%34.4K-231.8K-1.9K0.00105.4720831118
2021-06-14$20.16$22.5024.5%7.0%13.1%3.1%0.0%6.5%5.5%31.1K-221.0K-1.9K0.0096.94280822118
2021-06-15$19.98$22.5025.7%7.4%13.5%3.5%0.0%-23.1%4.8%29.9K-204.9K-1.8K0.00103.34100855118
2021-06-16$20.22$22.5039.4%11.3%14.2%8.0%22.1%-23.8%4.4%33.7K-278.1K-2.1K0.00121.94290869118
2021-06-17$20.37$22.5028.1%8.0%14.4%4.3%61.8%46.4%9.4%35.3K-258.8K-1.9K0.00105.7340863118
2021-06-18$19.83$22.5030.2%8.6%17.4%5.0%0.0%-22.9%6.8%26.4K-221.1K-1.7K0.00109.2970868118
2021-06-21$20.01$22.5030.2%8.7%17.7%5.0%0.0%-15.7%9.3%30.1K-327.4K-1.9K0.0295.3035185373
2021-06-22$20.13$22.5025.4%7.3%17.8%3.4%0.0%44.1%9.2%31.6K-369.0K-2.0K0.0088.436088874
2021-06-23$20.19$22.5024.1%6.9%17.4%3.0%28.4%-21.7%8.1%33.7K-363.8K-2.0K4.2780.753313987574
2021-06-24$20.34$22.5021.1%6.0%17.5%2.0%0.0%-14.7%7.5%37.8K-442.1K-2.3K22.3972.196134955207
2021-06-25$20.37$22.5021.9%6.3%16.9%2.3%0.0%-27.7%8.2%36.8K-450.4K-2.2K27.2777.9115400960168
2021-06-28$20.16$22.5027.0%7.7%17.3%3.9%0.0%-21.1%6.5%36.3K-452.3K-2.3K0.0082.158097975
2021-06-29$20.07$22.5029.4%8.4%17.1%4.7%34.8%-25.6%6.8%33.9K-403.5K-2.1K25.3897.801640695275
2021-06-30$20.04$22.5032.9%9.4%17.1%5.9%0.0%-24.4%6.2%34.1K-447.8K-2.3K0.0094.420098675