OCSL Options History — July 2021

In July 2021, OCSL traded between $19.86 and $20.58. ATM implied volatility averaged 36.1%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 17.8% (HV 20d: 18.3%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.04.

Notable Days

2021-07-12: Highest Volume — 24 contracts
2021-07-19: Largest IV spike — 156.5% change
2021-07-13: Highest IV Rank — 16.5%
2021-07-19: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.30	$19.86	$20.58	$20.16	$20.31
Max Pain	$15.71	$15.00	$22.50	$22.50	$15.00
ATM IV	36.1%	19.3%	65.1%	40.1%	26.2%
Expected Move	8.3%	5.4%	14.5%	11.5%	7.5%
HV 20d	18.3%	17.0%	21.2%	17.1%	18.0%
HV 60d	17.3%	15.9%	18.1%	16.3%	17.4%
IV Rank	6.9%	1.4%	16.5%	8.3%	3.7%
IV Percentile	40.0%	4.8%	70.6%	53.6%	24.6%
Term Structure	165.4%	-7.2%	229.4%	6.0%	206.6%
VWIV	33.2%	17.0%	60.2%	17.0%	60.2%
Skew 25d	-28.1%	-39.1%	-16.6%	-26.6%	-31.9%
Skew 10d	46.8%	36.3%	53.4%	43.1%	53.4%
Call IV 25d	104.5%	89.2%	117.4%	93.8%	117.4%
Put IV 25d	76.4%	67.1%	85.5%	67.1%	85.5%
Bid-Ask Spread %	93.22	66.44	124.90	110.15	82.85
Gamma HHI	0.99	0.95	1.00	0.99	1.00
Net GEX	34.3K	24.7K	42.2K	35.4K	31.4K
Net DEX	-421.8K	-573.6K	-312.7K	-464.3K	-349.7K
Net VEX	-1.8K	-2.3K	-1.2K	-2.2K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.44	0.00	0.10
Total Volume	5.571	0	24	1	3
Total OI	1,085.381	1,056	1,111	1,061	1,101

Daily Data (21 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
2021-07-01	$20.16	$22.50	40.1%	11.5%	17.1%	8.3%	0.0%	-26.6%	6.0%	35.4K	-464.3K	-2.2K	0.00	110.15	1	0	986	75
2021-07-02	$20.46	$22.50	38.5%	11.0%	17.8%	7.7%	0.0%	-21.6%	-7.2%	40.2K	-425.8K	-2.0K	0.00	94.42	20	0	987	75
2021-07-06	$20.43	$15.00	42.3%	6.3%	17.8%	9.0%	17.0%	-22.4%	148.2%	38.6K	-385.0K	-1.9K	0.09	68.41	4	0	981	75
2021-07-07	$20.16	$15.00	41.8%	6.0%	18.3%	8.8%	0.0%	-27.7%	162.5%	31.0K	-350.0K	-1.6K	0.00	66.44	3	0	981	75
2021-07-08	$19.98	$15.00	53.1%	11.3%	18.4%	12.5%	0.0%	-25.1%	142.3%	30.7K	-521.2K	-2.3K	0.00	124.90	2	0	981	75
2021-07-09	$20.55	$15.00	44.5%	7.7%	21.2%	9.7%	0.0%	-16.6%	141.4%	42.2K	-468.5K	-2.1K	0.00	91.79	13	0	983	75
2021-07-12	$20.58	$15.00	54.3%	5.4%	20.7%	12.9%	0.0%	-23.4%	161.8%	38.0K	-360.4K	-1.6K	0.00	88.43	24	0	993	75
2021-07-13	$20.40	$15.00	65.1%	6.3%	18.9%	16.5%	18.6%	-31.2%	156.6%	36.6K	-390.0K	-1.7K	0.00	84.69	13	0	1,022	75
2021-07-14	$20.22	$15.00	23.1%	6.6%	18.9%	2.7%	19.9%	-24.2%	154.0%	33.3K	-358.5K	-1.7K	0.00	87.56	14	0	1,019	75
2021-07-15	$20.10	$15.00	31.9%	9.1%	18.5%	5.5%	0.0%	-29.6%	183.4%	34.3K	-479.8K	-2.0K	0.00	99.89	0	0	1,036	75
2021-07-16	$20.22	$15.00	19.8%	5.7%	18.4%	1.5%	50.1%	-29.0%	188.0%	26.8K	-339.2K	-1.4K	0.00	82.04	3	0	1,036	75
2021-07-19	$19.86	$15.00	50.6%	14.5%	17.0%	11.7%	60.2%	-33.4%	229.4%	29.2K	-573.6K	-2.1K	0.00	106.06	0	0	1,018	74
2021-07-20	$20.22	$15.00	22.9%	6.6%	17.9%	2.6%	0.0%	-30.0%	193.8%	29.8K	-361.7K	-1.4K	0.00	82.87	0	0	1,018	74
2021-07-21	$20.37	$15.00	37.5%	10.8%	17.9%	7.4%	0.0%	-28.7%	193.2%	38.1K	-553.1K	-2.0K	0.00	115.90	0	0	1,018	74
2021-07-22	$20.28	$15.00	37.9%	10.9%	18.0%	7.5%	0.0%	-29.9%	196.0%	36.6K	-540.1K	-2.0K	0.00	100.70	8	0	1,018	74
2021-07-23	$20.31	$15.00	31.8%	9.1%	17.8%	5.5%	0.0%	-29.9%	197.2%	38.4K	-465.9K	-1.8K	0.00	110.19	1	0	1,023	74
2021-07-26	$20.49	$15.00	25.1%	7.2%	18.1%	3.3%	0.0%	-39.1%	202.1%	37.7K	-393.9K	-1.5K	0.00	100.13	4	0	1,023	74
2021-07-27	$20.34	$15.00	30.7%	8.8%	17.9%	5.2%	0.0%	-30.7%	203.5%	38.2K	-430.1K	-1.6K	0.00	112.42	0	0	1,024	74
2021-07-28	$20.46	$15.00	19.3%	5.5%	17.9%	1.4%	0.0%	-29.6%	206.1%	24.7K	-312.7K	-1.2K	0.00	69.97	0	0	1,027	74
2021-07-29	$20.46	$15.00	22.2%	6.4%	17.8%	2.4%	0.0%	-29.9%	207.9%	29.9K	-333.5K	-1.2K	0.44	77.89	3	1	1,027	74
2021-07-30	$20.31	$15.00	26.2%	7.5%	18.0%	3.7%	0.0%	-31.9%	206.6%	31.4K	-349.7K	-1.3K	0.10	82.85	3	0	1,027	74