OCSL Options History — August 2021

In August 2021, OCSL traded between $20.49 and $22.05. ATM implied volatility averaged 100.1%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 34.4%. IV traded above realized volatility by 82.9% (HV 20d: 17.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.43.

Notable Days

2021-08-06: Highest Volume — 131 contracts
2021-08-11: Largest IV spike — 198.5% change
2021-08-24: Highest IV Rank — 54.9%
2021-08-24: Largest Expected Move — 52.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.51	$20.49	$22.05	$20.49	$22.05
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	100.1%	20.2%	181.7%	27.3%	111.6%
Expected Move	34.4%	7.7%	52.1%	7.8%	32.0%
HV 20d	17.2%	15.0%	19.8%	17.5%	18.2%
HV 60d	17.1%	16.5%	17.9%	17.5%	17.7%
IV Rank	28.0%	1.7%	54.9%	4.0%	31.8%
IV Percentile	65.8%	6.7%	90.9%	27.0%	79.4%
Term Structure	-155.1%	-311.9%	218.0%	218.0%	-161.6%
VWIV	249.1%	230.9%	267.2%	230.9%	267.2%
Skew 25d	22.0%	-42.3%	109.9%	-42.3%	84.1%
Skew 10d	37.8%	-31.2%	158.3%	-30.9%	89.4%
Call IV 25d	74.0%	19.5%	129.9%	120.1%	34.3%
Put IV 25d	96.0%	72.6%	142.1%	77.8%	118.4%
Bid-Ask Spread %	126.09	91.06	135.22	91.06	130.35
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	56.2K	13.9K	106.3K	35.6K	36.3K
Net DEX	-371.6K	-719.0K	-86.0K	-371.5K	-325.0K
Net VEX	-1.3K	-1.8K	-587	-1.3K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	3.50	0.00	0.00
Total Volume	24.364	0	131	0	15
Total OI	845.909	285	1,108	1,106	429

Daily Data (22 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
2021-08-02	$20.49	$15.00	27.3%	7.8%	17.5%	4.0%	0.0%	-42.3%	218.0%	35.6K	-371.5K	-1.3K	0.00	91.06	0	0	1,031	75
2021-08-03	$20.49	$15.00	32.8%	9.4%	17.5%	5.9%	0.0%	-42.3%	214.3%	40.6K	-414.4K	-1.4K	0.00	95.60	0	0	1,028	76
2021-08-04	$20.55	$15.00	26.9%	7.7%	16.7%	3.9%	0.0%	-41.9%	215.4%	35.3K	-355.5K	-1.3K	0.00	109.46	0	0	1,032	76
2021-08-05	$21.24	$15.00	23.0%	36.1%	19.8%	2.6%	230.9%	-39.0%	-209.5%	64.7K	-465.4K	-1.5K	0.01	130.82	110	1	1,032	76
2021-08-06	$21.45	$15.00	20.2%	38.5%	17.7%	1.7%	0.0%	-39.2%	-222.1%	77.0K	-499.2K	-1.6K	0.00	131.67	131	0	1,032	76
2021-08-09	$21.69	$15.00	21.7%	41.6%	17.9%	2.2%	0.0%	-40.3%	-239.5%	101.7K	-442.7K	-1.5K	0.03	132.93	19	1	936	76
2021-08-10	$21.78	$15.00	49.5%	42.4%	17.4%	11.3%	267.2%	-40.4%	-248.1%	78.7K	-719.0K	-1.8K	0.00	132.61	7	0	969	76
2021-08-11	$21.69	$15.00	147.7%	42.3%	17.1%	43.7%	0.0%	-41.1%	-244.3%	101.5K	-548.2K	-1.7K	0.13	133.19	18	2	980	77
2021-08-12	$21.66	$15.00	148.5%	42.6%	16.8%	44.0%	0.0%	-41.7%	-250.8%	105.8K	-442.0K	-1.5K	0.14	132.67	2	0	989	77
2021-08-13	$21.69	$15.00	151.8%	43.5%	16.8%	45.1%	0.0%	-42.3%	-254.0%	106.3K	-466.8K	-1.5K	0.00	132.59	0	3	974	79
2021-08-16	$21.63	$15.00	157.6%	45.2%	15.0%	47.0%	0.0%	51.2%	-264.4%	99.0K	-437.5K	-1.3K	1.33	132.63	3	4	974	79
2021-08-17	$21.39	$15.00	169.3%	48.5%	15.0%	50.8%	0.0%	50.2%	-289.1%	76.6K	-518.0K	-1.3K	2.50	128.49	1	2	974	82
2021-08-18	$21.48	$15.00	84.3%	24.2%	15.0%	22.8%	0.0%	51.9%	-109.1%	88.5K	-325.7K	-1.0K	0.00	130.83	11	0	974	86
2021-08-19	$21.09	$15.00	85.7%	24.6%	16.6%	23.3%	0.0%	9.9%	-53.8%	16.4K	-86.0K	-587	0.00	128.57	7	0	974	87
2021-08-20	$21.45	$15.00	174.1%	49.9%	17.4%	52.4%	0.0%	92.1%	-310.8%	13.9K	-213.6K	-892	3.50	128.32	1	2	983	87
2021-08-23	$21.69	$15.00	178.5%	51.2%	17.5%	53.9%	0.0%	109.9%	-311.9%	16.7K	-209.4K	-888	0.23	123.01	15	3	267	18
2021-08-24	$21.96	$15.00	181.7%	52.1%	17.4%	54.9%	0.0%	74.3%	-302.5%	16.9K	-239.2K	-937	0.00	123.37	94	0	267	18
2021-08-25	$21.87	$15.00	88.8%	25.5%	17.6%	24.3%	0.0%	92.5%	-132.8%	25.9K	-184.0K	-923	0.00	131.66	50	0	281	19
2021-08-26	$21.69	$15.00	100.3%	28.7%	18.0%	28.1%	0.0%	100.3%	-152.8%	27.1K	-259.6K	-1.3K	0.00	128.96	9	0	369	20
2021-08-27	$22.05	$15.00	113.1%	32.4%	18.2%	32.3%	0.0%	83.4%	-139.3%	35.5K	-318.5K	-1.5K	0.30	135.22	10	3	404	20
2021-08-30	$22.05	$15.00	108.4%	31.1%	18.2%	30.8%	0.0%	94.3%	-162.8%	36.2K	-333.7K	-1.6K	0.06	130.00	11	1	411	20
2021-08-31	$22.05	$15.00	111.6%	32.0%	18.2%	31.8%	0.0%	84.1%	-161.6%	36.3K	-325.0K	-1.6K	0.00	130.35	15	0	406	23