OCSL Options History — September 2021

In September 2021, OCSL traded between $21.15 and $22.05. ATM implied volatility averaged 30.4%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 15.0% (HV 20d: 15.5%). 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 14 of 21 days. Put/call ratio averaged 2.00.

Notable Days

2021-09-28: Highest Volume — 42 contracts
2021-09-07: Largest IV spike — 86.8% change
2021-09-07: Highest IV Rank — 32.2%
2021-09-01: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.63	$21.15	$22.05	$22.02	$21.27
Max Pain	$21.79	$15.00	$22.50	$15.00	$22.50
ATM IV	30.4%	12.9%	112.8%	43.5%	23.2%
Expected Move	6.6%	3.7%	12.5%	12.5%	6.6%
HV 20d	15.5%	14.3%	18.3%	18.3%	14.6%
HV 60d	17.0%	16.6%	17.7%	17.7%	16.7%
IV Rank	5.3%	0.0%	32.2%	9.4%	3.4%
IV Percentile	21.0%	0.0%	79.8%	50.0%	11.1%
Term Structure	-0.2%	-109.7%	24.7%	-109.7%	8.1%
VWIV	26.6%	15.1%	70.1%	23.7%	70.1%
Skew 25d	72.6%	-14.8%	217.9%	99.0%	217.9%
Skew 10d	82.3%	-47.8%	283.4%	122.1%	283.4%
Call IV 25d	29.8%	19.8%	50.6%	32.9%	50.6%
Put IV 25d	102.4%	12.2%	268.5%	131.9%	268.5%
Bid-Ask Spread %	100.53	82.50	129.08	129.08	88.21
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	29.8K	20.4K	36.5K	36.5K	32.1K
Net DEX	-243.5K	-320.4K	-170.1K	-320.4K	-233.6K
Net VEX	-1.5K	-1.6K	-1.3K	-1.6K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.00	0.00	25.00	25.00	0.11
Total Volume	14.238	1	42	18	3
Total OI	460.952	432	534	439	534

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
2021-09-01	$22.02	$15.00	43.5%	12.5%	18.3%	9.4%	0.0%	99.0%	-109.7%	36.5K	-320.4K	-1.6K	25.00	129.08	1	17	416	23
2021-09-02	$21.93	$15.00	43.5%	5.7%	14.7%	9.4%	0.0%	-8.4%	5.1%	34.2K	-293.6K	-1.5K	0.09	111.44	23	2	417	23
2021-09-03	$22.05	$22.50	60.4%	7.5%	14.5%	14.9%	23.7%	-8.3%	-1.9%	35.5K	-295.0K	-1.6K	0.00	112.99	39	0	417	40
2021-09-07	$21.87	$22.50	112.8%	4.7%	14.4%	32.2%	0.0%	-14.8%	-0.9%	33.0K	-236.3K	-1.5K	0.00	107.93	17	0	417	42
2021-09-08	$21.81	$22.50	22.6%	6.5%	14.3%	2.5%	0.0%	109.2%	0.1%	30.4K	-246.9K	-1.5K	6.67	114.34	1	7	421	42
2021-09-09	$22.02	$22.50	19.0%	5.4%	14.6%	1.3%	17.4%	108.2%	3.2%	33.8K	-265.3K	-1.5K	0.17	103.21	4	1	404	42
2021-09-10	$22.05	$22.50	27.6%	7.9%	14.6%	4.1%	0.0%	90.8%	-7.3%	34.9K	-269.2K	-1.5K	0.00	102.89	17	0	404	43
2021-09-13	$21.93	$22.50	29.1%	8.3%	14.8%	4.6%	28.9%	-12.8%	-6.9%	28.9K	-250.1K	-1.5K	0.11	100.50	12	1	407	43
2021-09-14	$21.36	$22.50	20.0%	5.7%	17.6%	1.6%	19.5%	5.3%	2.0%	24.9K	-235.1K	-1.5K	0.00	104.49	5	0	420	43
2021-09-15	$21.51	$22.50	24.0%	6.9%	17.3%	3.0%	24.2%	8.2%	-3.5%	25.9K	-223.2K	-1.5K	0.31	112.94	4	1	387	45
2021-09-16	$21.36	$22.50	27.7%	7.9%	17.4%	4.2%	0.0%	4.6%	-3.5%	24.7K	-251.7K	-1.5K	0.00	107.85	7	0	389	45
2021-09-17	$21.36	$22.50	19.3%	5.5%	16.1%	1.4%	15.1%	6.5%	5.6%	26.2K	-220.4K	-1.5K	0.08	94.91	21	2	393	46
2021-09-20	$21.15	$22.50	26.3%	7.5%	15.3%	3.7%	0.0%	80.2%	16.4%	20.4K	-192.3K	-1.4K	7.67	96.38	1	8	390	45
2021-09-21	$21.57	$22.50	17.8%	5.1%	16.4%	0.9%	24.9%	69.8%	24.7%	24.4K	-218.6K	-1.4K	0.16	93.70	8	1	411	47
2021-09-22	$21.63	$22.50	12.9%	3.7%	15.8%	0.0%	15.3%	80.9%	12.1%	29.3K	-206.9K	-1.5K	0.04	96.87	16	1	411	51
2021-09-23	$21.69	$22.50	17.2%	4.9%	15.8%	1.4%	0.0%	77.7%	14.9%	28.6K	-261.0K	-1.6K	0.09	82.50	15	1	418	51
2021-09-24	$21.63	$22.50	17.3%	5.0%	15.5%	1.5%	0.0%	45.1%	12.9%	29.4K	-247.8K	-1.5K	0.04	82.84	17	1	422	52
2021-09-27	$21.51	$22.50	20.3%	5.8%	14.3%	2.4%	0.0%	213.9%	9.2%	32.0K	-231.4K	-1.5K	1.00	93.43	1	1	436	53
2021-09-28	$21.36	$22.50	30.6%	8.8%	14.5%	5.8%	0.0%	184.9%	7.3%	31.8K	-243.8K	-1.5K	0.01	83.22	42	0	442	53
2021-09-29	$21.24	$22.50	24.5%	7.0%	14.5%	3.8%	70.1%	166.9%	7.8%	28.6K	-170.1K	-1.3K	0.50	91.48	1	0	442	53
2021-09-30	$21.27	$22.50	23.2%	6.6%	14.6%	3.4%	0.0%	217.9%	8.1%	32.1K	-233.6K	-1.5K	0.11	88.21	3	0	480	54