OCSL Options History — October 2021

In October 2021, OCSL traded between $21.36 and $22.44. ATM implied volatility averaged 25.5%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 13.7% (HV 20d: 11.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 5.29.

Notable Days

2021-10-21: Highest Volume — 361 contracts
2021-10-07: Largest IV spike — 64.2% change
2021-10-07: Highest IV Rank — 10.6%
2021-10-08: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.90	$21.36	$22.44	$21.54	$22.05
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	25.5%	19.9%	45.3%	20.8%	22.9%
Expected Move	6.1%	4.2%	7.9%	6.0%	6.6%
HV 20d	11.9%	9.2%	15.4%	15.4%	9.7%
HV 60d	15.0%	13.4%	16.7%	16.7%	13.4%
IV Rank	4.1%	2.3%	10.6%	2.6%	3.3%
IV Percentile	15.4%	3.6%	50.8%	6.3%	10.7%
Term Structure	14.1%	-6.9%	236.1%	10.4%	-0.5%
VWIV	32.1%	11.5%	83.2%	21.7%	61.7%
Skew 25d	103.6%	4.3%	188.5%	188.5%	141.9%
Skew 10d	139.3%	5.7%	222.1%	222.1%	185.8%
Call IV 25d	29.0%	21.6%	40.6%	40.6%	36.0%
Put IV 25d	132.6%	32.5%	229.1%	229.1%	177.9%
Bid-Ask Spread %	59.90	50.63	83.17	83.17	59.45
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	52.2K	33.4K	68.7K	33.9K	58.1K
Net DEX	-382.3K	-593.4K	-178.0K	-253.8K	-400.7K
Net VEX	-1.8K	-2.0K	-1.4K	-1.6K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.29	0.00	18.84	0.03	17.40
Total Volume	134.857	0	361	21	325
Total OI	610.286	535	687	535	680

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
2021-10-01	$21.54	$22.50	20.8%	6.0%	15.4%	2.6%	0.0%	188.5%	10.4%	33.9K	-253.8K	-1.6K	0.03	83.17	20	1	481	54
2021-10-04	$21.36	$22.50	27.7%	5.5%	15.4%	4.8%	21.7%	97.4%	-0.1%	33.4K	-189.5K	-1.4K	0.03	50.63	21	1	482	54
2021-10-05	$21.36	$22.50	26.1%	5.6%	15.2%	4.3%	0.0%	99.9%	4.1%	34.5K	-216.7K	-1.5K	0.00	52.83	0	0	501	55
2021-10-06	$21.36	$22.50	27.6%	4.4%	15.2%	4.8%	12.1%	105.8%	11.9%	39.6K	-178.0K	-1.4K	0.01	56.54	24	0	520	56
2021-10-07	$21.48	$22.50	45.3%	4.2%	14.9%	10.6%	11.5%	122.8%	10.3%	43.9K	-212.2K	-1.5K	0.00	51.22	50	0	520	56
2021-10-08	$21.63	$22.50	26.7%	7.9%	15.2%	4.5%	27.4%	4.3%	-6.9%	39.0K	-327.5K	-1.7K	0.89	51.74	3	3	522	56
2021-10-11	$21.63	$22.50	35.4%	4.7%	15.1%	7.4%	14.1%	101.9%	6.3%	66.4K	-325.9K	-1.7K	0.05	65.13	14	1	545	56
2021-10-12	$21.66	$22.50	36.0%	6.5%	11.6%	7.6%	24.6%	5.7%	-2.7%	44.3K	-323.0K	-1.7K	0.03	65.55	10	0	548	56
2021-10-13	$21.78	$22.50	24.4%	7.0%	11.5%	3.8%	25.7%	102.9%	-3.1%	47.2K	-345.1K	-1.7K	0.04	60.39	8	0	561	56
2021-10-14	$21.93	$22.50	23.0%	6.6%	11.4%	3.3%	23.0%	102.9%	236.1%	53.7K	-396.9K	-1.8K	0.30	62.26	9	3	575	55
2021-10-15	$22.14	$22.50	26.1%	7.5%	11.7%	4.3%	26.3%	109.9%	23.0%	46.2K	-436.7K	-1.8K	0.00	53.11	11	0	582	55
2021-10-18	$22.02	$22.50	21.6%	6.2%	11.2%	2.8%	21.7%	115.0%	2.7%	55.0K	-438.5K	-1.8K	0.10	51.32	10	1	537	35
2021-10-19	$22.14	$22.50	20.7%	5.9%	9.2%	2.6%	20.6%	107.6%	1.5%	59.3K	-421.4K	-1.8K	0.04	54.98	8	0	538	35
2021-10-20	$22.26	$22.50	21.6%	6.2%	9.3%	2.8%	24.4%	92.6%	0.1%	60.8K	-556.8K	-1.9K	4.25	64.00	68	287	552	35
2021-10-21	$22.29	$22.50	22.0%	6.3%	9.3%	3.0%	23.5%	94.4%	-1.6%	63.7K	-593.4K	-2.0K	5.72	58.14	54	307	588	41
2021-10-22	$22.44	$22.50	22.6%	6.5%	9.4%	3.2%	36.0%	101.3%	-0.9%	60.1K	-554.7K	-2.0K	10.41	57.58	27	285	575	65
2021-10-25	$22.23	$22.50	23.3%	6.7%	9.9%	3.4%	44.5%	101.0%	-0.7%	60.0K	-559.9K	-2.0K	15.02	57.24	19	285	588	67
2021-10-26	$22.20	$22.50	19.9%	5.7%	9.4%	2.3%	81.5%	117.5%	5.4%	68.7K	-449.7K	-1.9K	18.84	58.10	16	308	593	69
2021-10-27	$22.08	$22.50	20.3%	5.8%	9.4%	2.4%	26.8%	120.6%	2.2%	63.1K	-421.6K	-2.0K	13.82	79.23	22	309	593	92
2021-10-28	$22.26	$22.50	22.2%	6.4%	9.6%	3.1%	83.2%	140.9%	-1.4%	65.0K	-426.4K	-1.9K	18.76	65.29	16	306	594	93
2021-10-29	$22.05	$22.50	22.9%	6.6%	9.7%	3.3%	61.7%	141.9%	-0.5%	58.1K	-400.7K	-1.9K	17.40	59.45	18	307	587	93