OCSL Options History — November 2021

In November 2021, OCSL traded between $21.90 and $22.62. ATM implied volatility averaged 23.6%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 13.0% (HV 20d: 10.6%). 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 4 of 21 days. Put/call ratio averaged 8.24.

Notable Days

2021-11-15: Highest Volume — 385 contracts
2021-11-18: Largest IV spike — 58.5% change
2021-11-09: Highest IV Rank — 6.4%
2021-11-18: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.26	$21.90	$22.62	$22.29	$22.17
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	23.6%	16.2%	32.5%	20.1%	19.2%
Expected Move	6.6%	4.6%	8.9%	5.8%	5.5%
HV 20d	10.6%	9.2%	12.5%	9.5%	11.3%
HV 60d	12.7%	11.9%	13.4%	13.4%	12.4%
IV Rank	3.5%	1.1%	6.4%	2.4%	2.1%
IV Percentile	14.6%	0.4%	34.5%	4.4%	2.8%
Term Structure	-1.9%	-7.9%	15.3%	-1.4%	15.3%
VWIV	26.8%	18.6%	77.2%	24.7%	27.8%
Skew 25d	114.4%	0.4%	214.0%	130.2%	188.3%
Skew 10d	149.0%	-0.9%	233.5%	178.4%	165.9%
Call IV 25d	33.4%	10.9%	66.4%	39.5%	10.9%
Put IV 25d	147.7%	66.8%	247.0%	169.7%	199.2%
Bid-Ask Spread %	80.17	40.79	97.06	68.44	80.67
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	57.5K	20.5K	119.6K	73.6K	25.3K
Net DEX	-364.0K	-629.8K	-69.5K	-430.8K	-114.8K
Net VEX	-1.6K	-1.8K	-1.3K	-1.8K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.24	0.66	23.54	6.21	1.38
Total Volume	251.238	31	385	334	31
Total OI	651.571	413	796	682	489

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
2021-11-01	$22.29	$22.50	20.1%	5.8%	9.5%	2.4%	24.7%	130.2%	-1.4%	73.6K	-430.8K	-1.8K	6.21	68.44	46	288	587	95
2021-11-02	$22.17	$22.50	22.4%	6.4%	9.9%	3.1%	27.8%	124.4%	-2.3%	64.6K	-458.6K	-1.8K	6.32	61.43	46	293	590	99
2021-11-03	$22.14	$22.50	27.1%	7.8%	9.9%	4.6%	77.2%	134.7%	-3.7%	60.2K	-431.3K	-1.8K	22.00	69.87	13	293	590	107
2021-11-04	$22.29	$22.50	23.5%	7.2%	10.0%	3.5%	24.9%	107.7%	-4.2%	69.2K	-471.3K	-1.8K	23.54	84.09	12	290	591	108
2021-11-05	$22.47	$22.50	23.3%	6.3%	10.1%	3.4%	21.4%	103.8%	-1.9%	75.5K	-512.9K	-1.8K	16.83	90.64	17	292	592	109
2021-11-08	$22.50	$22.50	31.0%	7.4%	10.1%	5.9%	26.0%	114.2%	-7.8%	69.7K	-537.5K	-1.7K	4.42	88.50	66	293	593	112
2021-11-09	$22.50	$22.50	32.5%	6.7%	10.1%	6.4%	23.2%	108.8%	-3.9%	67.1K	-533.4K	-1.7K	10.65	93.92	28	302	587	110
2021-11-10	$22.44	$22.50	23.8%	6.8%	10.1%	3.6%	23.8%	107.6%	-3.6%	71.7K	-503.4K	-1.7K	12.35	97.06	25	305	591	125
2021-11-11	$22.38	$22.50	25.7%	7.4%	10.0%	4.2%	25.7%	106.7%	-5.3%	66.3K	-483.7K	-1.7K	13.82	89.82	22	299	591	128
2021-11-12	$22.29	$22.50	23.2%	6.7%	9.6%	3.4%	23.2%	97.8%	-6.1%	65.3K	-429.6K	-1.6K	6.64	91.84	45	299	591	130
2021-11-15	$22.32	$22.50	23.0%	6.6%	9.4%	3.3%	23.1%	43.6%	-3.5%	63.6K	-458.9K	-1.6K	4.15	40.79	75	310	614	131
2021-11-16	$22.32	$22.50	19.9%	5.7%	9.2%	2.3%	21.4%	81.0%	-1.5%	90.3K	-442.9K	-1.6K	3.64	90.14	81	295	639	142
2021-11-17	$22.62	$22.50	19.5%	5.6%	10.2%	2.2%	19.5%	0.4%	1.5%	93.4K	-629.8K	-1.6K	6.61	74.87	45	300	639	142
2021-11-18	$22.47	$22.50	30.9%	8.9%	10.5%	5.9%	31.0%	97.3%	-2.2%	119.6K	-538.8K	-1.5K	11.24	88.09	27	300	647	144
2021-11-19	$22.02	$22.50	27.8%	8.0%	12.5%	4.9%	28.0%	113.0%	-7.9%	22.4K	-69.5K	-1.3K	17.82	82.63	17	303	652	144
2021-11-22	$22.11	$22.50	18.9%	5.4%	12.2%	2.0%	18.6%	118.3%	-4.7%	22.0K	-144.7K	-1.3K	1.08	75.88	25	27	320	93
2021-11-23	$22.02	$22.50	19.8%	5.7%	12.3%	2.3%	18.7%	123.2%	-3.7%	21.2K	-137.7K	-1.4K	1.92	79.28	17	33	339	108
2021-11-24	$22.05	$22.50	24.0%	6.9%	12.2%	3.6%	24.8%	125.4%	-4.7%	22.7K	-145.5K	-1.4K	0.66	78.37	24	16	344	115
2021-11-26	$21.90	$22.50	24.1%	6.9%	12.0%	3.7%	31.9%	161.1%	4.6%	20.5K	-85.7K	-1.3K	0.84	80.28	21	18	360	115
2021-11-29	$22.08	$22.50	16.2%	4.6%	11.9%	1.1%	21.2%	214.0%	7.9%	23.4K	-83.4K	-1.3K	0.95	76.96	19	18	361	119
2021-11-30	$22.17	$22.50	19.2%	5.5%	11.3%	2.1%	27.8%	188.3%	15.3%	25.3K	-114.8K	-1.3K	1.38	80.67	13	18	370	119