OCSL Options History — December 2021

In December 2021, OCSL traded between $21.84 and $22.65. ATM implied volatility averaged 19.7%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.1% (HV 20d: 14.7%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2021-12-15: Highest Volume — 74 contracts
  • 2021-12-27: Largest IV spike — 65.3% change
  • 2021-12-30: Highest IV Rank — 4.4%
  • 2021-12-02: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.27$21.84$22.65$22.02$22.47
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV19.7%11.7%25.6%23.8%22.5%
Expected Move5.7%3.3%7.3%6.8%6.5%
HV 20d14.7%11.4%17.0%11.4%14.7%
HV 60d12.4%11.5%12.9%12.3%12.6%
IV Rank2.6%0.0%4.4%3.6%3.5%
IV Percentile9.5%0.0%28.6%17.9%19.0%
Term Structure2.3%-5.6%15.2%10.6%0.7%
VWIV19.9%12.0%25.2%24.3%22.5%
Skew 25d80.0%7.7%170.3%88.9%65.7%
Skew 10d105.0%1.1%254.7%48.0%99.9%
Call IV 25d46.7%22.5%85.4%22.5%78.3%
Put IV 25d126.7%69.0%229.0%111.4%144.0%
Bid-Ask Spread %93.0158.91122.3258.91102.77
Gamma HHI1.001.001.001.001.00
Net GEX35.5K22.1K65.7K22.1K43.4K
Net DEX-273.2K-477.9K-103.1K-103.1K-462.3K
Net VEX-1.4K-1.8K-1.2K-1.3K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.151.600.620.51
Total Volume42.13620744732
Total OI499.364403543492510

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$22.02$22.5023.8%6.8%11.4%3.6%24.3%88.9%10.6%22.1K-103.1K-1.3K0.6258.912918373119
2021-12-02$22.41$22.5025.6%7.3%13.1%4.2%25.1%133.7%-4.2%31.0K-214.4K-1.4K0.4984.043718391119
2021-12-03$22.20$22.5011.7%3.3%13.3%0.0%12.0%170.3%15.2%27.3K-112.1K-1.3K0.8479.902118400119
2021-12-06$22.29$22.5019.2%6.5%13.1%2.5%23.4%88.8%-1.5%33.4K-153.0K-1.3K1.19122.321619403119
2021-12-07$22.32$22.5020.3%6.5%13.1%2.8%21.9%79.8%-0.3%29.9K-193.5K-1.4K1.47116.051319408120
2021-12-08$22.26$22.5021.1%6.5%13.1%3.1%22.6%95.5%-0.9%31.1K-180.0K-1.4K1.60100.451219409120
2021-12-09$22.29$22.5022.5%5.5%13.1%3.5%18.4%101.6%1.0%32.2K-176.8K-1.4K1.44100.321623410121
2021-12-10$22.50$22.5018.6%4.7%13.5%2.3%15.9%71.7%3.5%42.2K-261.7K-1.4K1.0292.121717412121
2021-12-13$22.59$22.5020.6%5.9%13.5%2.9%20.7%82.2%-2.9%65.7K-343.6K-1.3K0.3383.095117418121
2021-12-14$21.96$22.5018.1%6.4%16.9%2.1%22.5%51.4%-1.8%25.5K-117.2K-1.3K0.5184.273518413121
2021-12-15$22.05$22.5018.1%5.2%17.0%2.1%18.2%82.2%1.9%27.7K-168.6K-1.4K0.7295.704331421122
2021-12-16$21.99$22.5018.4%5.3%16.2%2.2%18.5%95.7%-1.0%39.5K-238.2K-1.4K0.15100.8359943599
2021-12-17$21.84$22.5014.9%4.3%16.2%1.0%14.0%51.8%11.0%25.7K-222.9K-1.3K0.1591.7950845160
2021-12-20$21.84$22.5015.5%4.5%14.6%1.3%17.1%34.3%11.8%25.5K-232.7K-1.2K0.2490.5930736538
2021-12-21$22.02$22.5016.6%4.8%14.8%1.6%16.7%86.6%7.4%33.6K-310.0K-1.4K0.36108.4118738641
2021-12-22$22.11$22.5017.4%5.0%14.8%1.9%16.7%102.1%2.9%34.0K-296.2K-1.4K0.2086.7127538942
2021-12-23$22.53$22.5015.3%4.4%16.2%1.2%15.3%7.7%5.9%42.9K-385.9K-1.5K0.1691.9535640642
2021-12-27$22.62$22.5025.2%7.2%16.0%4.4%25.2%88.1%-3.5%38.1K-435.4K-1.5K0.1591.1940641543
2021-12-28$22.65$22.5021.9%6.3%15.8%3.3%20.7%47.3%1.3%45.4K-477.9K-1.7K0.4793.6515744343
2021-12-29$22.53$22.5021.1%6.0%15.9%3.1%20.9%33.8%-0.1%42.2K-467.1K-1.6K0.2291.9832744544
2021-12-30$22.38$22.5025.3%7.3%15.9%4.4%25.0%101.9%-5.6%42.6K-457.0K-1.8K0.6279.2612846544
2021-12-31$22.47$22.5022.5%6.5%14.7%3.5%22.5%65.7%0.7%43.4K-462.3K-1.8K0.51102.77211146644