OCSL Options History — January 2022

In January 2022, OCSL traded between $22.08 and $23.28. ATM implied volatility averaged 22.3%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 9.3% (HV 20d: 13.0%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.29.

Notable Days

2022-01-28: Highest Volume — 92 contracts
2022-01-11: Largest IV spike — 86.2% change
2022-01-28: Highest IV Rank — 7.1%
2022-01-28: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.65	$22.08	$23.28	$22.56	$22.56
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	22.3%	13.0%	33.6%	17.5%	22.5%
Expected Move	6.4%	5.0%	9.6%	5.0%	6.4%
HV 20d	13.0%	10.3%	15.0%	14.3%	14.2%
HV 60d	13.0%	12.5%	13.8%	12.5%	13.8%
IV Rank	3.5%	0.4%	7.1%	1.9%	3.5%
IV Percentile	21.3%	0.8%	50.4%	4.0%	22.2%
Term Structure	16.6%	-5.2%	241.2%	5.7%	5.8%
VWIV	22.5%	16.8%	33.7%	17.4%	22.5%
Skew 25d	59.4%	-4.7%	148.0%	36.5%	77.6%
Skew 10d	117.2%	-10.6%	217.1%	96.0%	131.4%
Call IV 25d	46.4%	23.8%	98.3%	90.2%	98.3%
Put IV 25d	105.7%	19.1%	180.7%	126.6%	175.9%
Bid-Ask Spread %	87.20	71.62	102.96	88.43	87.18
Gamma HHI	1.00	0.99	1.00	1.00	1.00
Net GEX	52.0K	35.9K	85.4K	52.2K	55.6K
Net DEX	-520.2K	-814.0K	-248.5K	-474.1K	-435.1K
Net VEX	-1.6K	-1.7K	-1.4K	-1.7K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.12	0.55	0.37	0.41
Total Volume	56.7	26	92	40	72
Total OI	560.1	513	627	520	597

Daily Data (20 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
2022-01-03	$22.56	$22.50	17.5%	5.0%	14.3%	1.9%	17.4%	36.5%	5.7%	52.2K	-474.1K	-1.7K	0.37	88.43	29	11	476	44
2022-01-04	$22.62	$22.50	21.9%	6.3%	14.3%	3.3%	22.2%	16.0%	0.1%	48.8K	-529.9K	-1.7K	0.30	79.19	23	7	488	46
2022-01-05	$22.44	$22.50	18.8%	5.4%	14.6%	2.3%	18.6%	39.3%	2.2%	52.6K	-498.8K	-1.7K	0.44	90.24	23	10	488	46
2022-01-06	$22.59	$22.50	22.5%	5.5%	14.8%	3.5%	19.3%	76.9%	3.6%	53.4K	-515.2K	-1.7K	0.55	71.62	19	11	487	50
2022-01-07	$22.77	$22.50	24.8%	5.5%	15.0%	4.3%	19.5%	66.3%	3.8%	54.4K	-546.6K	-1.7K	0.36	78.40	19	7	487	50
2022-01-10	$22.95	$22.50	13.0%	6.7%	14.9%	0.4%	23.4%	73.4%	-3.2%	58.6K	-632.9K	-1.6K	0.30	99.17	22	7	487	51
2022-01-11	$23.13	$22.50	24.2%	6.6%	15.0%	4.1%	23.0%	48.6%	-2.7%	52.5K	-644.2K	-1.6K	0.13	101.56	50	6	491	51
2022-01-12	$23.28	$22.50	17.7%	5.1%	10.3%	2.0%	16.8%	-4.7%	-0.6%	50.2K	-814.0K	-1.4K	0.18	102.96	36	6	526	51
2022-01-13	$23.22	$22.50	21.6%	6.2%	10.5%	3.3%	24.1%	40.6%	-4.9%	38.7K	-758.0K	-1.5K	0.19	97.45	36	7	524	51
2022-01-14	$23.01	$22.50	22.8%	6.5%	11.1%	3.6%	22.8%	55.7%	-3.4%	55.9K	-646.9K	-1.6K	0.12	89.71	58	7	520	52
2022-01-18	$23.01	$22.50	19.5%	5.6%	10.7%	2.6%	19.1%	32.6%	10.3%	48.9K	-635.9K	-1.4K	0.21	91.15	43	9	524	52
2022-01-19	$22.95	$22.50	25.2%	7.2%	10.8%	4.4%	25.3%	68.4%	-3.1%	63.0K	-645.9K	-1.4K	0.14	82.06	55	8	524	54
2022-01-20	$22.71	$22.50	23.0%	6.6%	11.5%	3.7%	23.0%	87.8%	24.4%	73.6K	-605.7K	-1.5K	0.53	80.61	51	27	540	55
2022-01-21	$22.26	$22.50	17.7%	5.1%	13.7%	2.0%	17.8%	65.2%	241.2%	85.4K	-436.4K	-1.6K	0.21	88.48	44	9	550	77
2022-01-24	$22.08	$22.50	22.4%	6.4%	12.2%	3.5%	21.8%	38.1%	20.2%	40.4K	-248.5K	-1.4K	0.20	80.51	58	12	457	56
2022-01-25	$22.35	$22.50	23.0%	6.6%	12.9%	3.7%	23.1%	15.8%	31.4%	40.8K	-313.2K	-1.5K	0.19	73.44	75	14	460	66
2022-01-26	$22.17	$22.50	29.7%	8.5%	13.2%	5.9%	30.0%	82.2%	1.8%	35.9K	-321.8K	-1.6K	0.22	86.67	69	15	491	69
2022-01-27	$22.23	$22.50	25.3%	7.3%	13.2%	4.4%	26.5%	148.0%	4.5%	42.1K	-351.1K	-1.6K	0.34	90.17	65	22	503	71
2022-01-28	$22.20	$22.50	33.6%	9.6%	13.0%	7.1%	33.7%	123.5%	-5.2%	37.6K	-349.9K	-1.6K	0.42	85.04	65	27	512	78
2022-01-31	$22.56	$22.50	22.5%	6.4%	14.2%	3.5%	22.5%	77.6%	5.8%	55.6K	-435.1K	-1.6K	0.41	87.18	51	21	513	84