OCSL Options History — February 2022

In February 2022, OCSL traded between $22.11 and $23.04. ATM implied volatility averaged 22.4%, 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 8.7% (HV 20d: 13.7%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.48.

Notable Days

2022-02-24: Highest Volume — 147 contracts
2022-02-24: Largest IV spike — 215.8% change
2022-02-24: Highest IV Rank — 9.7%
2022-02-24: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.55	$22.11	$23.04	$22.77	$22.38
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	22.4%	13.1%	41.4%	20.5%	19.2%
Expected Move	6.4%	3.8%	11.9%	5.9%	5.5%
HV 20d	13.7%	11.6%	14.7%	14.5%	12.7%
HV 60d	13.8%	13.5%	14.2%	13.8%	13.7%
IV Rank	3.5%	0.5%	9.7%	2.9%	2.5%
IV Percentile	23.1%	1.2%	61.1%	15.1%	11.1%
Term Structure	24.4%	-7.9%	239.8%	8.0%	6.3%
VWIV	22.7%	13.3%	49.0%	20.6%	19.0%
Skew 25d	94.2%	33.6%	199.9%	33.6%	132.1%
Skew 10d	134.0%	93.7%	256.9%	118.6%	127.7%
Call IV 25d	49.7%	20.6%	109.8%	109.8%	49.9%
Put IV 25d	143.9%	93.5%	235.4%	143.4%	182.0%
Bid-Ask Spread %	93.91	77.98	105.01	77.98	91.55
Gamma HHI	0.99	0.97	1.00	1.00	0.97
Net GEX	49.7K	3.7K	130.5K	58.0K	3.7K
Net DEX	-316.7K	-595.9K	-26.2K	-526.1K	-113.2K
Net VEX	-1.5K	-1.7K	-1.1K	-1.6K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.05	1.68	0.25	0.34
Total Volume	74.526	38	147	71	123
Total OI	565.684	351	645	598	484

Daily Data (19 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
2022-02-01	$22.77	$22.50	20.5%	5.9%	14.5%	2.9%	20.6%	33.6%	8.0%	58.0K	-526.1K	-1.6K	0.25	77.98	57	14	513	85
2022-02-02	$22.77	$22.50	25.2%	7.2%	14.4%	4.4%	22.2%	39.9%	-0.9%	50.5K	-530.3K	-1.7K	0.18	93.35	80	14	524	86
2022-02-03	$22.80	$22.50	21.9%	7.3%	14.1%	3.3%	27.6%	47.9%	-7.6%	56.9K	-572.0K	-1.7K	0.05	93.48	98	5	537	86
2022-02-04	$23.04	$22.50	29.3%	7.5%	14.4%	5.7%	25.7%	47.9%	-7.9%	45.6K	-562.6K	-1.5K	0.18	104.53	45	8	498	86
2022-02-07	$22.98	$22.50	23.0%	6.2%	14.2%	3.7%	23.2%	76.2%	2.2%	54.7K	-595.9K	-1.5K	0.86	101.91	31	27	506	90
2022-02-08	$22.74	$22.50	24.7%	6.3%	14.4%	4.3%	20.9%	82.5%	-5.2%	44.3K	-471.0K	-1.5K	0.40	96.50	27	11	503	109
2022-02-09	$22.65	$22.50	20.9%	6.0%	14.1%	3.0%	20.9%	79.3%	-3.3%	55.3K	-444.0K	-1.5K	0.19	95.96	42	8	505	114
2022-02-10	$22.44	$22.50	16.9%	4.8%	14.1%	1.7%	16.9%	75.7%	2.8%	47.3K	-340.6K	-1.5K	0.22	104.83	45	10	492	116
2022-02-11	$22.44	$22.50	18.2%	5.2%	14.1%	2.1%	18.1%	82.5%	3.2%	66.9K	-308.8K	-1.5K	0.36	105.01	45	16	492	126
2022-02-14	$22.29	$22.50	26.2%	7.5%	14.0%	4.8%	26.3%	114.3%	-5.7%	79.3K	-257.4K	-1.3K	0.12	97.97	70	9	493	127
2022-02-15	$22.53	$22.50	22.7%	6.5%	14.7%	3.6%	22.8%	107.7%	-2.7%	108.1K	-349.5K	-1.3K	1.01	97.31	27	27	484	127
2022-02-16	$22.62	$22.50	26.4%	7.6%	14.7%	4.8%	26.4%	102.6%	-6.2%	54.7K	-361.6K	-1.3K	0.31	89.38	59	18	485	147
2022-02-17	$22.41	$22.50	21.9%	6.3%	14.6%	3.3%	22.1%	85.3%	234.6%	60.5K	-258.8K	-1.3K	0.56	89.14	28	16	486	148
2022-02-18	$22.41	$22.50	19.0%	5.5%	12.7%	2.4%	19.1%	93.4%	239.8%	130.5K	-26.2K	-1.2K	1.04	90.61	40	42	492	153
2022-02-22	$22.32	$22.50	15.8%	4.5%	12.5%	1.3%	16.4%	100.3%	8.5%	4.6K	-70.0K	-1.2K	0.51	79.61	33	17	247	104
2022-02-23	$22.23	$22.50	13.1%	3.8%	11.8%	0.5%	13.3%	171.8%	5.0%	4.8K	-39.9K	-1.1K	1.68	80.01	22	36	260	104
2022-02-24	$22.11	$22.50	41.4%	11.9%	11.6%	9.7%	49.0%	199.9%	-6.8%	11.6K	-67.3K	-1.5K	0.57	98.18	94	53	333	127
2022-02-25	$22.44	$22.50	19.8%	5.7%	12.7%	2.7%	20.3%	116.2%	-1.7%	7.0K	-122.0K	-1.6K	0.35	97.00	88	31	335	144
2022-02-28	$22.38	$22.50	19.2%	5.5%	12.7%	2.5%	19.0%	132.1%	6.3%	3.7K	-113.2K	-1.6K	0.34	91.55	92	31	338	146