OCSL Options History — March 2022

In March 2022, OCSL traded between $21.54 and $22.44. ATM implied volatility averaged 20.8%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.4% (HV 20d: 14.5%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.17.

Notable Days

2022-03-09: Highest Volume — 210 contracts
2022-03-16: Largest IV spike — 205.5% change
2022-03-03: Highest IV Rank — 9.4%
2022-03-10: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.07	$21.54	$22.44	$22.35	$22.14
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	20.8%	12.1%	40.4%	15.6%	14.3%
Expected Move	6.4%	3.9%	11.6%	4.5%	4.6%
HV 20d	14.5%	10.9%	16.2%	11.3%	15.4%
HV 60d	13.7%	13.1%	14.5%	13.3%	13.5%
IV Rank	3.0%	0.1%	9.4%	1.3%	0.9%
IV Percentile	20.6%	0.4%	64.3%	2.8%	4.0%
Term Structure	6.0%	-7.4%	20.0%	9.0%	7.8%
VWIV	23.0%	14.0%	40.9%	22.5%	16.2%
Skew 25d	117.2%	27.8%	189.9%	160.5%	183.4%
Skew 10d	116.9%	0.1%	215.9%	141.9%	164.3%
Call IV 25d	33.2%	17.3%	53.4%	31.9%	29.0%
Put IV 25d	150.4%	54.0%	234.4%	192.4%	212.4%
Bid-Ask Spread %	89.32	69.63	107.68	85.92	85.52
Gamma HHI	1.00	0.98	1.00	0.98	1.00
Net GEX	34.7K	3.7K	63.9K	3.7K	61.7K
Net DEX	-211.7K	-374.0K	10.4K	-103.2K	-371.2K
Net VEX	-2.1K	-2.6K	-1.5K	-1.6K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.16	3.41	0.36	0.84
Total Volume	90.261	45	210	127	46
Total OI	675.87	489	764	489	762

Daily Data (23 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
2022-03-01	$22.35	$22.50	15.6%	4.5%	11.3%	1.3%	22.5%	160.5%	9.0%	3.7K	-103.2K	-1.6K	0.36	85.92	93	34	343	146
2022-03-02	$22.44	$22.50	22.8%	6.5%	10.9%	3.6%	24.1%	70.5%	-0.3%	25.9K	-187.1K	-1.7K	0.74	98.07	42	31	405	142
2022-03-03	$22.38	$22.50	40.4%	11.6%	10.9%	9.4%	15.5%	91.1%	-5.6%	27.0K	-246.9K	-1.9K	0.85	106.41	37	31	442	142
2022-03-04	$22.26	$22.50	24.0%	6.9%	11.0%	4.0%	16.5%	103.2%	-5.0%	29.0K	-180.4K	-1.8K	0.88	102.75	35	31	449	142
2022-03-07	$21.81	$22.50	13.5%	3.9%	12.0%	0.6%	20.0%	144.7%	-7.4%	22.9K	-16.0K	-1.5K	1.33	76.80	30	39	457	142
2022-03-08	$22.08	$22.50	19.1%	6.2%	13.2%	2.4%	28.7%	121.0%	3.3%	26.8K	-103.9K	-1.8K	1.65	82.39	29	48	461	150
2022-03-09	$22.29	$22.50	18.1%	6.1%	13.4%	2.1%	29.9%	27.8%	0.2%	32.6K	-136.4K	-1.8K	0.95	83.20	108	102	461	157
2022-03-10	$21.90	$22.50	20.3%	11.6%	14.6%	2.8%	40.9%	123.1%	-1.2%	24.8K	-75.7K	-2.2K	3.41	91.20	30	102	542	216
2022-03-11	$21.96	$22.50	13.9%	8.1%	14.4%	0.7%	38.1%	137.6%	8.6%	24.8K	-4.9K	-2.1K	3.16	90.81	32	102	543	216
2022-03-14	$21.54	$22.50	33.6%	6.2%	15.8%	7.2%	19.2%	36.6%	14.9%	20.5K	10.4K	-2.1K	1.01	91.90	46	47	547	217
2022-03-15	$21.54	$22.50	12.5%	6.2%	15.7%	0.3%	21.2%	121.6%	12.9%	25.5K	-121.9K	-2.0K	1.38	101.19	34	47	567	139
2022-03-16	$21.75	$22.50	38.2%	10.4%	15.6%	8.7%	38.7%	34.2%	20.0%	35.5K	-200.8K	-2.1K	1.31	105.41	34	44	570	139
2022-03-17	$22.02	$22.50	14.5%	5.4%	16.2%	0.9%	18.8%	153.1%	12.1%	26.6K	-311.7K	-2.2K	1.37	96.86	28	38	571	139
2022-03-18	$22.08	$22.50	38.6%	9.3%	16.0%	8.8%	38.7%	36.6%	10.4%	30.9K	-214.4K	-2.2K	2.05	107.68	19	38	578	139
2022-03-21	$22.02	$22.50	19.0%	5.1%	16.0%	2.4%	18.4%	82.4%	8.8%	32.0K	-223.6K	-2.2K	1.41	102.16	26	37	485	117
2022-03-22	$22.14	$22.50	18.0%	4.8%	16.1%	2.1%	16.8%	136.3%	1.6%	31.7K	-231.3K	-2.2K	0.95	74.47	37	35	498	121
2022-03-23	$22.11	$22.50	28.9%	7.1%	16.1%	5.6%	25.0%	161.8%	10.6%	29.2K	-366.5K	-2.5K	0.16	69.63	121	19	516	123
2022-03-24	$21.99	$22.50	18.8%	4.3%	16.1%	2.3%	14.6%	130.9%	0.3%	49.7K	-310.0K	-2.5K	0.18	73.91	121	22	615	124
2022-03-25	$22.20	$22.50	12.1%	5.3%	15.5%	0.1%	18.4%	80.8%	11.8%	55.3K	-373.0K	-2.6K	0.19	86.69	117	22	623	125
2022-03-28	$22.20	$22.50	13.1%	4.8%	15.5%	0.5%	16.6%	181.9%	9.5%	59.0K	-374.0K	-2.5K	0.89	78.73	25	22	633	122
2022-03-29	$22.20	$22.50	13.5%	4.1%	15.5%	0.6%	14.0%	187.5%	7.7%	63.9K	-354.9K	-2.5K	0.80	85.24	28	22	636	122
2022-03-30	$22.14	$22.50	16.0%	4.6%	15.4%	1.4%	16.0%	189.9%	7.9%	59.8K	-371.0K	-2.5K	0.96	77.39	23	22	639	122
2022-03-31	$22.14	$22.50	14.3%	4.6%	15.4%	0.9%	16.2%	183.4%	7.8%	61.7K	-371.2K	-2.5K	0.84	85.52	25	21	640	122