OCSL Options History — April 2022

In April 2022, OCSL traded between $21.57 and $22.71. ATM implied volatility averaged 23.2%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 12.6% (HV 20d: 10.6%). 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 0.60.

Notable Days

2022-04-18: Highest Volume — 131 contracts
2022-04-12: Largest IV spike — 93.4% change
2022-04-12: Highest IV Rank — 16.3%
2022-04-28: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.26	$21.57	$22.71	$22.38	$21.57
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	23.2%	15.7%	61.6%	16.5%	23.3%
Expected Move	5.4%	3.7%	6.7%	5.7%	6.7%
HV 20d	10.6%	7.3%	15.8%	15.8%	13.2%
HV 60d	13.0%	12.4%	13.6%	13.6%	13.1%
IV Rank	3.8%	1.3%	16.3%	1.6%	3.8%
IV Percentile	32.5%	6.3%	78.2%	7.5%	46.0%
Term Structure	2.5%	-5.2%	14.0%	14.0%	3.4%
VWIV	19.3%	13.9%	25.1%	20.5%	24.7%
Skew 25d	56.0%	-4.4%	151.8%	124.2%	151.8%
Skew 10d	60.8%	-2.3%	167.1%	167.1%	133.2%
Call IV 25d	52.0%	25.4%	84.6%	84.6%	27.8%
Put IV 25d	108.0%	62.2%	208.8%	208.8%	179.6%
Bid-Ask Spread %	81.91	64.69	100.67	64.69	95.57
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	64.9K	52.0K	87.2K	55.3K	52.0K
Net DEX	-445.4K	-624.5K	-300.2K	-488.2K	-300.2K
Net VEX	-2.3K	-2.6K	-2.0K	-2.6K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.10	2.83	0.52	0.89
Total Volume	52.8	8	131	34	53
Total OI	728.35	574	775	762	752

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
2022-04-01	$22.38	$22.50	16.5%	5.7%	15.8%	1.6%	20.5%	124.2%	14.0%	55.3K	-488.2K	-2.6K	0.52	64.69	22	12	640	122
2022-04-04	$22.35	$22.50	22.6%	5.0%	13.8%	3.6%	17.5%	52.3%	-2.1%	63.1K	-491.5K	-2.5K	0.34	86.58	35	12	640	122
2022-04-05	$22.29	$22.50	21.1%	4.3%	13.2%	3.1%	16.2%	58.6%	3.0%	62.4K	-423.1K	-2.4K	0.63	92.19	28	17	635	123
2022-04-06	$22.20	$22.50	24.3%	3.7%	12.9%	4.1%	13.9%	64.6%	2.5%	62.7K	-405.9K	-2.4K	0.49	88.89	29	14	635	130
2022-04-07	$22.20	$22.50	23.7%	5.0%	11.1%	3.9%	18.7%	24.8%	-0.1%	58.9K	-379.1K	-2.4K	0.49	74.71	27	13	636	134
2022-04-08	$22.35	$22.50	22.7%	4.9%	11.3%	3.6%	18.0%	74.6%	0.1%	64.5K	-413.8K	-2.3K	0.64	81.89	26	16	636	134
2022-04-11	$22.29	$22.50	31.8%	5.1%	8.6%	6.6%	18.9%	65.4%	-0.4%	61.0K	-404.2K	-2.3K	0.70	83.42	26	18	637	138
2022-04-12	$22.23	$22.50	61.6%	6.1%	8.7%	16.3%	21.5%	106.4%	-5.2%	55.7K	-401.6K	-2.2K	0.56	84.80	32	18	637	136
2022-04-13	$22.35	$22.50	18.1%	5.2%	8.3%	2.1%	18.4%	65.1%	-2.4%	72.5K	-399.9K	-2.2K	0.62	81.83	31	19	635	136
2022-04-14	$22.29	$22.50	15.7%	4.5%	7.3%	1.3%	16.3%	32.3%	11.5%	66.9K	-384.2K	-2.1K	2.83	73.78	26	73	635	138
2022-04-18	$22.56	$22.50	22.5%	6.5%	8.3%	3.5%	22.5%	52.3%	2.1%	52.2K	-474.7K	-2.1K	0.10	70.08	119	12	524	50
2022-04-19	$22.62	$22.50	17.0%	4.9%	8.2%	1.7%	17.1%	-4.4%	6.0%	78.5K	-602.3K	-2.3K	0.39	79.07	30	12	621	51
2022-04-20	$22.71	$22.50	18.0%	5.2%	8.2%	2.1%	18.2%	2.6%	7.0%	87.2K	-624.5K	-2.3K	0.40	80.71	28	11	621	51
2022-04-21	$22.47	$22.50	20.7%	5.9%	9.2%	3.0%	21.7%	7.6%	3.5%	65.7K	-584.5K	-2.3K	0.45	80.52	25	11	623	52
2022-04-22	$22.47	$22.50	18.8%	5.4%	8.9%	2.3%	19.8%	8.1%	4.2%	76.7K	-539.1K	-2.3K	0.53	83.05	22	12	629	52
2022-04-25	$22.35	$22.50	17.0%	4.9%	8.6%	1.7%	17.0%	24.8%	3.1%	85.8K	-456.1K	-2.1K	0.28	77.07	40	11	629	53
2022-04-26	$21.81	$22.50	23.3%	6.7%	12.3%	3.8%	25.1%	34.8%	-0.8%	56.4K	-385.1K	-2.0K	0.35	73.75	57	20	663	53
2022-04-27	$21.78	$22.50	22.8%	6.5%	12.3%	3.6%	0.0%	52.7%	-1.9%	59.3K	-353.4K	-2.1K	0.20	84.98	7	1	664	64
2022-04-28	$21.87	$22.50	23.4%	6.7%	12.4%	3.8%	20.3%	122.2%	1.6%	60.6K	-396.1K	-2.2K	0.51	100.67	60	31	671	65
2022-04-29	$21.57	$22.50	23.3%	6.7%	13.2%	3.8%	24.7%	151.8%	3.4%	52.0K	-300.2K	-2.0K	0.89	95.57	28	25	671	81