OCSL Options History — May 2022

In May 2022, OCSL traded between $20.04 and $22.14. ATM implied volatility averaged 29.9%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.6% (HV 20d: 25.4%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.24.

Notable Days

2022-05-26: Highest Volume — 160 contracts
2022-05-09: Largest IV spike — 176.1% change
2022-05-09: Highest IV Rank — 15.8%
2022-05-09: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.03	$20.04	$22.14	$21.06	$20.85
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	29.9%	17.8%	60.2%	26.9%	29.2%
Expected Move	7.9%	5.1%	15.8%	7.7%	8.4%
HV 20d	25.4%	14.7%	30.9%	14.7%	29.9%
HV 60d	18.1%	13.9%	21.0%	13.9%	21.0%
IV Rank	6.0%	2.0%	15.8%	5.0%	5.7%
IV Percentile	58.4%	12.7%	84.1%	61.1%	71.8%
Term Structure	0.9%	-18.0%	42.8%	15.8%	-8.3%
VWIV	30.8%	20.7%	51.8%	30.7%	37.2%
Skew 25d	114.9%	16.2%	276.9%	101.7%	47.2%
Skew 10d	156.7%	21.3%	265.3%	105.5%	99.1%
Call IV 25d	54.6%	24.3%	87.6%	47.2%	65.6%
Put IV 25d	169.5%	54.1%	301.3%	148.9%	112.9%
Bid-Ask Spread %	91.96	74.80	108.03	87.26	87.34
Gamma HHI	1.00	0.99	1.00	1.00	1.00
Net GEX	31.8K	7.4K	79.8K	39.0K	13.2K
Net DEX	-99.8K	-413.3K	138.2K	-153.1K	26.7K
Net VEX	-1.4K	-2.1K	-529	-1.5K	-672
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.04	4.58	0.29	0.09
Total Volume	83.238	27	160	58	95
Total OI	743.048	502	881	757	601

Daily Data (21 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
2022-05-02	$21.06	$22.50	26.9%	7.7%	14.7%	5.0%	30.7%	101.7%	15.8%	39.0K	-153.1K	-1.5K	0.29	87.26	45	13	673	84
2022-05-03	$21.78	$22.50	17.8%	5.1%	19.6%	2.0%	27.2%	276.9%	16.5%	70.5K	-281.0K	-1.9K	0.31	85.72	35	11	695	86
2022-05-04	$22.14	$22.50	23.8%	6.8%	20.6%	4.0%	25.1%	218.7%	-1.5%	79.8K	-413.3K	-2.1K	0.38	91.22	28	11	704	86
2022-05-05	$21.63	$22.50	50.7%	7.0%	22.1%	12.7%	26.0%	157.2%	-4.8%	44.4K	-396.7K	-2.0K	0.40	83.66	27	11	705	87
2022-05-06	$21.75	$22.50	21.8%	7.3%	22.3%	3.3%	26.2%	94.4%	-6.9%	67.7K	-318.0K	-2.0K	0.51	91.81	27	14	705	87
2022-05-09	$21.15	$22.50	60.2%	15.8%	24.0%	15.8%	51.8%	141.7%	-18.0%	36.7K	-328.3K	-1.9K	0.75	103.17	30	22	705	92
2022-05-10	$21.18	$22.50	47.1%	7.9%	24.0%	11.5%	28.0%	157.8%	2.7%	42.6K	-280.1K	-1.7K	1.73	97.26	51	89	702	84
2022-05-11	$21.09	$22.50	24.5%	7.0%	24.1%	4.2%	24.8%	127.4%	6.0%	37.9K	-119.1K	-1.7K	3.62	106.30	26	93	703	133
2022-05-12	$20.76	$22.50	39.2%	11.2%	24.3%	9.0%	43.4%	21.8%	-3.9%	26.3K	-80.6K	-1.6K	4.58	100.43	20	92	704	138
2022-05-13	$21.12	$22.50	26.9%	7.7%	25.4%	5.0%	34.9%	163.0%	1.5%	39.8K	-65.4K	-1.5K	3.13	108.03	29	92	703	138
2022-05-16	$21.24	$22.50	30.5%	8.7%	25.0%	6.1%	30.1%	108.4%	-10.4%	28.2K	-21.4K	-1.4K	1.56	83.09	53	82	701	138
2022-05-17	$21.42	$22.50	23.1%	6.6%	25.3%	3.7%	23.1%	116.0%	2.3%	46.9K	-77.2K	-1.6K	1.49	75.54	53	78	736	138
2022-05-18	$20.88	$22.50	20.6%	5.9%	26.4%	2.9%	20.7%	126.4%	3.3%	15.1K	-14.9K	-1.4K	1.52	97.32	53	80	737	139
2022-05-19	$20.70	$22.50	37.6%	10.8%	26.3%	8.4%	36.8%	98.7%	42.8%	13.1K	-31.3K	-1.5K	3.31	106.06	24	78	737	141
2022-05-20	$20.04	$22.50	22.5%	6.4%	28.1%	3.5%	24.6%	96.2%	15.7%	10.2K	8.4K	-1.3K	0.72	106.77	31	22	737	144
2022-05-23	$20.52	$22.50	23.8%	6.8%	30.0%	4.0%	28.7%	106.2%	-6.2%	12.5K	53.3K	-1.0K	0.19	91.58	30	6	402	100
2022-05-24	$20.19	$22.50	26.1%	7.5%	29.4%	4.7%	30.2%	100.2%	-7.2%	7.4K	126.2K	-547	0.69	88.30	16	11	403	101
2022-05-25	$20.40	$22.50	26.2%	7.5%	29.8%	4.7%	31.1%	95.0%	-7.0%	7.9K	138.2K	-529	0.56	90.23	20	11	405	106
2022-05-26	$20.76	$22.50	25.1%	7.2%	30.6%	4.4%	32.3%	16.2%	-6.6%	11.4K	121.8K	-655	0.04	74.80	154	6	406	106
2022-05-27	$21.06	$22.50	25.5%	7.3%	30.9%	4.5%	34.2%	41.1%	-6.2%	17.2K	9.0K	-788	0.09	75.21	72	7	506	106
2022-05-31	$20.85	$22.50	29.2%	8.4%	29.9%	5.7%	37.2%	47.2%	-8.3%	13.2K	26.7K	-672	0.09	87.34	87	8	495	106