OCSL Options History — June 2022

In June 2022, OCSL traded between $18.69 and $21.36. ATM implied volatility averaged 36.7%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 6.7% (HV 20d: 30.1%). 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 0 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2022-06-01: Highest Volume — 95 contracts
2022-06-16: Largest IV spike — 189.7% change
2022-06-16: Highest IV Rank — 44.7%
2022-06-16: Largest Expected Move — 25.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.94	$18.69	$21.36	$21.12	$19.59
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	36.7%	21.1%	87.6%	21.9%	40.9%
Expected Move	10.5%	5.6%	25.1%	6.3%	11.7%
HV 20d	30.1%	24.7%	34.5%	27.6%	31.5%
HV 60d	23.7%	20.4%	26.3%	20.8%	26.3%
IV Rank	14.8%	5.6%	44.7%	6.0%	17.2%
IV Percentile	70.4%	31.3%	94.4%	34.1%	84.9%
Term Structure	-9.3%	-40.6%	-3.1%	-8.0%	-13.4%
VWIV	53.6%	24.4%	118.3%	24.4%	57.9%
Skew 25d	74.5%	-9.9%	165.9%	140.9%	63.2%
Skew 10d	84.5%	-12.1%	222.1%	222.1%	83.0%
Call IV 25d	39.2%	17.9%	77.9%	77.9%	38.2%
Put IV 25d	113.7%	41.2%	218.9%	218.9%	101.4%
Bid-Ask Spread %	110.20	87.73	131.83	92.39	96.96
Gamma HHI	0.99	0.95	1.00	1.00	0.98
Net GEX	10.5K	3.8K	19.7K	16.9K	9.2K
Net DEX	75.7K	-72.4K	145.5K	6.9K	79.7K
Net VEX	-722	-1.2K	-468	-818	-646
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.09	2.06	0.09	1.63
Total Volume	38.857	12	95	95	14
Total OI	538.333	509	581	580	517

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
2022-06-01	$21.12	$22.50	21.9%	6.3%	27.6%	6.0%	24.4%	140.9%	-8.0%	16.9K	6.9K	-818	0.09	92.39	87	8	472	108
2022-06-02	$21.18	$22.50	23.1%	8.4%	26.8%	6.8%	46.7%	165.9%	-3.1%	16.6K	15.6K	-782	0.13	131.07	57	8	472	109
2022-06-03	$21.00	$22.50	21.1%	6.0%	25.8%	5.6%	28.8%	96.0%	-3.4%	14.8K	44.3K	-739	0.11	103.61	58	6	459	109
2022-06-06	$21.36	$22.50	22.3%	5.7%	26.5%	6.3%	28.5%	135.6%	-3.2%	19.7K	59.4K	-798	0.13	105.71	61	8	448	110
2022-06-07	$21.18	$22.50	28.5%	5.6%	24.7%	9.9%	26.6%	82.4%	-3.5%	16.7K	111.9K	-723	0.11	99.32	55	6	433	112
2022-06-08	$20.97	$22.50	31.0%	8.9%	24.9%	11.4%	48.0%	110.7%	-4.0%	14.2K	122.7K	-701	0.17	106.30	55	9	430	112
2022-06-09	$20.64	$22.50	24.1%	6.9%	25.5%	7.3%	32.5%	98.5%	-4.6%	9.2K	145.5K	-487	0.13	97.43	56	7	430	111
2022-06-10	$20.82	$22.50	28.4%	8.1%	25.1%	9.9%	41.8%	114.3%	-4.4%	11.5K	134.9K	-564	0.12	122.38	55	7	432	113
2022-06-13	$19.59	$22.50	26.0%	7.5%	32.3%	8.5%	29.9%	54.6%	-7.0%	3.8K	129.4K	-468	0.11	111.99	55	6	433	114
2022-06-14	$19.26	$22.50	28.2%	8.1%	32.5%	9.7%	41.5%	82.2%	-7.0%	7.8K	114.9K	-651	1.09	129.74	12	13	431	117
2022-06-15	$19.47	$22.50	30.3%	8.7%	32.6%	10.9%	42.7%	32.8%	-6.9%	8.6K	107.3K	-701	1.03	120.51	12	13	432	117
2022-06-16	$18.69	$22.50	87.6%	25.1%	34.3%	44.7%	118.3%	62.0%	-40.6%	6.1K	103.3K	-657	0.97	122.48	12	12	434	117
2022-06-17	$18.81	$22.50	66.9%	19.2%	34.5%	32.5%	97.5%	23.3%	-8.7%	7.5K	57.1K	-965	0.86	120.96	12	10	433	117
2022-06-21	$19.11	$22.50	61.6%	17.7%	33.7%	29.4%	93.5%	63.4%	-9.6%	8.4K	33.3K	-920	0.70	131.83	9	6	408	101
2022-06-22	$19.20	$22.50	26.4%	7.6%	32.4%	8.7%	32.1%	36.7%	-9.8%	8.2K	57.7K	-780	0.67	119.74	9	6	408	101
2022-06-23	$18.96	$22.50	55.6%	15.9%	32.2%	25.8%	83.3%	57.6%	-10.9%	6.9K	86.2K	-583	1.06	95.08	6	6	408	102
2022-06-24	$19.35	$22.50	26.4%	7.6%	32.9%	8.7%	85.0%	71.4%	-10.4%	8.2K	-72.4K	-1.2K	1.59	104.75	6	9	408	102
2022-06-27	$19.56	$22.50	28.4%	8.1%	32.5%	9.8%	31.7%	-9.9%	-11.4%	9.5K	56.9K	-835	1.65	110.09	6	9	408	106
2022-06-28	$19.53	$22.50	54.7%	15.7%	31.8%	25.3%	83.2%	37.1%	-12.1%	8.1K	92.7K	-584	2.06	104.14	5	11	408	106
2022-06-29	$19.41	$22.50	38.1%	10.9%	31.8%	15.5%	51.1%	44.9%	-13.2%	7.7K	102.2K	-551	1.63	87.73	5	9	409	108
2022-06-30	$19.59	$22.50	40.9%	11.7%	31.5%	17.2%	57.9%	63.2%	-13.4%	9.2K	79.7K	-646	1.63	96.96	5	9	409	108