OCSL Options History — July 2022

In July 2022, OCSL traded between $19.77 and $21.18. ATM implied volatility averaged 35.1%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 11.5% (HV 20d: 23.5%). 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 5 of 20 days. Put/call ratio averaged 0.94.

Notable Days

2022-07-11: Highest Volume — 55 contracts
2022-07-13: Largest IV drop — 69.3% change
2022-07-11: Highest IV Rank — 35.7%
2022-07-01: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.30	$19.77	$21.18	$20.10	$21.18
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	35.1%	21.1%	72.4%	33.0%	21.1%
Expected Move	6.8%	5.8%	9.5%	9.5%	6.1%
HV 20d	23.5%	16.1%	33.2%	33.2%	16.6%
HV 60d	27.1%	26.1%	27.6%	26.9%	26.1%
IV Rank	13.8%	5.6%	35.7%	12.6%	5.6%
IV Percentile	63.3%	31.0%	93.3%	79.0%	31.0%
Term Structure	9.9%	-20.8%	280.9%	-12.3%	-3.0%
VWIV	31.3%	27.2%	39.9%	39.9%	29.5%
Skew 25d	16.6%	-1.3%	61.0%	14.8%	61.0%
Skew 10d	28.8%	-1.5%	91.6%	25.2%	79.3%
Call IV 25d	28.7%	18.2%	47.8%	36.3%	40.0%
Put IV 25d	45.3%	29.8%	101.0%	51.0%	101.0%
Bid-Ask Spread %	61.16	42.27	74.99	69.10	42.64
Gamma HHI	0.99	0.93	1.00	0.93	1.00
Net GEX	13.3K	8.4K	28.0K	8.4K	28.0K
Net DEX	75.8K	-152.2K	117.9K	-152.2K	21.1K
Net VEX	-657	-1.3K	-476	-1.3K	-924
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.15	2.29	1.52	0.20
Total Volume	33.25	17	55	18	43
Total OI	548.95	517	602	517	602

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
2022-07-01	$20.10	$22.50	33.0%	9.5%	33.2%	12.6%	39.9%	14.8%	-12.3%	8.4K	-152.2K	-1.3K	1.52	69.10	7	11	409	108
2022-07-05	$20.16	$22.50	42.9%	5.8%	33.2%	18.4%	27.7%	8.3%	-5.2%	11.1K	90.7K	-586	1.50	72.25	7	10	411	108
2022-07-06	$19.98	$22.50	53.4%	8.7%	32.4%	24.6%	30.3%	0.9%	-20.8%	11.7K	46.6K	-739	0.60	64.37	17	10	411	109
2022-07-07	$20.13	$22.50	58.1%	6.0%	32.6%	27.3%	28.1%	13.9%	-5.5%	11.2K	94.9K	-573	0.49	67.02	20	10	421	109
2022-07-08	$20.34	$22.50	63.9%	5.9%	32.8%	30.7%	27.2%	7.3%	-5.2%	13.3K	62.0K	-758	1.30	70.93	20	26	424	109
2022-07-11	$20.13	$22.50	72.4%	6.3%	32.5%	35.7%	28.3%	7.8%	-6.1%	11.1K	115.6K	-543	0.96	66.90	28	27	424	119
2022-07-12	$20.13	$22.50	71.4%	6.3%	32.3%	35.2%	29.1%	11.1%	-6.3%	11.2K	116.8K	-536	0.93	70.41	25	23	434	120
2022-07-13	$20.04	$22.50	21.9%	6.3%	23.7%	6.0%	29.3%	7.0%	-6.6%	10.6K	117.9K	-554	0.91	68.82	25	22	438	127
2022-07-14	$19.77	$22.50	25.9%	7.4%	23.3%	8.4%	35.9%	8.2%	280.9%	10.3K	99.4K	-647	1.45	74.99	11	16	438	127
2022-07-15	$19.98	$22.50	23.9%	6.9%	23.3%	7.2%	32.2%	10.3%	6.9%	10.8K	92.5K	-714	2.29	74.31	7	16	437	128
2022-07-18	$19.92	$22.50	24.6%	7.0%	17.4%	7.6%	33.2%	8.1%	0.6%	10.0K	108.7K	-476	1.84	68.79	8	15	436	111
2022-07-19	$20.37	$22.50	22.2%	6.4%	18.6%	6.2%	30.0%	11.8%	0.8%	12.8K	107.1K	-585	0.81	70.93	19	15	434	111
2022-07-20	$20.49	$22.50	23.1%	6.6%	18.1%	6.7%	31.7%	18.9%	0.8%	14.2K	86.6K	-635	0.69	68.93	22	15	425	112
2022-07-21	$20.49	$22.50	23.6%	6.8%	18.1%	7.0%	32.3%	12.2%	-2.8%	15.0K	69.3K	-716	0.72	46.91	23	16	438	112
2022-07-22	$20.43	$22.50	23.5%	6.8%	17.3%	7.0%	31.7%	12.2%	-3.2%	13.7K	98.2K	-545	0.85	45.47	11	9	440	112
2022-07-25	$20.34	$22.50	24.4%	7.0%	16.4%	7.5%	32.7%	-1.3%	-3.9%	12.9K	101.8K	-499	0.70	47.99	13	9	443	109
2022-07-26	$20.43	$22.50	25.5%	7.3%	16.1%	8.1%	34.4%	14.6%	-4.0%	14.3K	91.2K	-529	0.47	42.27	20	9	447	110
2022-07-27	$20.61	$22.50	23.1%	6.6%	16.2%	6.7%	29.9%	49.1%	-3.8%	15.0K	81.9K	-580	0.43	42.76	22	10	447	110
2022-07-28	$20.91	$22.50	23.2%	6.7%	16.4%	6.8%	31.9%	56.5%	-3.4%	20.9K	65.3K	-710	0.15	47.47	42	6	458	111
2022-07-29	$21.18	$22.50	21.1%	6.1%	16.6%	5.6%	29.5%	61.0%	-3.0%	28.0K	21.1K	-924	0.20	42.64	36	7	491	111