OCSL Options History — August 2022

In August 2022, OCSL traded between $20.82 and $21.66. ATM implied volatility averaged 19.8%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.8% (HV 20d: 14.9%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.55.

Notable Days

  • 2022-08-05: Highest Volume — 138 contracts
  • 2022-08-30: Largest IV spike — 68.4% change
  • 2022-08-30: Highest IV Rank — 18.8%
  • 2022-08-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.24$20.82$21.66$21.33$20.82
Max Pain$21.20$15.00$22.50$22.50$22.50
ATM IV19.8%10.3%29.5%21.6%27.4%
Expected Move5.4%2.8%8.5%6.2%7.9%
HV 20d14.9%13.4%16.2%14.5%15.4%
HV 60d23.9%22.4%25.9%25.9%22.4%
IV Rank6.4%0.0%18.8%5.8%16.7%
IV Percentile31.1%0.0%82.5%31.7%77.4%
Term Structure11.9%-10.0%251.3%-3.3%-10.0%
VWIV27.1%6.6%70.9%30.9%33.5%
Skew 25d93.3%42.6%151.6%50.8%141.9%
Skew 10d148.6%89.0%222.4%91.5%221.7%
Call IV 25d53.4%28.8%77.2%57.7%77.2%
Put IV 25d146.8%95.2%219.2%108.6%219.2%
Bid-Ask Spread %80.7416.91105.6828.5090.26
Gamma HHI1.001.001.001.001.00
Net GEX22.9K7.0K49.8K34.2K8.9K
Net DEX27.0K-93.8K105.1K-8.2K77.5K
Net VEX-1.1K-1.4K-648-1.0K-975
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.0025.080.430.17
Total Volume28.26101382346
Total OI582.217327748622425

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$21.33$22.5021.6%6.2%14.5%5.8%30.9%50.8%-3.3%34.2K-8.2K-1.0K0.4328.50167512110
2022-08-02$21.21$22.5016.7%4.8%14.8%3.0%21.8%55.5%-4.0%24.3K74.1K-7720.4044.56177513111
2022-08-03$21.39$22.5018.6%5.3%14.3%4.1%24.3%69.1%-3.8%33.6K29.2K-8890.4516.91167514109
2022-08-04$21.00$22.5018.4%2.8%16.2%3.9%6.6%105.5%7.7%16.9K96.7K-6480.4699.29157513110
2022-08-05$21.18$22.5017.9%5.0%16.1%3.7%22.8%126.0%7.4%20.8K80.0K-7150.4793.819444513110
2022-08-08$21.27$22.5024.3%5.3%15.4%7.5%25.0%134.1%5.1%33.3K30.9K-1.1K0.8291.755444590129
2022-08-09$21.12$22.5024.0%5.2%15.8%7.3%0.0%93.0%4.9%26.1K62.3K-1.1K0.1791.5520591130
2022-08-10$21.33$22.5017.6%5.1%15.8%3.5%0.0%103.1%6.4%36.9K-5.6K-1.3K0.0093.3380591130
2022-08-11$21.36$22.5018.0%5.2%14.5%3.7%70.9%103.2%5.3%38.9K-44.8K-1.3K0.0093.2870590130
2022-08-12$21.66$15.0017.8%5.1%14.8%3.6%0.0%116.4%5.6%49.8K-93.8K-1.3K0.0080.8640594130
2022-08-15$21.51$15.0010.3%2.9%15.1%0.0%0.0%96.2%-5.3%37.7K32.9K-1.1K0.6395.0732596130
2022-08-16$21.54$15.0010.9%3.1%13.4%0.4%0.0%99.4%3.8%45.5K-56.6K-1.2K0.9392.5498596131
2022-08-17$21.42$15.0014.5%4.2%13.7%2.5%16.3%103.3%-3.5%36.9K13.5K-1.1K1.05105.6877603128
2022-08-18$21.45$22.5016.9%4.8%13.6%3.8%0.0%114.2%16.6%11.3K102.6K-1.0K0.5078.6432610135
2022-08-19$21.21$22.5015.3%4.4%14.4%2.9%0.0%99.6%251.3%9.4K105.1K-1.0K25.0890.454100613135
2022-08-22$20.85$22.5022.2%6.4%15.7%7.0%26.9%151.0%-3.2%7.0K39.1K-1.1K0.2694.339223394
2022-08-23$21.03$22.5023.9%6.9%15.9%8.0%0.0%46.5%-0.3%7.8K35.0K-1.1K0.0084.120524296
2022-08-24$21.18$22.5023.3%6.7%15.8%7.6%0.0%47.3%-3.1%8.3K22.3K-1.1K0.3372.7831242100
2022-08-25$21.24$22.5024.1%6.9%15.1%13.5%0.0%51.7%-6.3%8.7K27.9K-1.1K0.2772.774312245101
2022-08-26$21.09$22.5023.8%6.8%14.6%13.1%0.0%44.3%-7.0%9.9K10.8K-1.3K0.1287.4561280113
2022-08-29$21.12$22.5017.5%5.0%14.4%7.0%18.8%42.6%18.2%9.5K19.2K-1.3K0.0269.41271285113
2022-08-30$21.21$22.5029.5%8.5%14.3%18.8%0.0%151.6%-8.2%11.2K-28.0K-1.4K0.0089.7300311114
2022-08-31$20.82$22.5027.4%7.9%15.4%16.7%33.5%141.9%-10.0%8.9K77.5K-9750.1790.26397311114