OCSL Options History — September 2022

In September 2022, OCSL traded between $17.82 and $20.82. ATM implied volatility averaged 51.0%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 30.9% (HV 20d: 20.1%). Max pain ranged from $15.00 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 5.38.

Notable Days

2022-09-07: Highest Volume — 53 contracts
2022-09-13: Largest IV spike — 156.8% change
2022-09-13: Highest IV Rank — 100.0%
2022-09-02: Largest Expected Move — 22.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.50	$17.82	$20.82	$20.34	$18.09
Max Pain	$21.79	$15.00	$22.50	$22.50	$22.50
ATM IV	51.0%	23.8%	163.9%	66.8%	58.5%
Expected Move	10.9%	4.5%	22.7%	19.2%	16.8%
HV 20d	20.1%	15.8%	27.2%	16.2%	27.2%
HV 60d	19.5%	17.1%	22.8%	22.8%	20.9%
IV Rank	33.2%	8.8%	100.0%	55.1%	31.4%
IV Percentile	86.9%	57.9%	100.0%	98.0%	94.4%
Term Structure	-11.1%	-70.8%	-0.4%	-12.4%	-14.1%
VWIV	55.7%	27.2%	106.7%	106.7%	57.9%
Skew 25d	49.1%	-18.5%	216.5%	97.5%	26.8%
Skew 10d	69.0%	-4.6%	206.7%	78.4%	30.6%
Call IV 25d	36.1%	24.8%	51.7%	36.5%	38.2%
Put IV 25d	85.2%	29.7%	245.1%	134.0%	65.0%
Bid-Ask Spread %	83.14	50.81	120.71	80.33	73.32
Gamma HHI	0.92	0.68	1.00	1.00	0.76
Net GEX	6.9K	2.1K	11.7K	8.3K	2.7K
Net DEX	74.8K	25.0K	131.8K	83.1K	131.1K
Net VEX	-818	-1.2K	-358	-932	-358
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.38	0.00	62.00	2.86	0.54
Total Volume	15.619	1	53	9	20
Total OI	427.857	406	468	427	415

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
2022-09-01	$20.34	$22.50	66.8%	19.2%	16.2%	55.1%	106.7%	97.5%	-12.4%	8.3K	83.1K	-932	2.86	80.33	2	7	311	116
2022-09-02	$20.46	$22.50	79.3%	22.7%	16.0%	67.3%	0.0%	216.5%	-12.7%	7.8K	40.1K	-1.1K	10.60	83.30	2	18	309	113
2022-09-06	$20.28	$15.00	48.6%	7.1%	16.0%	37.4%	70.6%	84.8%	-3.5%	8.7K	59.7K	-840	3.53	120.71	6	22	309	97
2022-09-07	$20.46	$15.00	33.9%	7.4%	16.4%	23.1%	0.0%	99.0%	-3.4%	9.2K	58.3K	-838	1.52	89.65	21	32	310	98
2022-09-08	$20.58	$22.50	46.8%	5.9%	16.1%	47.2%	0.0%	93.5%	-3.4%	9.4K	58.4K	-844	0.13	76.75	13	2	310	111
2022-09-09	$20.82	$22.50	45.3%	4.5%	16.8%	45.2%	0.0%	90.5%	-3.2%	11.7K	48.1K	-941	2.60	87.18	2	4	323	113
2022-09-12	$20.76	$22.50	63.8%	6.0%	15.8%	69.2%	0.0%	101.9%	-0.4%	11.4K	44.1K	-959	0.36	93.74	8	3	325	117
2022-09-13	$20.28	$22.50	163.9%	5.7%	17.4%	100.0%	27.2%	92.8%	-4.3%	9.2K	57.3K	-819	1.57	108.84	12	19	320	118
2022-09-14	$19.74	$22.50	25.5%	7.3%	19.3%	9.9%	33.4%	6.2%	-4.5%	7.3K	72.6K	-891	62.00	102.94	0	21	316	135
2022-09-15	$20.04	$22.50	25.7%	7.4%	20.5%	10.0%	0.0%	38.0%	-4.3%	7.3K	33.4K	-1.2K	7.00	96.13	0	2	316	150
2022-09-16	$19.77	$22.50	24.6%	7.0%	20.7%	9.3%	32.9%	13.7%	-4.8%	8.7K	25.0K	-1.2K	0.91	79.54	15	14	316	152
2022-09-19	$19.77	$22.50	25.7%	7.4%	20.6%	10.0%	54.8%	23.2%	-5.3%	7.1K	82.6K	-834	0.00	87.22	0	2	301	119
2022-09-20	$19.44	$22.50	27.8%	8.0%	20.6%	11.4%	0.0%	29.0%	-6.0%	6.4K	71.0K	-870	0.00	69.84	9	0	301	121
2022-09-21	$19.38	$22.50	33.7%	9.7%	20.1%	15.2%	0.0%	31.7%	-6.3%	5.8K	88.8K	-806	0.00	75.95	0	1	299	121
2022-09-22	$18.81	$22.50	23.8%	6.8%	21.6%	8.8%	0.0%	0.5%	-7.4%	6.2K	70.5K	-886	0.00	50.81	1	0	299	122
2022-09-23	$18.30	$22.50	41.6%	11.9%	22.6%	20.4%	0.0%	-3.2%	-9.2%	3.7K	93.6K	-694	0.00	65.21	0	1	299	122
2022-09-26	$17.91	$22.50	43.2%	12.4%	23.1%	21.4%	49.0%	-5.3%	-1.2%	4.2K	97.6K	-642	0.96	59.08	8	8	299	122
2022-09-27	$18.03	$22.50	61.1%	17.5%	23.5%	33.1%	55.6%	15.8%	-18.2%	3.2K	116.7K	-540	0.92	80.29	9	8	299	121
2022-09-28	$18.42	$22.50	58.4%	16.7%	25.4%	31.3%	62.2%	-2.8%	-38.8%	3.8K	107.0K	-576	0.78	70.11	9	7	299	121
2022-09-29	$17.82	$22.50	73.2%	21.0%	26.7%	40.9%	61.7%	-18.5%	-70.8%	2.1K	131.8K	-374	0.54	95.05	13	7	300	120
2022-09-30	$18.09	$22.50	58.5%	16.8%	27.2%	31.4%	57.9%	26.8%	-14.1%	2.7K	131.1K	-358	0.54	73.32	13	7	295	120