OCSL Options History — October 2022

In October 2022, OCSL traded between $18.09 and $19.95. ATM implied volatility averaged 51.9%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 18.3% (HV 20d: 33.6%). 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 8 of 21 days. Put/call ratio averaged 0.95.

Notable Days

2022-10-24: Highest Volume — 81 contracts
2022-10-07: Largest IV spike — 103.7% change
2022-10-07: Highest IV Rank — 100.0%
2022-10-07: Largest Expected Move — 32.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.94	$18.09	$19.95	$18.21	$19.80
Max Pain	$21.79	$15.00	$22.50	$22.50	$22.50
ATM IV	51.9%	20.5%	165.0%	76.9%	29.0%
Expected Move	12.1%	5.9%	32.2%	22.1%	8.3%
HV 20d	33.6%	27.3%	35.5%	27.3%	31.2%
HV 60d	24.8%	20.8%	26.3%	20.8%	26.1%
IV Rank	27.0%	6.6%	100.0%	43.4%	12.1%
IV Percentile	83.0%	28.2%	100.0%	98.8%	71.8%
Term Structure	14.3%	-120.2%	277.2%	-78.2%	-7.5%
VWIV	49.5%	20.4%	108.1%	93.6%	33.3%
Skew 25d	6.2%	-20.7%	35.6%	-9.8%	6.7%
Skew 10d	15.1%	-0.3%	68.6%	-0.3%	17.3%
Call IV 25d	34.1%	23.7%	57.7%	52.0%	36.6%
Put IV 25d	40.3%	32.2%	66.6%	42.2%	43.3%
Bid-Ask Spread %	55.53	14.42	88.14	88.14	45.90
Gamma HHI	0.89	0.72	0.99	0.75	0.94
Net GEX	5.3K	2.8K	8.0K	2.8K	7.7K
Net DEX	61.4K	-42.1K	129.5K	129.5K	40.2K
Net VEX	-713	-1.0K	-376	-376	-842
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.20	3.00	0.41	3.00
Total Volume	35.667	20	81	24	48
Total OI	445.429	406	484	415	484

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
2022-10-03	$18.21	$22.50	76.9%	22.1%	27.3%	43.4%	93.6%	-9.8%	-78.2%	2.8K	129.5K	-376	0.41	88.14	17	7	295	120
2022-10-04	$19.29	$15.00	38.4%	11.0%	35.3%	18.3%	52.9%	5.8%	-11.7%	5.9K	70.7K	-787	0.41	70.71	17	7	303	120
2022-10-05	$18.93	$15.00	44.5%	12.7%	35.5%	22.2%	81.2%	18.5%	-13.5%	5.0K	76.1K	-724	0.41	82.78	17	7	303	120
2022-10-06	$18.66	$22.50	81.0%	10.8%	35.5%	46.0%	37.8%	7.0%	-12.8%	4.3K	96.3K	-598	0.59	69.84	17	10	303	120
2022-10-07	$18.42	$22.50	165.0%	32.2%	35.1%	100.0%	108.1%	-20.7%	-120.2%	3.8K	-42.1K	-917	0.64	66.45	18	11	303	124
2022-10-10	$18.09	$22.50	91.0%	15.5%	35.3%	52.2%	51.6%	-3.7%	-22.7%	3.3K	93.9K	-619	0.66	60.21	18	12	303	128
2022-10-11	$18.09	$22.50	116.7%	13.4%	34.8%	68.8%	46.6%	-0.2%	-29.8%	3.0K	104.2K	-507	0.49	53.83	18	9	303	128
2022-10-12	$18.30	$22.50	34.5%	9.9%	34.4%	15.7%	36.6%	6.8%	22.4%	3.0K	126.8K	-416	0.28	49.53	29	8	299	128
2022-10-13	$18.72	$22.50	42.8%	12.3%	35.0%	21.0%	49.3%	7.8%	18.9%	5.8K	40.4K	-743	0.28	51.26	29	8	316	131
2022-10-14	$18.75	$22.50	45.9%	13.1%	34.9%	23.0%	29.1%	35.6%	3.2%	5.0K	42.3K	-726	0.20	46.79	30	6	314	131
2022-10-17	$18.99	$22.50	30.1%	8.6%	35.3%	12.8%	46.7%	3.9%	-0.8%	6.3K	43.4K	-731	0.37	47.14	15	6	315	133
2022-10-18	$18.99	$22.50	30.7%	8.8%	34.8%	13.2%	45.2%	10.0%	-10.8%	5.6K	51.8K	-679	0.37	47.00	15	6	321	133
2022-10-19	$18.81	$22.50	34.0%	9.7%	35.0%	15.3%	44.2%	9.3%	-11.6%	5.1K	66.5K	-588	0.40	47.14	14	6	321	133
2022-10-20	$18.75	$22.50	38.1%	10.9%	33.3%	18.0%	44.5%	4.8%	277.2%	4.9K	73.0K	-553	0.31	49.07	18	6	321	133
2022-10-21	$18.72	$22.50	41.9%	12.0%	31.7%	20.5%	51.3%	4.3%	273.4%	4.7K	94.3K	-515	0.31	54.17	18	6	311	133
2022-10-24	$19.08	$22.50	37.0%	10.6%	31.2%	17.3%	49.0%	8.9%	4.9%	5.7K	69.8K	-683	1.18	59.10	37	44	309	97
2022-10-25	$19.89	$22.50	20.5%	5.9%	34.0%	6.6%	20.4%	4.4%	8.7%	7.1K	31.5K	-987	0.89	50.89	38	34	336	139
2022-10-26	$19.71	$22.50	29.7%	8.5%	33.8%	12.6%	37.2%	8.6%	22.4%	7.1K	30.3K	-993	2.86	14.42	12	35	337	141
2022-10-27	$19.68	$22.50	32.3%	9.3%	31.0%	14.3%	41.7%	10.4%	-6.1%	6.8K	29.2K	-1.0K	2.92	51.60	12	36	338	143
2022-10-28	$19.95	$22.50	30.5%	8.8%	30.9%	13.1%	39.2%	11.8%	-5.9%	8.0K	21.1K	-963	2.92	60.14	12	36	338	146
2022-10-31	$19.80	$22.50	29.0%	8.3%	31.2%	12.1%	33.3%	6.7%	-7.5%	7.7K	40.2K	-842	3.00	45.90	12	36	338	146