OCSL Options History — November 2022

In November 2022, OCSL traded between $19.77 and $21.48. ATM implied volatility averaged 24.6%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.4% (HV 20d: 23.2%). 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 4 of 21 days. Put/call ratio averaged 1.32.

Notable Days

2022-11-04: Highest Volume — 140 contracts
2022-11-16: Largest IV drop — 36.2% change
2022-11-08: Highest IV Rank — 19.2%
2022-11-03: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.70	$19.77	$21.48	$19.95	$21.48
Max Pain	$17.86	$15.00	$22.50	$22.50	$15.00
ATM IV	24.6%	13.0%	40.1%	33.9%	15.6%
Expected Move	6.6%	3.7%	12.7%	9.7%	4.5%
HV 20d	23.2%	20.2%	26.8%	24.1%	22.5%
HV 60d	27.2%	26.0%	28.4%	26.1%	27.8%
IV Rank	9.3%	1.8%	19.2%	15.2%	3.4%
IV Percentile	45.4%	2.0%	84.1%	79.8%	7.9%
Term Structure	-4.5%	-9.2%	11.3%	-7.7%	-9.0%
VWIV	37.9%	10.1%	93.9%	43.3%	93.9%
Skew 25d	118.9%	8.7%	240.0%	12.9%	128.2%
Skew 10d	163.4%	19.7%	281.4%	22.1%	217.2%
Call IV 25d	51.4%	26.1%	87.7%	34.6%	87.7%
Put IV 25d	170.3%	46.4%	313.0%	47.5%	215.9%
Bid-Ask Spread %	75.80	49.54	116.38	50.15	69.70
Gamma HHI	0.99	0.92	1.00	0.94	1.00
Net GEX	14.4K	7.8K	21.8K	8.1K	21.3K
Net DEX	-22.1K	-124.2K	74.5K	22.5K	-82.3K
Net VEX	-890	-1.2K	-460	-918	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.00	5.00	2.25	0.00
Total Volume	41.238	2	140	39	2
Total OI	472.667	389	526	484	442

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
2022-11-01	$19.95	$22.50	33.9%	9.7%	24.1%	15.2%	43.3%	12.9%	-7.7%	8.1K	22.5K	-918	2.25	50.15	12	27	338	146
2022-11-02	$19.86	$22.50	31.2%	8.9%	23.0%	13.5%	44.5%	8.7%	-8.5%	8.2K	39.6K	-846	1.59	49.54	11	17	338	146
2022-11-03	$19.89	$15.00	35.6%	12.7%	22.2%	16.4%	72.7%	152.9%	-6.8%	8.1K	14.9K	-935	1.59	116.38	11	17	338	147
2022-11-04	$20.25	$15.00	34.4%	6.9%	21.9%	15.6%	74.3%	90.5%	2.1%	12.7K	41.5K	-841	0.64	96.53	85	55	338	147
2022-11-07	$20.34	$15.00	36.6%	5.8%	20.2%	17.0%	25.2%	94.2%	11.3%	10.3K	20.8K	-788	0.25	74.13	68	17	365	130
2022-11-08	$20.19	$15.00	40.1%	6.7%	20.6%	19.2%	30.7%	98.8%	-4.4%	10.9K	43.9K	-654	0.52	87.09	33	17	365	130
2022-11-09	$19.77	$15.00	26.3%	7.6%	22.5%	10.4%	33.4%	98.1%	-8.2%	7.8K	74.5K	-460	0.25	87.71	36	9	367	130
2022-11-10	$19.92	$15.00	25.9%	7.4%	21.4%	10.1%	32.8%	32.6%	-5.1%	9.4K	49.7K	-624	0.26	87.84	24	6	367	129
2022-11-11	$19.98	$15.00	24.7%	7.1%	21.4%	9.3%	30.4%	99.1%	-5.2%	10.6K	27.5K	-717	4.73	70.79	10	47	379	129
2022-11-14	$19.92	$15.00	27.3%	7.8%	21.2%	11.0%	35.3%	103.2%	-6.1%	9.3K	39.7K	-597	1.92	92.60	20	39	379	127
2022-11-15	$20.91	$15.00	25.8%	7.4%	26.8%	10.0%	36.3%	121.5%	-7.0%	15.6K	-124.2K	-1.2K	1.11	70.86	20	23	393	129
2022-11-16	$21.33	$22.50	16.5%	4.7%	26.7%	4.0%	18.7%	110.5%	3.6%	21.8K	-74.3K	-985	0.60	70.11	12	7	392	129
2022-11-17	$21.24	$22.50	20.3%	5.8%	26.8%	6.5%	24.8%	108.3%	2.9%	16.0K	-37.4K	-878	0.70	74.99	11	8	393	130
2022-11-18	$21.42	$22.50	15.1%	4.3%	26.6%	3.1%	15.0%	142.7%	-2.3%	19.7K	-47.2K	-975	0.95	76.95	43	41	395	131
2022-11-21	$21.45	$22.50	18.8%	5.4%	26.3%	5.5%	21.7%	164.7%	-5.9%	18.6K	-73.0K	-985	1.82	71.09	11	21	296	93
2022-11-22	$21.48	$22.50	13.0%	3.7%	22.6%	1.8%	10.1%	115.9%	-6.1%	18.5K	-71.7K	-994	2.48	69.53	8	21	301	93
2022-11-23	$21.45	$22.50	16.7%	4.8%	22.2%	4.1%	93.9%	179.8%	-6.4%	18.9K	-74.3K	-992	0.90	69.12	23	21	304	93
2022-11-25	$21.45	$15.00	17.3%	5.0%	22.2%	4.6%	0.0%	240.0%	-7.0%	20.3K	-89.3K	-1.1K	0.00	72.48	9	0	324	93
2022-11-28	$21.15	$15.00	21.1%	6.1%	22.8%	7.0%	0.0%	191.9%	-9.1%	17.4K	-81.8K	-1.1K	0.19	67.66	17	3	328	93
2022-11-29	$21.27	$15.00	20.8%	6.0%	22.5%	6.8%	0.0%	202.0%	-9.2%	18.3K	-82.9K	-1.1K	5.00	66.64	1	3	343	96
2022-11-30	$21.48	$15.00	15.6%	4.5%	22.5%	3.4%	0.0%	128.2%	-9.0%	21.3K	-82.3K	-1.1K	0.00	69.70	2	0	343	99