OCSL Options History — December 2022

In December 2022, OCSL traded between $19.89 and $21.60. ATM implied volatility averaged 28.5%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.7% (HV 20d: 22.8%). Max pain ranged from $15.00 to $22.08. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.55.

Notable Days

2022-12-02: Highest Volume — 64 contracts
2022-12-05: Largest IV spike — 59.1% change
2022-12-12: Highest IV Rank — 22.6%
2022-12-14: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.74	$19.89	$21.60	$21.60	$20.64
Max Pain	$18.89	$15.00	$22.08	$15.00	$22.08
ATM IV	28.5%	16.1%	45.2%	19.4%	16.6%
Expected Move	6.6%	4.6%	12.2%	5.6%	4.8%
HV 20d	22.8%	21.0%	24.4%	22.3%	23.9%
HV 60d	26.9%	23.1%	28.4%	27.7%	23.1%
IV Rank	11.8%	3.8%	22.6%	5.9%	4.1%
IV Percentile	55.2%	8.7%	87.7%	25.8%	9.9%
Term Structure	-3.8%	-24.5%	30.9%	-9.1%	-5.5%
VWIV	59.8%	11.9%	146.5%	11.9%	146.5%
Skew 25d	64.7%	2.4%	211.0%	211.0%	19.9%
Skew 10d	79.3%	-29.5%	277.6%	257.8%	31.9%
Call IV 25d	39.6%	14.4%	113.7%	86.1%	22.7%
Put IV 25d	104.3%	37.3%	297.1%	297.1%	42.5%
Bid-Ask Spread %	85.07	54.37	124.70	54.37	64.46
Gamma HHI	0.99	0.97	1.00	1.00	0.98
Net GEX	18.1K	0	26.4K	23.1K	26.4K
Net DEX	-53.5K	-208.2K	21.1K	-95.9K	-71.2K
Net VEX	-967	-1.4K	0	-1.2K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	0.00	20.00	0.00	0.42
Total Volume	9.952	0	64	19	11
Total OI	451.143	0	508	444	481

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
2022-12-01	$21.60	$15.00	19.4%	5.6%	22.3%	5.9%	0.0%	211.0%	-9.1%	23.1K	-95.9K	-1.2K	0.00	54.37	19	0	345	99
2022-12-02	$21.48	$15.00	16.5%	4.7%	22.6%	4.0%	11.9%	167.4%	-10.1%	21.2K	-93.8K	-1.2K	0.06	76.91	60	4	356	99
2022-12-05	$21.24	$15.00	26.3%	7.0%	22.6%	10.3%	0.0%	86.6%	-15.6%	14.2K	21.1K	-655	0.67	124.70	1	1	396	103
2022-12-06	$20.88	$15.00	31.2%	4.6%	23.6%	13.5%	0.0%	108.9%	-3.3%	14.6K	-68.2K	-1.1K	0.00	95.35	0	0	397	103
2022-12-07	$20.88	$15.00	32.9%	4.6%	23.4%	14.6%	0.0%	78.7%	-0.2%	15.6K	-8.0K	-796	0.00	78.46	0	0	397	103
2022-12-08	$20.91	$15.00	34.6%	4.7%	21.8%	15.7%	0.0%	80.6%	29.1%	14.9K	-129.8K	-1.3K	0.00	79.92	1	0	397	103
2022-12-09	$21.18	$15.00	33.7%	5.3%	22.0%	15.2%	0.0%	91.6%	-0.2%	17.9K	-29.6K	-832	0.00	80.16	0	0	396	103
2022-12-12	$21.15	$15.00	45.2%	4.9%	22.1%	22.6%	0.0%	90.3%	-3.5%	18.7K	-111.5K	-1.3K	0.00	79.69	1	0	396	103
2022-12-13	$21.39	$15.00	41.2%	5.8%	22.1%	20.0%	78.9%	99.4%	-3.4%	23.4K	-40.6K	-1.0K	20.00	95.22	1	20	396	103
2022-12-14	$20.40	$0.00	42.7%	12.2%	22.5%	21.0%	45.5%	48.5%	-8.4%	0	0	0	2.39	117.21	6	14	0	0
2022-12-15	$20.37	$22.08	39.1%	11.2%	21.0%	18.6%	52.6%	6.9%	-23.7%	19.5K	-24.5K	-1.0K	0.25	96.09	1	0	395	111
2022-12-16	$20.25	$22.08	28.3%	8.1%	21.1%	11.7%	34.5%	2.4%	-24.5%	17.5K	-5.3K	-896	0.50	95.03	7	3	397	111
2022-12-19	$19.89	$22.08	25.7%	7.4%	21.4%	9.9%	48.5%	16.4%	-4.6%	14.1K	12.9K	-737	0.00	75.76	5	0	371	69
2022-12-20	$20.34	$22.08	35.9%	10.3%	23.2%	16.5%	0.0%	32.0%	-4.1%	19.0K	-21.4K	-892	5.00	77.13	1	3	372	65
2022-12-21	$20.16	$22.08	24.2%	6.9%	23.3%	9.0%	0.0%	17.5%	-4.5%	11.1K	-208.2K	-1.4K	0.02	78.75	17	0	372	62
2022-12-22	$20.25	$22.08	19.6%	5.6%	23.4%	6.0%	0.0%	16.3%	-4.5%	18.9K	-23.6K	-898	0.00	91.92	0	0	390	62
2022-12-23	$20.58	$22.08	16.1%	4.6%	24.4%	3.8%	0.0%	17.6%	-4.2%	24.1K	-45.1K	-1.0K	0.00	64.15	0	0	390	62
2022-12-27	$20.61	$22.08	19.6%	5.6%	24.0%	6.0%	0.0%	64.1%	30.9%	21.0K	-144.0K	-1.3K	0.00	82.53	5	0	390	62
2022-12-28	$20.52	$22.08	31.1%	8.9%	23.9%	13.4%	0.0%	79.5%	-5.3%	18.6K	-1.7K	-739	0.11	86.92	3	0	395	62
2022-12-29	$20.76	$22.08	19.3%	5.5%	24.0%	5.8%	0.0%	23.8%	-5.0%	25.7K	-35.6K	-942	0.10	91.84	23	2	398	62
2022-12-30	$20.64	$22.08	16.6%	4.8%	23.9%	4.1%	146.5%	19.9%	-5.5%	26.4K	-71.2K	-1.1K	0.42	64.46	8	3	419	62