OCSL Options History — January 2023

In January 2023, OCSL traded between $19.89 and $21.36. ATM implied volatility averaged 45.5%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 26.1% (HV 20d: 19.4%). Max pain ranged from $7.36 to $22.08. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2023-01-24: Highest Volume — 149 contracts
2023-01-23: Largest IV spike — 4100.5% change
2023-01-23: Highest IV Rank — 100.0%
2023-01-23: Largest Expected Move — 157.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.86	$19.89	$21.36	$20.91	$20.02
Max Pain	$20.10	$7.36	$22.08	$22.08	$20.00
ATM IV	45.5%	9.8%	549.4%	15.7%	20.6%
Expected Move	12.5%	2.8%	157.5%	4.5%	5.9%
HV 20d	19.4%	10.6%	24.5%	24.4%	20.4%
HV 60d	22.1%	20.0%	23.0%	23.0%	22.4%
IV Rank	8.8%	0.0%	100.0%	3.5%	2.0%
IV Percentile	28.3%	0.0%	100.0%	7.1%	29.4%
Term Structure	2.9%	-35.9%	37.9%	-5.9%	-0.3%
VWIV	26.9%	7.7%	67.4%	67.4%	20.6%
Skew 25d	81.0%	-4.2%	202.6%	194.6%	3.3%
Skew 10d	100.0%	3.7%	269.7%	269.7%	6.0%
Call IV 25d	25.6%	8.9%	51.3%	42.3%	20.8%
Put IV 25d	106.6%	19.5%	241.8%	236.9%	24.0%
Bid-Ask Spread %	79.92	11.69	139.86	82.54	67.86
Gamma HHI	0.89	0.36	1.00	0.98	0.36
Net GEX	23.1K	-19.4K	53.8K	32.5K	-4.6K
Net DEX	-250.8K	-2.7M	78.9K	-101.5K	-28.1K
Net VEX	-999	-1.5K	0	-1.2K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.00	8.00	0.00	1.38
Total Volume	37.45	1	149	34	19
Total OI	503.7	0	1,518	483	543

Daily Data (20 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
2023-01-03	$20.91	$22.08	15.7%	4.5%	24.4%	3.5%	67.4%	194.6%	-5.9%	32.5K	-101.5K	-1.2K	0.00	82.54	34	0	421	62
2023-01-04	$21.12	$14.58	15.3%	4.4%	24.5%	3.3%	20.9%	202.6%	-5.6%	38.9K	-192.2K	-1.3K	0.15	83.81	4	1	453	62
2023-01-05	$21.15	$22.08	16.0%	4.0%	23.6%	3.7%	0.0%	121.9%	11.8%	38.9K	-228.4K	-1.4K	0.00	76.55	1	0	457	61
2023-01-06	$21.24	$22.08	24.3%	3.7%	23.7%	9.1%	0.0%	124.3%	12.6%	42.4K	-236.6K	-1.4K	0.00	58.68	7	0	457	61
2023-01-09	$21.27	$22.08	16.7%	3.4%	23.7%	4.2%	0.0%	127.0%	12.2%	45.0K	-228.1K	-1.3K	0.00	53.50	35	0	459	61
2023-01-10	$21.24	$22.08	31.4%	3.9%	23.3%	13.6%	0.0%	130.2%	10.3%	42.4K	-225.3K	-1.3K	0.00	83.07	10	0	450	61
2023-01-11	$21.36	$22.08	36.5%	10.5%	23.3%	17.0%	21.1%	25.4%	-35.9%	38.2K	-309.1K	-1.5K	0.06	88.19	10	1	459	61
2023-01-12	$21.36	$22.08	9.8%	2.8%	23.0%	0.0%	12.6%	127.5%	7.5%	53.8K	-206.9K	-1.3K	2.00	92.55	1	2	469	62
2023-01-13	$21.36	$22.08	14.5%	4.1%	14.7%	3.0%	0.0%	104.3%	5.8%	43.1K	-286.9K	-1.5K	0.00	85.71	1	0	472	64
2023-01-17	$21.24	$22.08	9.8%	2.8%	14.9%	0.0%	7.7%	87.4%	0.5%	46.0K	-139.8K	-1.1K	0.31	42.51	5	2	471	64
2023-01-18	$21.09	$22.08	11.2%	3.2%	15.0%	0.9%	12.8%	68.3%	5.8%	37.1K	-127.3K	-994	8.00	11.69	1	11	477	65
2023-01-19	$20.97	$22.08	12.5%	3.6%	13.4%	1.8%	0.0%	138.1%	37.9%	31.0K	-103.1K	-1.0K	0.00	63.90	2	0	477	75
2023-01-20	$21.03	$22.08	13.1%	3.8%	11.2%	2.1%	0.0%	60.2%	8.3%	33.8K	-116.1K	-1.1K	0.00	40.05	25	0	479	75
2023-01-23	$21.19	$0.00	549.4%	157.5%	10.6%	100.0%	0.0%	0.0%	0.0%	0	0	0	0.00	137.76	1	0	0	0
2023-01-24	$20.32	$7.36	31.2%	8.9%	19.0%	4.0%	21.8%	-4.2%	-22.7%	324	-2.7M	-19	1.13	139.86	70	79	1,311	207
2023-01-25	$19.89	$15.00	23.0%	6.6%	19.4%	2.5%	23.0%	3.4%	10.7%	-4.1K	-13.5K	-438	1.08	109.02	63	68	50	84
2023-01-26	$20.12	$20.00	20.1%	5.8%	20.0%	1.9%	62.0%	11.0%	0.4%	-15.4K	55.7K	-669	0.86	89.12	59	51	124	163
2023-01-27	$20.30	$20.00	19.3%	5.5%	20.3%	1.8%	32.3%	7.4%	1.0%	-19.4K	46.6K	-748	0.04	93.41	55	2	138	213
2023-01-30	$19.98	$20.00	20.2%	5.8%	20.4%	1.9%	20.2%	5.5%	1.8%	-17.9K	78.9K	-829	0.15	98.63	112	17	192	214
2023-01-31	$20.02	$20.00	20.6%	5.9%	20.4%	2.0%	20.6%	3.3%	-0.3%	-4.6K	-28.1K	-1.0K	1.38	67.86	8	11	304	239