OCSL Options History — February 2023

In February 2023, OCSL traded between $19.69 and $20.54. ATM implied volatility averaged 20.9%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.7% (HV 20d: 21.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 2.16.

Notable Days

2023-02-02: Highest Volume — 165 contracts
2023-02-09: Largest IV spike — 33.4% change
2023-02-03: Highest IV Rank — 2.7%
2023-02-07: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.19	$19.69	$20.54	$20.41	$20.27
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	20.9%	17.4%	24.1%	22.1%	19.7%
Expected Move	6.1%	5.0%	7.6%	6.3%	5.6%
HV 20d	21.6%	18.1%	25.3%	21.1%	18.1%
HV 60d	21.3%	20.0%	22.8%	22.7%	20.7%
IV Rank	2.1%	1.4%	2.7%	2.3%	1.8%
IV Percentile	32.1%	16.7%	48.8%	35.3%	26.6%
Term Structure	-3.7%	-9.8%	1.5%	-0.2%	-3.8%
VWIV	20.6%	15.2%	29.3%	22.1%	19.7%
Skew 25d	23.1%	8.0%	59.0%	9.6%	35.3%
Skew 10d	40.7%	5.6%	91.0%	23.6%	74.3%
Call IV 25d	18.3%	15.4%	21.2%	18.2%	19.4%
Put IV 25d	41.4%	24.6%	78.2%	27.8%	54.6%
Bid-Ask Spread %	90.67	56.70	104.10	80.64	95.52
Gamma HHI	0.59	0.33	0.80	0.37	0.73
Net GEX	-23.2K	-62.8K	13.9K	-4.6K	-56.2K
Net DEX	67.6K	-292.8K	373.7K	-94.7K	196.3K
Net VEX	-2.1K	-2.8K	-997	-997	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.16	0.00	7.92	7.92	0.12
Total Volume	57.368	0	165	116	39
Total OI	963.105	563	1,209	563	1,043

Daily Data (19 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
2023-02-01	$20.41	$20.00	22.1%	6.3%	21.1%	2.3%	22.1%	9.6%	-0.2%	-4.6K	-94.7K	-997	7.92	80.64	13	103	312	251
2023-02-02	$20.45	$20.00	23.4%	6.3%	20.7%	2.5%	20.6%	22.4%	-4.7%	-12.2K	-8.8K	-1.5K	0.10	99.18	150	15	320	352
2023-02-03	$20.31	$20.00	24.1%	5.8%	20.8%	2.7%	20.3%	23.2%	-1.6%	2.1K	-126.6K	-1.8K	0.32	90.02	44	14	459	366
2023-02-06	$20.26	$20.00	23.4%	7.1%	20.7%	2.5%	23.7%	10.2%	-5.1%	6.1K	-117.8K	-1.9K	7.50	98.94	4	30	484	380
2023-02-07	$20.41	$20.00	18.2%	7.6%	20.9%	1.6%	24.8%	8.0%	-9.8%	9.6K	-259.8K	-1.4K	0.10	95.32	70	7	485	413
2023-02-08	$19.96	$20.00	17.4%	5.0%	22.1%	1.4%	15.2%	15.6%	-1.4%	13.9K	9.4K	-2.0K	6.73	87.45	11	74	551	420
2023-02-09	$19.69	$20.00	23.3%	6.7%	22.1%	2.5%	29.3%	21.0%	1.5%	-10.2K	334.6K	-1.9K	3.60	100.61	20	72	503	508
2023-02-10	$19.95	$20.00	19.5%	5.6%	22.9%	1.8%	19.4%	18.1%	-1.9%	-23.6K	203.5K	-2.3K	0.00	84.09	30	0	562	560
2023-02-13	$20.14	$20.00	20.6%	5.9%	23.4%	2.0%	16.5%	18.1%	-3.7%	-19.0K	16.7K	-2.3K	0.00	77.93	22	0	566	559
2023-02-14	$20.19	$20.00	20.9%	6.0%	23.4%	2.1%	0.0%	34.2%	-4.0%	-26.4K	-6.8K	-2.2K	0.00	100.81	0	0	591	560
2023-02-15	$20.12	$20.00	20.3%	5.8%	23.4%	1.9%	20.3%	16.6%	-2.8%	-12.6K	-351	-2.3K	0.33	56.70	3	1	591	560
2023-02-16	$20.23	$20.00	23.6%	6.8%	23.5%	2.6%	22.1%	15.4%	-1.1%	-14.9K	-97.9K	-2.1K	5.40	93.41	10	54	588	561
2023-02-17	$20.54	$20.00	19.9%	5.7%	24.2%	1.9%	19.0%	13.0%	-8.6%	-51.4K	-292.8K	-2.0K	3.40	97.80	5	17	585	624
2023-02-21	$20.05	$20.00	22.1%	6.3%	25.3%	2.3%	22.2%	35.8%	-7.0%	-40.4K	349.4K	-2.2K	0.31	104.10	62	19	297	477
2023-02-22	$20.07	$20.00	20.9%	6.0%	20.6%	2.1%	20.9%	59.0%	-2.7%	-49.9K	373.7K	-2.2K	0.05	102.26	77	4	349	502
2023-02-23	$20.21	$20.00	21.1%	6.0%	19.3%	2.1%	21.1%	21.8%	-5.2%	-45.0K	293.0K	-2.4K	0.59	70.79	29	17	424	506
2023-02-24	$20.10	$20.00	17.8%	5.1%	18.9%	1.5%	17.7%	34.9%	0.4%	-62.8K	328.5K	-2.5K	0.18	98.94	39	7	452	521
2023-02-27	$20.30	$20.00	18.9%	5.4%	19.0%	1.7%	16.1%	26.0%	-9.6%	-43.6K	184.4K	-2.8K	0.12	88.30	25	3	490	527
2023-02-28	$20.27	$20.00	19.7%	5.6%	18.1%	1.8%	19.7%	35.3%	-3.8%	-56.2K	196.3K	-2.5K	0.00	95.52	0	39	515	528