OCSL Options History — June 2023

In June 2023, OCSL traded between $18.69 and $19.99. ATM implied volatility averaged 17.5%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.0% (HV 20d: 16.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2023-06-05: Highest Volume — 274 contracts
2023-06-07: Largest IV spike — 74.2% change
2023-06-02: Highest IV Rank — 6.6%
2023-06-02: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.26	$18.69	$19.99	$18.73	$19.48
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	17.5%	8.8%	45.2%	41.9%	11.1%
Expected Move	4.5%	2.5%	13.0%	12.0%	3.2%
HV 20d	16.5%	12.8%	20.1%	16.2%	20.1%
HV 60d	19.6%	18.2%	22.8%	22.8%	18.2%
IV Rank	1.5%	0.0%	6.6%	5.9%	0.4%
IV Percentile	17.4%	0.0%	88.5%	84.5%	3.2%
Term Structure	-0.1%	-39.5%	9.9%	-36.5%	3.1%
VWIV	15.5%	7.1%	41.3%	21.7%	9.3%
Skew 25d	23.9%	-77.9%	138.0%	5.4%	2.6%
Skew 10d	38.3%	-20.1%	196.2%	5.4%	1.6%
Call IV 25d	23.7%	8.5%	122.9%	16.3%	13.4%
Put IV 25d	47.6%	12.0%	170.2%	21.7%	16.0%
Bid-Ask Spread %	48.39	9.41	101.76	29.80	71.05
Gamma HHI	0.69	0.43	0.93	0.43	0.77
Net GEX	135.2K	27.9K	467.2K	27.9K	168.1K
Net DEX	-690.9K	-1.4M	-256.9K	-257.9K	-962.4K
Net VEX	-5.6K	-6.7K	-4.4K	-4.8K	-6.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.00	2.00	1.50	0.27
Total Volume	67.095	6	274	20	75
Total OI	2,929.286	2,526	3,272	2,526	2,912

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
2023-06-01	$18.73	$20.00	41.9%	12.0%	16.2%	5.9%	21.7%	5.4%	-36.5%	27.9K	-257.9K	-4.8K	1.50	29.80	8	12	1,719	807
2023-06-02	$18.73	$20.00	45.2%	13.0%	12.8%	6.6%	22.2%	-77.9%	-39.5%	30.8K	-256.9K	-4.4K	0.89	30.94	9	8	1,726	813
2023-06-05	$19.05	$20.00	19.4%	4.5%	13.9%	1.8%	20.9%	13.0%	8.2%	38.5K	-453.0K	-4.6K	0.11	101.76	247	27	1,733	815
2023-06-06	$19.44	$20.00	17.2%	3.3%	13.9%	1.4%	13.5%	138.0%	1.9%	74.3K	-620.1K	-5.0K	0.16	92.60	182	30	1,941	832
2023-06-07	$19.63	$20.00	30.0%	3.2%	14.0%	3.7%	12.2%	89.0%	6.3%	124.6K	-937.3K	-5.8K	0.60	66.74	58	35	2,110	835
2023-06-08	$19.73	$20.00	15.3%	3.1%	13.9%	1.0%	11.5%	27.9%	5.2%	145.4K	-842.1K	-4.4K	0.00	52.78	41	0	2,329	839
2023-06-09	$19.70	$20.00	15.6%	3.4%	12.9%	1.1%	12.9%	101.5%	5.4%	179.9K	-928.8K	-5.0K	0.14	18.73	28	4	2,377	839
2023-06-12	$19.91	$20.00	16.7%	5.7%	13.0%	1.3%	16.0%	91.0%	-0.1%	324.1K	-1.2M	-5.4K	0.48	47.90	33	16	2,401	842
2023-06-13	$19.99	$20.00	16.4%	3.2%	13.0%	1.2%	11.6%	84.7%	5.1%	467.2K	-1.4M	-5.0K	0.56	53.12	45	25	2,433	839
2023-06-14	$19.31	$20.00	10.2%	2.9%	18.3%	0.1%	10.8%	1.8%	3.0%	146.1K	-592.0K	-6.2K	0.30	94.07	46	14	2,267	865
2023-06-15	$19.27	$20.00	11.0%	3.1%	18.1%	0.2%	13.2%	-1.0%	2.4%	123.9K	-606.3K	-5.6K	0.35	15.90	89	31	2,304	793
2023-06-16	$19.30	$20.00	11.7%	3.4%	17.7%	0.4%	11.3%	2.5%	0.7%	151.4K	-774.1K	-5.8K	0.02	34.23	45	1	2,395	814
2023-06-20	$19.18	$20.00	12.1%	3.5%	17.9%	0.4%	13.6%	-3.4%	2.4%	123.9K	-718.4K	-6.4K	0.00	28.17	107	0	2,145	645
2023-06-21	$19.18	$20.00	13.7%	3.9%	17.9%	0.7%	12.9%	-0.8%	-0.0%	126.7K	-777.7K	-6.7K	1.88	24.38	16	30	2,234	645
2023-06-22	$18.98	$20.00	10.0%	2.9%	18.4%	0.0%	0.0%	2.4%	9.9%	78.1K	-391.0K	-6.4K	2.00	83.04	2	4	2,240	673
2023-06-23	$18.69	$20.00	17.2%	4.9%	18.7%	1.4%	41.3%	4.6%	-4.0%	75.1K	-402.4K	-6.0K	1.67	25.45	3	5	2,242	634
2023-06-26	$18.74	$20.00	14.4%	4.1%	18.7%	0.8%	0.0%	2.3%	5.7%	66.9K	-422.3K	-6.1K	0.00	15.65	6	0	2,241	623
2023-06-27	$18.82	$20.00	11.8%	3.4%	18.5%	0.4%	0.0%	0.5%	4.2%	67.0K	-401.6K	-4.6K	1.00	9.41	3	3	2,241	623
2023-06-28	$19.13	$20.00	18.4%	5.3%	19.3%	1.6%	17.1%	9.2%	5.8%	131.5K	-670.3K	-5.8K	0.00	98.44	73	0	2,244	626
2023-06-29	$19.46	$20.00	8.8%	2.5%	20.1%	0.0%	7.1%	7.9%	9.2%	168.2K	-909.4K	-6.3K	0.09	21.95	44	4	2,253	626
2023-06-30	$19.48	$20.00	11.1%	3.2%	20.1%	0.4%	9.3%	2.6%	3.1%	168.1K	-962.4K	-6.5K	0.27	71.05	59	16	2,286	626