OCSL Options History — July 2023

In July 2023, OCSL traded between $19.43 and $20.45. ATM implied volatility averaged 16.1%, placing in the 1.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.5% (HV 20d: 14.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.53.

Notable Days

2023-07-31: Highest Volume — 573 contracts
2023-07-07: Largest IV spike — 272.1% change
2023-07-07: Highest IV Rank — 4.2%
2023-07-26: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.97	$19.43	$20.45	$19.59	$20.37
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	16.1%	7.1%	30.9%	15.7%	18.8%
Expected Move	4.8%	3.2%	5.6%	4.5%	5.4%
HV 20d	14.7%	10.4%	20.1%	20.1%	11.0%
HV 60d	16.9%	16.0%	18.1%	18.1%	16.0%
IV Rank	1.6%	0.0%	4.2%	1.3%	2.2%
IV Percentile	19.6%	0.0%	67.1%	11.9%	31.7%
Term Structure	3.0%	-2.2%	29.0%	0.6%	2.6%
VWIV	16.8%	12.9%	19.4%	12.9%	18.9%
Skew 25d	8.1%	2.3%	12.9%	2.3%	2.8%
Skew 10d	10.9%	-43.4%	22.3%	-1.1%	5.4%
Call IV 25d	14.9%	13.7%	16.6%	14.6%	16.6%
Put IV 25d	22.9%	16.8%	26.9%	16.8%	19.5%
Bid-Ask Spread %	82.43	68.35	112.72	112.72	71.64
Gamma HHI	0.77	0.59	0.85	0.77	0.73
Net GEX	237.4K	150.3K	366.9K	174.8K	221.6K
Net DEX	-1.9M	-3.0M	-827.5K	-1.1M	-3.0M
Net VEX	-6.4K	-9.2K	-3.4K	-6.6K	-5.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.00	4.25	0.00	0.04
Total Volume	150.8	17	573	133	573
Total OI	3,634.85	2,980	4,459	2,980	4,457

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
2023-07-03	$19.59	$20.00	15.7%	4.5%	20.1%	1.3%	0.0%	2.3%	0.6%	174.8K	-1.1M	-6.6K	0.00	112.72	133	0	2,349	631
2023-07-05	$19.56	$20.00	11.2%	3.2%	19.4%	0.4%	12.9%	12.9%	2.5%	192.7K	-1.1M	-6.2K	0.04	103.07	53	2	2,482	631
2023-07-06	$19.43	$20.00	8.3%	4.9%	18.2%	0.0%	17.0%	5.9%	-0.4%	150.3K	-827.5K	-6.0K	0.18	77.63	57	10	2,534	633
2023-07-07	$19.64	$20.00	30.9%	4.6%	18.3%	4.2%	16.1%	8.1%	0.7%	164.9K	-1.3M	-6.8K	0.04	82.73	27	1	2,582	635
2023-07-10	$19.63	$20.00	8.5%	4.5%	18.2%	0.0%	15.6%	8.2%	3.1%	221.6K	-1.1M	-6.6K	0.22	75.16	27	6	2,603	634
2023-07-11	$19.68	$20.00	7.1%	4.3%	18.2%	0.0%	0.0%	8.8%	2.5%	248.1K	-1.1M	-6.2K	0.00	81.13	19	0	2,628	635
2023-07-12	$19.71	$20.00	14.2%	4.1%	17.8%	1.3%	14.3%	9.1%	0.3%	274.5K	-1.3M	-6.7K	0.33	79.43	15	5	2,644	635
2023-07-13	$19.80	$20.00	16.8%	4.8%	17.8%	1.8%	16.8%	8.9%	-1.1%	185.2K	-1.4M	-6.5K	0.82	89.61	11	9	2,657	633
2023-07-14	$19.79	$20.00	14.9%	4.3%	12.5%	1.4%	14.9%	9.4%	0.5%	254.3K	-1.4M	-6.0K	0.02	86.91	53	1	2,658	641
2023-07-17	$20.05	$20.00	17.8%	5.1%	13.1%	2.0%	17.8%	10.3%	-2.2%	366.9K	-1.8M	-6.2K	0.02	81.37	129	3	2,709	642
2023-07-18	$20.21	$20.00	16.9%	4.9%	13.2%	1.8%	16.9%	9.6%	3.6%	310.2K	-2.2M	-6.3K	0.10	88.65	302	29	2,814	645
2023-07-19	$20.21	$20.00	16.8%	4.8%	12.9%	1.8%	16.8%	9.1%	0.3%	213.5K	-2.4M	-3.4K	0.00	90.60	296	1	2,880	636
2023-07-20	$20.09	$20.00	17.6%	5.0%	13.2%	1.9%	17.6%	10.1%	29.0%	201.1K	-2.3M	-3.5K	0.09	84.93	284	25	2,888	637
2023-07-21	$20.11	$20.00	17.1%	4.9%	12.3%	1.8%	17.1%	10.2%	2.1%	248.3K	-2.1M	-7.2K	0.03	76.85	548	19	3,169	662
2023-07-24	$20.29	$20.00	17.3%	5.0%	10.4%	1.9%	17.8%	9.3%	2.4%	203.9K	-2.7M	-4.4K	0.28	74.09	89	25	3,422	590
2023-07-25	$20.13	$20.00	16.4%	4.7%	11.3%	1.7%	16.5%	10.1%	7.1%	294.5K	-2.3M	-7.6K	1.03	81.52	59	61	3,766	597
2023-07-26	$20.45	$20.00	19.4%	5.6%	12.1%	2.3%	19.4%	8.7%	1.6%	267.7K	-2.8M	-9.1K	2.31	72.61	13	30	3,785	650
2023-07-27	$20.26	$20.00	18.4%	5.3%	12.1%	2.1%	18.5%	4.0%	2.8%	276.9K	-2.5M	-9.0K	4.25	68.35	16	68	3,799	645
2023-07-28	$20.38	$20.00	18.2%	5.2%	10.9%	2.1%	18.2%	3.3%	2.9%	276.2K	-2.8M	-9.2K	0.70	69.51	10	7	3,817	642
2023-07-31	$20.37	$20.00	18.8%	5.4%	11.0%	2.2%	18.9%	2.8%	2.6%	221.6K	-3.0M	-5.2K	0.04	71.64	550	23	3,818	639