OCSL Options History — August 2023

In August 2023, OCSL traded between $19.27 and $20.48. ATM implied volatility averaged 18.5%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.0% (HV 20d: 13.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.40.

Notable Days

  • 2023-08-03: Highest Volume — 382 contracts
  • 2023-08-23: Largest IV spike — 40.8% change
  • 2023-08-24: Highest IV Rank — 2.6%
  • 2023-08-04: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.88$19.27$20.48$20.48$20.04
Max Pain$19.78$17.50$20.00$20.00$20.00
ATM IV18.5%11.8%21.4%20.5%18.6%
Expected Move5.5%3.4%8.7%5.9%5.3%
HV 20d13.5%11.0%14.6%11.0%12.4%
HV 60d15.1%14.7%15.5%14.9%14.7%
IV Rank2.1%0.9%2.6%2.5%2.1%
IV Percentile30.1%5.2%46.8%40.1%30.6%
Term Structure0.3%-11.6%62.6%0.5%3.5%
VWIV20.2%11.9%37.2%20.5%18.6%
Skew 25d39.7%-62.1%142.4%3.9%42.3%
Skew 10d63.3%-42.3%190.5%7.1%62.9%
Call IV 25d31.7%16.1%180.2%16.7%19.9%
Put IV 25d71.4%20.6%161.4%20.6%62.2%
Bid-Ask Spread %68.4321.23110.4174.2323.83
Gamma HHI0.770.550.890.660.89
Net GEX319.2K79.0K475.1K336.7K475.1K
Net DEX-1.8M-3.6M-439.7K-3.6M-2.0M
Net VEX-8.2K-11.0K-4.9K-10.0K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.0031.360.260.02
Total Volume116.217638263340
Total OI4,691.7393,1915,5595,0283,912

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$20.48$20.0020.5%5.9%11.0%2.5%20.5%3.9%0.5%336.7K-3.6M-10.0K0.2674.2350134,367661
2023-08-02$20.45$20.0020.7%5.9%11.0%2.5%20.7%3.6%1.8%342.0K-3.6M-10.2K0.1272.276584,370670
2023-08-03$20.02$20.0016.9%5.7%13.5%1.8%19.7%42.7%-2.7%404.9K-2.5M-9.3K13.1586.96273554,420678
2023-08-04$20.13$17.5020.1%8.7%13.1%2.4%25.2%21.4%-11.6%302.3K-3.0M-9.6K0.0331.306524,439991
2023-08-07$20.30$17.5018.2%5.9%13.3%2.0%21.7%39.6%-4.2%343.1K-3.1M-10.4K0.3685.3333124,482993
2023-08-08$20.29$20.0018.3%6.1%13.3%2.1%19.3%24.1%-5.5%351.3K-3.2M-11.0K1.4044.8110144,504995
2023-08-09$20.07$20.0020.2%5.8%14.1%2.4%20.2%30.8%-4.0%447.6K-2.5M-9.7K4.0094.903124,514998
2023-08-10$20.02$20.0020.0%5.7%14.0%2.4%0.0%26.4%-4.7%423.1K-2.5M-9.5K0.9228.0113124,5151,003
2023-08-11$19.95$20.0020.4%5.9%14.1%2.5%20.4%52.0%-0.7%452.7K-2.1M-9.1K0.0587.304124,5221,013
2023-08-14$19.95$20.0020.6%5.9%13.3%2.5%20.6%24.3%-3.9%455.7K-2.1M-8.4K0.3630.6644164,5191,013
2023-08-15$19.73$20.0019.6%5.6%13.5%2.3%37.2%-16.1%-3.0%331.2K-960.9K-7.6K0.7821.23974,5281,029
2023-08-16$19.70$20.0019.1%5.5%13.4%2.2%19.1%26.6%-2.1%380.0K-622.7K-7.8K0.4446.0771314,5251,029
2023-08-17$19.49$20.0018.7%5.4%13.8%2.1%18.6%22.0%62.6%257.2K-1.0M-7.6K31.3662.78113454,5291,030
2023-08-18$19.59$20.0017.7%5.1%13.9%1.9%17.9%64.9%1.1%166.0K-753.6K-6.5K0.67110.4158394,524755
2023-08-21$19.63$20.0018.4%5.3%13.5%2.1%18.5%71.4%-3.6%176.6K-929.3K-6.3K0.0190.7434952,751440
2023-08-22$19.27$20.0011.8%3.4%14.6%0.9%11.9%31.2%3.6%104.1K-439.7K-4.9K0.63106.9316103,048445
2023-08-23$19.46$20.0016.6%4.8%13.8%1.7%0.0%-62.1%0.1%79.0K-571.2K-5.7K0.1397.3076103,053452
2023-08-24$19.48$20.0021.4%6.1%13.6%2.6%20.6%89.9%-8.4%189.2K-1.0M-7.8K0.0096.87603,102461
2023-08-25$19.59$20.0017.2%4.9%13.6%1.9%0.0%67.2%-2.7%219.1K-1.0M-7.2K0.0094.876103,108461
2023-08-28$19.79$20.0014.2%4.1%14.2%1.3%16.5%86.4%-2.1%297.8K-1.2M-6.5K0.00100.4119703,069461
2023-08-29$19.88$20.0017.7%5.1%14.2%1.9%17.8%142.4%-5.1%386.1K-1.4M-7.3K0.3447.7398333,243461
2023-08-30$20.02$20.0018.3%5.2%14.5%2.1%18.3%78.5%-1.2%419.8K-1.9M-8.0K0.2538.8883213,337490
2023-08-31$20.04$20.0018.6%5.3%12.4%2.1%18.6%42.3%3.5%475.1K-2.0M-7.5K0.0223.8333283,411501