OCSL Options History — September 2023

In September 2023, OCSL traded between $19.80 and $20.59. ATM implied volatility averaged 17.4%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.0% (HV 20d: 16.4%). 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 19 of 20 days. Put/call ratio averaged 1.51.

Notable Days

2023-09-13: Highest Volume — 786 contracts
2023-09-11: Largest IV spike — 153.0% change
2023-09-11: Highest IV Rank — 5.3%
2023-09-01: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.13	$19.80	$20.59	$20.20	$20.14
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	17.4%	12.4%	35.7%	21.4%	16.3%
Expected Move	4.1%	3.0%	6.1%	6.1%	4.7%
HV 20d	16.4%	12.5%	19.0%	12.5%	19.0%
HV 60d	14.7%	13.3%	15.4%	14.7%	15.0%
IV Rank	1.9%	1.0%	5.3%	2.6%	1.7%
IV Percentile	23.4%	6.7%	82.1%	48.8%	19.8%
Term Structure	2.2%	-8.8%	6.7%	-8.8%	2.4%
VWIV	14.6%	8.2%	21.4%	21.4%	16.3%
Skew 25d	25.6%	1.6%	122.1%	109.2%	3.1%
Skew 10d	55.6%	2.6%	202.2%	195.9%	6.2%
Call IV 25d	25.4%	10.9%	159.8%	21.1%	15.7%
Put IV 25d	51.0%	14.8%	220.8%	130.3%	18.9%
Bid-Ask Spread %	69.16	11.94	102.77	89.95	95.53
Gamma HHI	0.68	0.46	0.89	0.80	0.56
Net GEX	231.2K	12.2K	763.9K	479.1K	103.1K
Net DEX	-1.9M	-4.3M	-736.0K	-2.6M	-1.4M
Net VEX	-10.5K	-12.6K	-7.2K	-9.5K	-11.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.00	7.36	0.21	0.67
Total Volume	112.95	5	786	23	5
Total OI	4,148.9	3,732	4,469	4,238	4,216

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
2023-09-01	$20.20	$20.00	21.4%	6.1%	12.5%	2.6%	21.4%	109.2%	-8.8%	479.1K	-2.6M	-9.5K	0.21	89.95	19	4	3,734	504
2023-09-05	$19.98	$20.00	16.7%	3.5%	12.7%	1.8%	0.0%	76.7%	3.2%	633.8K	-1.9M	-9.0K	6.33	46.99	3	19	3,733	506
2023-09-06	$19.82	$20.00	23.5%	3.7%	13.0%	3.0%	12.7%	36.3%	2.4%	383.7K	-1.4M	-8.7K	4.00	63.96	3	12	3,734	513
2023-09-07	$20.05	$20.00	16.6%	3.9%	13.2%	1.8%	13.8%	122.1%	1.5%	763.9K	-2.5M	-9.3K	0.00	93.18	68	0	3,737	524
2023-09-08	$20.23	$20.00	14.1%	3.2%	13.5%	1.3%	11.1%	81.7%	6.7%	651.4K	-2.9M	-10.1K	0.00	93.00	34	0	3,802	524
2023-09-11	$20.43	$20.00	35.7%	3.0%	13.8%	5.3%	8.2%	4.4%	6.4%	249.2K	-4.1M	-8.7K	0.04	37.54	340	14	3,828	524
2023-09-12	$20.46	$20.00	23.6%	3.1%	13.8%	3.0%	10.3%	5.4%	0.9%	278.7K	-4.0M	-7.2K	0.46	56.56	82	38	3,932	514
2023-09-13	$20.59	$20.00	12.4%	3.6%	13.1%	1.0%	14.3%	39.0%	4.3%	244.9K	-4.3M	-8.6K	7.36	38.91	94	692	3,982	487
2023-09-14	$19.88	$20.00	14.3%	4.1%	18.6%	1.3%	14.3%	4.2%	2.0%	12.2K	-736.0K	-11.4K	5.13	51.63	16	82	2,617	1,115
2023-09-15	$20.13	$20.00	14.0%	4.0%	18.6%	1.3%	14.1%	3.7%	3.0%	28.7K	-1.0M	-11.5K	0.15	13.79	162	24	2,631	1,119
2023-09-18	$20.32	$20.00	15.3%	4.4%	18.8%	1.5%	15.3%	3.7%	1.9%	88.4K	-1.4M	-10.9K	0.20	11.94	139	28	2,788	1,082
2023-09-19	$20.29	$20.00	15.1%	4.3%	18.8%	1.5%	15.1%	3.3%	2.7%	93.3K	-1.5M	-11.2K	1.20	91.31	20	24	2,926	1,095
2023-09-20	$20.30	$20.00	14.2%	4.1%	17.3%	1.3%	14.2%	2.1%	3.0%	93.8K	-1.5M	-11.3K	0.03	90.08	37	1	2,940	1,105
2023-09-21	$19.96	$20.00	15.4%	4.4%	18.3%	1.5%	16.3%	2.8%	2.2%	84.0K	-1.3M	-12.6K	1.23	22.40	22	27	2,972	1,097
2023-09-22	$20.07	$20.00	15.0%	4.3%	18.4%	1.5%	15.0%	1.6%	1.0%	87.0K	-1.3M	-12.5K	0.38	98.86	8	3	2,992	1,105
2023-09-25	$20.12	$20.00	16.1%	4.6%	18.3%	1.7%	16.1%	3.3%	2.3%	89.8K	-1.3M	-11.2K	0.20	92.09	51	10	2,999	1,105
2023-09-26	$19.86	$20.00	16.2%	4.6%	18.7%	1.7%	16.2%	2.7%	2.8%	81.5K	-1.2M	-12.2K	0.65	99.63	37	24	3,037	1,113
2023-09-27	$19.80	$20.00	15.8%	4.5%	18.7%	1.6%	15.9%	2.5%	1.9%	91.3K	-1.2M	-11.8K	0.71	102.77	38	27	3,059	1,110
2023-09-28	$19.96	$20.00	16.4%	4.7%	18.7%	1.7%	16.4%	3.0%	2.0%	87.0K	-1.1M	-10.7K	1.36	93.11	22	30	3,059	1,118
2023-09-29	$20.14	$20.00	16.3%	4.7%	19.0%	1.7%	16.3%	3.1%	2.4%	103.1K	-1.4M	-11.5K	0.67	95.53	3	2	3,078	1,138