OCSL Options History — October 2023

In October 2023, OCSL traded between $18.68 and $19.93. ATM implied volatility averaged 17.3%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 5.6% (HV 20d: 22.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2023-10-20: Highest Volume — 1,199 contracts
  • 2023-10-27: Largest IV spike — 48.5% change
  • 2023-10-27: Highest IV Rank — 3.6%
  • 2023-10-27: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.20$18.68$19.93$19.51$18.99
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV17.3%10.5%26.6%16.9%18.0%
Expected Move5.2%3.0%7.6%4.8%5.2%
HV 20d22.9%20.6%24.1%21.9%20.6%
HV 60d18.2%16.3%19.1%16.3%18.8%
IV Rank1.9%0.6%3.6%1.8%2.0%
IV Percentile31.9%3.2%73.8%26.2%38.5%
Term Structure1.9%-1.8%10.8%2.1%1.7%
VWIV19.3%12.3%25.3%16.7%22.9%
Skew 25d1.9%-5.7%6.8%2.1%-4.8%
Skew 10d4.3%-6.2%9.5%1.8%-4.3%
Call IV 25d19.4%14.7%24.3%17.7%22.1%
Put IV 25d21.4%16.0%26.2%19.8%17.4%
Bid-Ask Spread %77.2612.38104.2797.7714.55
Gamma HHI0.490.350.930.540.40
Net GEX49.8K10.9K77.6K70.8K24.3K
Net DEX297.7K-734.0K1.1M-319.6K962.5K
Net VEX-7.7K-9.6K-6.4K-9.6K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.008.911.230.29
Total Volume143.81841,1995862
Total OI4,386.4554,1434,8624,2184,862

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$19.51$20.0016.9%4.8%21.9%1.8%16.7%2.1%2.1%70.8K-319.6K-9.6K1.2397.7726323,0791,139
2023-10-03$19.14$20.0010.5%3.0%22.5%0.6%12.3%2.7%10.8%68.8K383.6K-7.5K0.4696.79111513,0961,136
2023-10-04$18.91$20.0014.5%4.2%22.7%1.4%13.5%-4.5%3.3%58.7K264.8K-8.1K5.00104.278403,0761,153
2023-10-05$18.89$20.0013.3%4.9%22.1%1.1%0.0%6.2%1.6%58.4K325.2K-8.2K0.0084.96403,0691,158
2023-10-06$19.11$20.0016.6%5.8%22.3%1.8%20.5%4.8%-0.2%51.8K237.4K-7.5K0.0882.205953,0671,158
2023-10-09$19.43$20.0012.1%5.5%23.0%0.9%19.6%5.4%0.8%60.8K26.7K-8.4K0.1264.332633,1091,158
2023-10-10$19.49$20.0016.1%5.7%23.0%1.7%19.9%-0.4%-0.2%62.0K-126.4K-8.1K0.2883.1490253,1291,157
2023-10-11$19.80$20.0018.0%5.2%23.7%2.0%18.0%0.7%2.3%67.7K-713.6K-9.0K1.0084.2128283,1961,167
2023-10-12$19.31$20.0019.1%5.5%22.1%2.2%19.2%6.5%1.2%75.3K239.8K-7.4K0.0384.79394113,2151,166
2023-10-13$19.48$20.0019.5%5.6%21.8%2.3%19.5%2.6%0.5%68.0K56.0K-7.6K0.0690.095333,0201,168
2023-10-16$19.93$20.0020.0%5.7%23.2%2.4%19.9%2.8%-1.8%37.7K-734.0K-8.1K0.2882.71104292,9731,170
2023-10-17$19.81$20.0019.2%5.5%23.2%2.2%19.2%1.8%-0.0%57.5K-590.4K-8.0K1.2481.8933413,0471,190
2023-10-18$19.48$20.0020.4%5.8%23.9%2.4%20.4%-2.9%-0.6%77.6K95.9K-7.4K2.3383.71373,0741,216
2023-10-19$19.14$20.0015.5%4.4%23.9%1.5%16.2%4.3%4.3%67.3K339.0K-7.2K0.7742.6813103,0731,223
2023-10-20$18.88$20.0017.4%5.0%24.1%1.9%13.9%2.7%1.9%65.1K605.6K-6.4K8.9186.291211,0783,0721,226
2023-10-23$18.88$20.0017.5%5.0%24.0%1.9%21.4%1.6%0.7%10.9K912.8K-7.3K0.0885.11167142,8971,509
2023-10-24$18.96$20.0015.8%4.5%23.9%1.6%18.9%6.8%2.1%25.9K735.6K-7.7K1.8486.1819353,0601,521
2023-10-25$18.87$20.0017.3%5.0%23.9%1.9%20.5%5.5%5.2%21.6K844.1K-7.5K0.3586.621763,0601,557
2023-10-26$18.89$20.0017.9%5.1%23.6%2.0%25.3%2.9%0.3%20.9K905.0K-7.5K0.2686.97106283,0771,563
2023-10-27$18.68$20.0026.6%7.6%23.4%3.6%25.1%1.6%6.1%22.4K1.1M-6.9K2.7412.3819523,1671,573
2023-10-30$18.91$20.0018.8%5.4%21.5%2.2%22.5%-5.7%-0.9%23.2K1.0M-7.0K0.0978.03186173,1521,624
2023-10-31$18.99$20.0018.0%5.2%20.6%2.0%22.9%-4.8%1.7%24.3K962.5K-7.0K0.2914.5548143,2231,639