OCSL Options History — November 2023

In November 2023, OCSL traded between $19.20 and $20.06. ATM implied volatility averaged 21.3%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.4% (HV 20d: 14.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.88.

Notable Days

  • 2023-11-28: Highest Volume — 1,301 contracts
  • 2023-11-06: Largest IV spike — 14.5% change
  • 2023-11-13: Highest IV Rank — 3.2%
  • 2023-11-13: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.78$19.20$20.06$19.20$19.99
Max Pain$18.93$17.50$20.00$20.00$20.00
ATM IV21.3%18.9%24.5%20.8%20.1%
Expected Move6.2%5.4%7.0%6.0%5.8%
HV 20d14.9%9.7%21.1%20.5%9.9%
HV 60d18.9%18.5%19.4%19.0%18.5%
IV Rank2.6%2.2%3.2%2.5%2.4%
IV Percentile60.7%44.4%74.2%59.1%53.2%
Term Structure-4.2%-7.9%1.4%1.4%-7.9%
VWIV21.6%18.9%25.0%21.0%20.0%
Skew 25d33.0%-1.7%165.5%-1.7%-0.8%
Skew 10d48.8%-2.7%240.2%-2.7%-1.4%
Call IV 25d20.2%18.7%22.5%21.7%20.8%
Put IV 25d53.2%18.8%184.3%19.9%20.0%
Bid-Ask Spread %56.7917.8598.9678.9998.96
Gamma HHI0.640.400.820.400.82
Net GEX71.9K-176.7K193.5K30.0K-176.7K
Net DEX-261.2K-981.7K849.2K754.1K837.3K
Net VEX-7.9K-10.0K-6.6K-7.4K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.880.0021.180.888.94
Total Volume245.8171,30175169
Total OI4,892.8573,1475,8734,9225,468

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$19.20$20.0020.8%6.0%20.5%2.5%21.0%-1.7%1.4%30.0K754.1K-7.4K0.8878.9940353,2691,653
2023-11-02$19.48$17.5021.3%6.9%21.0%2.6%24.4%2.6%-5.2%40.7K199.6K-8.3K0.1057.73106113,3071,647
2023-11-03$19.74$17.5020.8%6.6%21.1%2.5%23.0%6.0%-4.3%48.2K-358.6K-8.8K0.0317.85592193,3411,648
2023-11-06$19.59$17.5023.8%6.4%20.6%3.1%22.5%4.2%-3.6%90.0K-306.4K-8.8K1.0588.0359623,7561,650
2023-11-07$19.52$17.5022.1%6.4%20.6%2.8%22.2%2.6%-3.8%85.7K6.7K-8.3K4.0038.183123,7551,712
2023-11-08$19.52$17.5022.4%6.4%19.8%2.8%0.0%3.0%-3.3%86.2K103.5K-8.0K0.1229.103443,7581,719
2023-11-09$19.62$17.5022.7%6.5%17.6%2.9%22.7%5.0%-3.6%88.8K-209.5K-8.4K0.0086.88703,7581,719
2023-11-10$19.71$17.5023.1%6.6%17.4%2.9%25.0%6.7%-3.9%90.4K-558.4K-8.4K4.6729.853143,7591,719
2023-11-13$19.84$17.5024.5%7.0%15.5%3.2%24.5%153.6%-5.4%101.0K-845.9K-7.8K0.2789.37175473,7581,731
2023-11-14$19.88$17.5021.6%6.2%15.4%2.7%21.6%158.5%-3.7%102.6K-696.7K-7.3K0.6794.683502353,7901,768
2023-11-15$19.96$20.0021.6%6.2%14.1%2.7%21.6%90.1%-4.3%53.2K-685.4K-7.5K0.3871.45149563,7341,969
2023-11-16$19.81$20.0022.5%6.4%12.7%2.8%22.5%96.3%-2.3%30.8K310.3K-7.0K0.9325.8085793,7761,997
2023-11-17$19.93$20.0020.5%5.9%11.3%2.5%20.5%165.5%-3.7%-81.7K187.2K-7.1K0.0894.57212183,8232,050
2023-11-20$19.88$20.0019.7%5.6%11.5%2.3%19.7%0.5%-4.6%147.5K-798.4K-6.6K0.4237.542551062,303844
2023-11-21$19.80$20.0019.3%5.5%11.7%2.3%19.4%0.0%-1.8%153.4K-726.4K-7.1K2.7993.4529812,509940
2023-11-22$19.91$20.0018.9%5.4%11.4%2.2%18.9%0.1%-4.7%171.2K-801.8K-7.1K0.0021.145602,5381,025
2023-11-24$19.98$20.0019.2%5.5%11.4%2.2%19.1%0.1%-4.5%193.5K-981.7K-7.5K3.5235.51331162,5921,025
2023-11-27$19.98$20.0020.8%6.0%10.2%2.5%20.8%0.1%-6.0%176.7K-883.7K-7.5K0.9419.871881772,6291,150
2023-11-28$20.06$20.0020.5%5.9%9.7%2.5%20.5%0.0%-6.5%160.4K-880.0K-7.7K9.5843.631231,1782,6131,318
2023-11-29$19.91$20.0021.8%6.3%10.3%2.7%21.8%-0.0%-7.2%-81.4K849.2K-9.7K21.1839.96112332,7312,499
2023-11-30$19.99$20.0020.1%5.8%9.9%2.4%20.0%-0.8%-7.9%-176.7K837.3K-10.0K8.9498.96171522,7362,732