OCSL Options History — December 2023

In December 2023, OCSL traded between $19.98 and $20.71. ATM implied volatility averaged 17.0%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 7.1% (HV 20d: 9.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.27.

Notable Days

2023-12-13: Highest Volume — 1,423 contracts
2023-12-11: Largest IV spike — 29.8% change
2023-12-06: Highest IV Rank — 3.2%
2023-12-01: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.31	$19.98	$20.71	$19.98	$20.44
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	17.0%	12.3%	24.6%	22.1%	16.4%
Expected Move	3.9%	2.9%	6.3%	6.3%	4.7%
HV 20d	9.9%	6.8%	12.5%	8.7%	12.5%
HV 60d	16.8%	14.7%	18.3%	18.3%	14.7%
IV Rank	1.8%	0.9%	3.2%	2.8%	1.7%
IV Percentile	32.3%	7.5%	75.8%	66.3%	26.6%
Term Structure	2.3%	-9.6%	7.3%	-8.1%	1.7%
VWIV	14.4%	10.0%	25.5%	22.2%	16.5%
Skew 25d	20.6%	-0.5%	132.8%	-0.5%	2.1%
Skew 10d	58.9%	-0.9%	298.2%	-0.9%	7.8%
Call IV 25d	12.9%	10.7%	22.5%	22.5%	14.5%
Put IV 25d	33.5%	12.3%	145.7%	22.0%	16.6%
Bid-Ask Spread %	72.07	37.11	108.74	91.45	65.87
Gamma HHI	0.69	0.41	0.96	0.87	0.52
Net GEX	-120.1K	-772.4K	175.5K	-198.2K	-56.2K
Net DEX	-932.0K	-3.8M	1.2M	1.2M	-685.5K
Net VEX	-10.1K	-14.3K	-6.0K	-9.8K	-14.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.27	0.03	12.57	0.17	3.99
Total Volume	351.3	28	1,423	150	1,138
Total OI	5,194.5	3,439	6,396	5,617	5,320

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
2023-12-01	$19.98	$20.00	22.1%	6.3%	8.7%	2.8%	22.2%	-0.5%	-8.1%	-198.2K	1.2M	-9.8K	0.17	91.45	128	22	2,733	2,884
2023-12-04	$20.04	$20.00	21.0%	4.0%	7.5%	2.6%	13.8%	72.1%	1.3%	-283.7K	829.1K	-9.2K	1.61	38.83	18	29	2,828	2,906
2023-12-05	$19.98	$20.00	22.6%	3.7%	7.0%	2.9%	12.8%	132.8%	2.9%	-250.3K	1.2M	-9.1K	2.70	101.07	96	259	2,854	2,925
2023-12-06	$20.02	$20.00	24.6%	3.8%	6.8%	3.2%	13.1%	75.1%	2.3%	-254.5K	1.2M	-10.4K	0.29	42.63	63	18	2,933	3,184
2023-12-07	$20.18	$20.00	22.0%	3.6%	7.2%	2.7%	12.5%	59.3%	1.3%	-471.7K	-297.0K	-9.2K	0.03	78.31	180	6	2,946	3,200
2023-12-08	$20.41	$20.00	16.2%	2.9%	7.9%	1.7%	12.2%	2.2%	5.3%	144.6K	-3.0M	-6.4K	0.45	75.81	213	95	2,949	3,206
2023-12-11	$20.39	$20.00	21.0%	3.0%	7.9%	2.6%	11.3%	1.7%	6.1%	128.7K	-3.3M	-6.6K	0.26	66.52	242	62	3,148	3,119
2023-12-12	$20.46	$20.00	23.5%	3.0%	7.7%	3.0%	11.6%	1.1%	4.8%	159.0K	-3.7M	-6.3K	4.97	40.73	33	164	3,224	3,101
2023-12-13	$20.56	$20.00	16.7%	4.8%	7.8%	1.8%	17.0%	28.6%	-9.6%	175.5K	-3.8M	-6.0K	2.36	108.74	423	1,000	3,241	3,155
2023-12-14	$20.07	$20.00	13.0%	3.7%	12.0%	1.1%	13.0%	2.5%	2.5%	-772.4K	81.4K	-9.5K	1.42	85.58	107	152	2,039	2,394
2023-12-15	$20.13	$20.00	12.3%	3.5%	11.6%	0.9%	12.3%	8.5%	3.7%	-710.1K	-560.0K	-9.7K	1.84	105.68	81	149	2,152	2,453
2023-12-18	$20.30	$20.00	13.7%	3.9%	11.8%	1.2%	13.7%	3.1%	2.9%	64.5K	-942.4K	-9.9K	4.80	43.52	150	720	2,124	1,315
2023-12-19	$20.29	$20.00	13.9%	4.0%	11.7%	1.3%	13.9%	2.6%	2.3%	15.1K	-796.2K	-11.5K	3.87	41.25	53	205	2,273	1,778
2023-12-20	$20.29	$20.00	12.9%	3.7%	11.6%	1.1%	12.8%	2.2%	3.5%	-13.4K	-661.7K	-11.6K	2.45	82.82	11	27	2,276	1,958
2023-12-21	$20.30	$20.00	13.5%	3.9%	11.5%	1.2%	13.5%	2.3%	3.0%	-7.5K	-697.2K	-12.1K	0.25	92.66	76	19	2,294	1,978
2023-12-22	$20.44	$20.00	13.8%	4.0%	11.6%	1.2%	13.7%	1.6%	2.9%	2.3K	-1.0M	-11.9K	1.09	90.43	46	50	2,320	1,983
2023-12-26	$20.59	$20.00	15.0%	4.3%	11.8%	1.4%	25.5%	2.8%	2.9%	13.6K	-1.3M	-11.7K	12.57	75.86	53	666	2,366	2,034
2023-12-27	$20.63	$20.00	12.4%	3.6%	11.8%	1.0%	10.0%	6.0%	7.3%	-47.4K	-1.1M	-13.3K	0.04	76.56	27	1	2,427	2,691
2023-12-28	$20.71	$20.00	13.3%	3.8%	11.3%	1.1%	15.9%	5.2%	6.6%	-40.4K	-1.3M	-12.9K	0.27	37.11	192	52	2,488	2,691
2023-12-29	$20.44	$20.00	16.4%	4.7%	12.5%	1.7%	16.5%	2.1%	1.7%	-56.2K	-685.5K	-14.3K	3.99	65.87	228	910	2,598	2,722