OCSL Options History — January 2024

In January 2024, OCSL traded between $20.34 and $21.52. ATM implied volatility averaged 19.8%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.8% (HV 20d: 14.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.12.

Notable Days

2024-01-17: Highest Volume — 428 contracts
2024-01-31: Largest IV spike — 121.2% change
2024-01-31: Highest IV Rank — 44.2%
2024-01-31: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.18	$20.34	$21.52	$20.34	$21.23
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	19.8%	13.0%	51.3%	15.8%	28.7%
Expected Move	5.0%	3.7%	8.2%	4.5%	8.2%
HV 20d	14.0%	12.3%	16.0%	12.7%	12.8%
HV 60d	13.0%	11.4%	15.4%	14.8%	11.4%
IV Rank	7.6%	1.1%	44.2%	1.6%	44.2%
IV Percentile	42.5%	7.9%	99.2%	22.2%	84.9%
Term Structure	2.6%	-14.9%	12.1%	1.5%	-14.9%
VWIV	18.5%	15.0%	28.9%	15.8%	28.9%
Skew 25d	8.6%	0.9%	18.0%	0.9%	11.5%
Skew 10d	7.5%	-3.5%	12.4%	7.2%	12.4%
Call IV 25d	12.9%	8.2%	17.4%	15.8%	13.0%
Put IV 25d	21.5%	16.7%	27.6%	16.7%	24.5%
Bid-Ask Spread %	61.99	29.48	100.63	88.83	73.31
Gamma HHI	0.56	0.48	0.70	0.70	0.53
Net GEX	7.0K	-204.8K	119.4K	-204.8K	63.4K
Net DEX	-2.2M	-3.2M	-257.5K	-257.5K	-2.4M
Net VEX	-13.4K	-15.5K	-11.3K	-15.5K	-14.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.00	7.57	3.83	0.48
Total Volume	146.667	7	428	111	411
Total OI	6,221.286	5,710	6,711	6,118	6,089

Daily Data (21 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
2024-01-02	$20.34	$20.00	15.8%	4.5%	12.7%	1.6%	15.8%	0.9%	1.5%	-204.8K	-257.5K	-15.5K	3.83	88.83	23	88	2,721	3,397
2024-01-03	$20.48	$20.00	13.0%	3.7%	12.8%	1.1%	15.4%	3.6%	7.4%	-178.3K	-667.1K	-15.1K	1.67	88.42	6	10	2,729	3,465
2024-01-04	$21.04	$20.00	26.9%	5.5%	15.7%	3.7%	18.8%	3.6%	0.4%	-66.6K	-1.7M	-14.1K	0.49	58.98	102	50	2,729	3,466
2024-01-05	$20.91	$20.00	24.6%	5.5%	16.0%	3.2%	17.4%	1.7%	-0.9%	-83.7K	-1.5M	-14.0K	0.12	100.63	26	3	2,782	3,451
2024-01-08	$20.98	$20.00	51.3%	5.3%	15.8%	8.1%	18.4%	1.6%	0.8%	-64.0K	-1.5M	-13.8K	0.64	39.73	98	63	2,793	3,451
2024-01-09	$20.98	$20.00	23.1%	5.7%	15.5%	2.9%	19.8%	8.7%	12.1%	-65.0K	-1.9M	-13.3K	7.57	38.95	21	159	2,790	3,465
2024-01-10	$21.23	$20.00	18.3%	5.2%	15.9%	2.1%	18.2%	9.6%	-1.0%	-37.3K	-2.1M	-12.6K	0.35	38.57	205	71	2,799	3,565
2024-01-11	$21.18	$20.00	18.2%	5.2%	15.9%	2.1%	17.4%	9.0%	10.1%	-42.5K	-2.0M	-13.7K	0.00	46.16	7	0	2,914	3,606
2024-01-12	$21.29	$20.00	15.2%	4.3%	15.9%	1.5%	15.6%	5.9%	-0.5%	-8.8K	-2.5M	-11.8K	0.94	74.23	17	16	2,919	3,606
2024-01-16	$21.11	$20.00	21.3%	6.1%	13.3%	2.6%	22.2%	11.0%	-3.3%	-52.8K	-2.0M	-13.0K	0.07	40.56	76	5	2,937	3,606
2024-01-17	$21.24	$20.00	21.3%	6.1%	13.4%	2.6%	18.3%	17.8%	-1.2%	-4.5K	-2.4M	-13.0K	0.00	49.54	426	2	2,941	3,601
2024-01-18	$21.36	$20.00	16.8%	4.8%	13.3%	1.8%	16.7%	4.1%	4.8%	64.6K	-2.9M	-11.4K	0.05	48.64	21	1	3,102	3,599
2024-01-19	$21.38	$20.00	13.4%	3.8%	13.2%	1.1%	15.1%	5.2%	2.8%	89.1K	-3.2M	-11.3K	0.15	56.22	326	49	3,112	3,599
2024-01-22	$21.41	$20.00	14.3%	4.1%	13.2%	1.3%	15.0%	5.8%	3.0%	109.7K	-2.9M	-12.0K	0.02	29.48	124	2	3,190	2,520
2024-01-23	$21.49	$20.00	13.5%	3.9%	13.2%	1.2%	17.6%	4.8%	-1.9%	119.4K	-3.1M	-12.1K	0.23	73.83	111	26	3,281	2,522
2024-01-24	$21.39	$20.00	15.0%	4.3%	13.3%	1.4%	19.5%	12.5%	6.3%	99.9K	-2.7M	-13.7K	5.50	89.62	10	55	3,317	2,547
2024-01-25	$21.45	$20.00	17.7%	5.1%	13.2%	21.8%	25.1%	17.4%	8.7%	99.7K	-2.8M	-13.6K	0.71	42.00	21	15	3,323	2,600
2024-01-26	$21.52	$20.00	20.7%	5.9%	13.2%	27.9%	18.5%	18.0%	7.4%	109.4K	-2.9M	-14.1K	0.01	78.49	210	2	3,344	2,610
2024-01-29	$21.41	$20.00	14.7%	4.2%	13.4%	15.6%	16.6%	13.9%	8.2%	102.6K	-2.7M	-13.5K	0.50	73.88	112	56	3,461	2,610
2024-01-30	$21.45	$20.00	13.0%	3.7%	12.3%	12.0%	17.9%	14.1%	4.5%	97.7K	-2.9M	-14.7K	0.13	71.77	48	6	3,463	2,625
2024-01-31	$21.23	$20.00	28.7%	8.2%	12.8%	44.2%	28.9%	11.5%	-14.9%	63.4K	-2.4M	-14.9K	0.48	73.31	278	133	3,458	2,631