OCSL Options History — February 2024

In February 2024, OCSL traded between $19.45 and $20.27. ATM implied volatility averaged 20.0%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 13.2% (HV 20d: 33.3%). 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 0 of 20 days. Put/call ratio averaged 2.68.

Notable Days

  • 2024-02-01: Highest Volume — 1,024 contracts
  • 2024-02-07: Largest IV spike — 25.3% change
  • 2024-02-16: Highest IV Rank — 30.9%
  • 2024-02-16: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.87$19.45$20.27$19.45$19.84
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV20.0%14.0%22.2%17.7%21.0%
Expected Move6.0%5.6%6.4%6.0%6.0%
HV 20d33.3%32.3%34.2%34.2%33.9%
HV 60d21.7%21.3%22.1%21.3%22.1%
IV Rank26.5%14.1%30.9%21.7%28.4%
IV Percentile57.3%12.7%73.8%38.1%63.9%
Term Structure-4.6%-7.9%-2.8%-4.7%-5.7%
VWIV20.9%19.4%22.5%20.8%20.9%
Skew 25d66.0%-0.1%126.7%1.1%109.5%
Skew 10d95.0%-4.8%170.4%2.2%147.0%
Call IV 25d22.3%17.6%26.8%20.5%21.5%
Put IV 25d88.3%21.6%151.3%21.6%131.0%
Bid-Ask Spread %85.8767.43115.4785.6567.52
Gamma HHI0.620.410.760.630.45
Net GEX-135.9K-382.5K67.9K-115.5K17.6K
Net DEX954.3K-1.7M2.7M2.2M480.2K
Net VEX-12.9K-14.6K-11.3K-11.4K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.0834.000.571.27
Total Volume293.55351,0241,024357
Total OI6,513.44,8957,6896,3725,827

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$19.45$20.0017.7%6.0%34.2%21.7%20.8%1.1%-4.7%-115.5K2.2M-11.4K0.5785.656513733,6192,753
2024-02-02$19.63$20.0014.0%5.7%32.7%14.1%19.9%-0.1%-3.3%-197.6K2.2M-12.8K0.2282.91392873,6212,996
2024-02-05$19.55$20.0016.5%5.9%32.7%19.2%20.4%76.0%-3.1%-182.5K2.4M-12.7K0.3090.365671703,8953,072
2024-02-06$19.66$20.0016.7%5.6%32.8%19.7%19.4%49.1%-2.8%-212.1K2.5M-13.0K0.3497.00119414,0913,184
2024-02-07$19.63$20.0020.9%6.0%32.8%28.3%21.2%40.7%-4.9%-227.5K2.6M-12.9K0.2595.22105264,1003,211
2024-02-08$19.66$20.0020.3%5.8%32.3%26.9%20.2%42.0%-3.7%-268.0K2.7M-12.6K34.0096.691344,1193,217
2024-02-09$19.73$20.0020.8%6.0%32.4%28.0%20.8%126.7%-4.0%-283.5K2.1M-14.6K6.11115.47271654,1183,230
2024-02-12$20.05$20.0021.2%6.1%33.0%28.9%21.3%54.7%-4.6%-292.1K664.4K-12.8K0.16104.78133214,1233,091
2024-02-13$19.84$20.0020.6%5.9%33.1%27.6%20.6%63.3%-3.3%-321.0K1.9M-12.6K1.2688.682122684,1443,103
2024-02-14$19.95$20.0021.7%6.2%33.1%29.9%21.7%60.0%-4.4%-372.3K1.1M-12.2K1.2895.7461784,2023,140
2024-02-15$20.09$20.0020.5%5.9%33.1%27.5%20.5%56.2%-3.3%-382.5K-51.6K-13.6K0.1293.44384474,2563,095
2024-02-16$20.27$20.0022.2%6.4%33.4%30.9%22.5%47.0%-6.7%-150.0K-1.7M-14.0K0.0867.43290224,5723,117
2024-02-20$20.16$20.0020.2%5.8%33.4%26.9%20.3%67.2%-3.5%67.9K-383.2K-11.3K1.4790.301772603,3691,526
2024-02-21$19.95$20.0020.7%5.9%33.4%27.8%20.7%80.1%-4.0%28.7K69.1K-13.6K0.5292.04160833,4871,817
2024-02-22$20.13$20.0020.6%5.9%33.7%27.6%20.6%72.5%-3.9%40.3K-280.9K-13.5K0.4474.0752233,6411,899
2024-02-23$20.23$20.0021.3%6.1%33.7%29.2%22.3%64.6%-7.5%43.5K-457.3K-12.9K0.2268.8595213,6631,902
2024-02-26$19.95$20.0021.0%6.0%33.8%28.5%21.0%106.7%-6.1%33.4K145.0K-12.7K2.0474.85561143,6941,883
2024-02-27$19.96$20.0021.2%6.1%33.9%28.9%21.2%94.8%-5.5%32.2K236.7K-12.1K2.0268.6240813,7371,966
2024-02-28$19.76$20.0021.9%6.3%33.9%30.3%22.0%107.2%-7.9%22.2K717.2K-12.3K0.8667.7542363,7712,017
2024-02-29$19.84$20.0021.0%6.0%33.9%28.4%20.9%109.5%-5.7%17.6K480.2K-13.7K1.2767.521572003,7482,079