OCSL Options History — March 2024

In March 2024, OCSL traded between $19.06 and $19.93. ATM implied volatility averaged 14.6%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.1% (HV 20d: 14.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.85.

Notable Days

2024-03-21: Highest Volume — 276 contracts
2024-03-11: Largest IV spike — 99.2% change
2024-03-11: Highest IV Rank — 45.7%
2024-03-01: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.49	$19.06	$19.93	$19.64	$19.66
Max Pain	$20.88	$20.00	$22.50	$20.00	$20.00
ATM IV	14.6%	8.8%	29.4%	20.2%	12.3%
Expected Move	3.7%	2.5%	5.8%	5.8%	3.5%
HV 20d	14.5%	12.1%	16.4%	13.3%	15.4%
HV 60d	22.4%	21.7%	22.8%	22.2%	22.6%
IV Rank	15.4%	3.4%	45.7%	26.9%	10.6%
IV Percentile	21.1%	1.2%	86.5%	56.0%	9.1%
Term Structure	2.8%	-9.5%	8.1%	-9.5%	3.2%
VWIV	13.7%	9.9%	19.8%	19.8%	12.5%
Skew 25d	68.2%	-5.9%	168.5%	127.3%	5.1%
Skew 10d	91.8%	-4.6%	225.2%	176.7%	5.0%
Call IV 25d	16.6%	11.0%	33.0%	33.0%	13.6%
Put IV 25d	84.8%	11.5%	191.9%	160.3%	18.8%
Bid-Ask Spread %	96.27	66.67	107.89	66.67	97.13
Gamma HHI	0.44	0.34	0.72	0.44	0.42
Net GEX	11.5K	-215.9K	86.2K	8.2K	85.9K
Net DEX	932.3K	-350.2K	2.3M	1.0M	-350.2K
Net VEX	-12.1K	-13.8K	-10.5K	-13.7K	-13.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.01	6.33	3.83	0.01
Total Volume	122.4	30	276	222	92
Total OI	6,144.6	5,456	6,723	6,184	5,902

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
2024-03-01	$19.64	$20.00	20.2%	5.8%	13.3%	26.9%	19.8%	127.3%	-9.5%	8.2K	1.0M	-13.7K	3.83	66.67	46	176	3,905	2,279
2024-03-04	$19.52	$22.50	24.3%	4.0%	13.1%	35.3%	13.9%	159.3%	3.7%	-35.5K	1.9M	-10.5K	1.54	88.54	56	86	3,888	2,454
2024-03-05	$19.48	$22.50	15.2%	4.5%	13.0%	16.5%	0.0%	139.2%	0.1%	-16.8K	2.3M	-10.6K	0.06	99.16	124	7	3,863	2,543
2024-03-06	$19.64	$22.50	12.8%	4.2%	13.2%	11.6%	14.4%	150.1%	3.2%	2.4K	1.8M	-12.8K	0.10	97.15	121	12	3,931	2,545
2024-03-07	$19.71	$22.50	15.0%	4.2%	13.2%	16.1%	14.6%	150.3%	3.5%	-29.6K	1.8M	-11.3K	0.36	95.85	36	13	4,052	2,554
2024-03-08	$19.74	$22.50	14.8%	4.1%	13.2%	15.7%	14.4%	151.9%	4.0%	-20.7K	1.5M	-13.2K	0.29	92.03	34	10	4,081	2,547
2024-03-11	$19.88	$22.50	29.4%	4.1%	13.4%	45.7%	14.3%	149.9%	3.5%	-62.5K	709.9K	-13.8K	0.24	91.71	202	49	4,107	2,542
2024-03-12	$19.93	$20.00	19.5%	3.2%	12.1%	25.5%	10.7%	154.0%	6.6%	-215.9K	1.1M	-11.7K	6.33	93.03	21	133	4,150	2,573
2024-03-13	$19.73	$20.00	12.9%	3.7%	12.1%	11.8%	12.8%	168.5%	3.3%	-19.8K	1.7M	-10.6K	0.28	96.91	123	34	4,145	2,517
2024-03-14	$19.11	$22.50	12.3%	3.5%	16.3%	10.7%	9.9%	-3.3%	2.0%	26.7K	2.1M	-11.8K	1.45	101.54	47	68	4,143	2,545
2024-03-15	$19.26	$20.00	10.4%	3.0%	16.3%	6.8%	11.7%	0.3%	5.2%	34.5K	821.6K	-10.5K	0.34	100.84	92	31	4,172	1,904
2024-03-18	$19.06	$20.00	12.1%	3.5%	16.0%	10.1%	14.3%	-3.7%	2.0%	31.6K	632.5K	-11.3K	0.03	95.06	193	5	3,698	1,758
2024-03-19	$19.16	$20.00	13.3%	3.8%	16.3%	12.7%	15.1%	-5.9%	1.6%	39.3K	575.9K	-11.8K	0.05	107.89	91	5	3,775	1,764
2024-03-20	$19.30	$20.00	12.6%	3.6%	16.4%	11.2%	0.0%	-0.2%	2.0%	46.2K	491.1K	-11.6K	0.10	101.39	59	6	3,866	1,769
2024-03-21	$19.34	$20.00	10.3%	3.0%	15.9%	6.6%	12.0%	-1.4%	5.6%	42.0K	411.8K	-12.2K	0.89	103.34	146	130	3,885	1,774
2024-03-22	$19.27	$20.00	8.8%	2.5%	15.7%	3.4%	0.0%	16.4%	8.1%	67.7K	154.7K	-13.2K	0.06	100.27	33	2	3,985	1,784
2024-03-25	$19.37	$20.00	12.0%	3.4%	15.3%	10.1%	14.3%	1.7%	3.7%	78.1K	73.6K	-12.2K	0.03	100.68	40	1	3,995	1,782
2024-03-26	$19.43	$20.00	11.7%	3.4%	15.4%	9.4%	14.5%	2.6%	2.3%	82.6K	-1.2K	-12.4K	0.27	97.26	74	20	4,030	1,783
2024-03-27	$19.51	$20.00	13.0%	3.7%	15.2%	12.1%	13.1%	1.5%	1.4%	86.2K	-141.8K	-12.8K	0.67	99.04	18	12	4,099	1,803
2024-03-28	$19.66	$20.00	12.3%	3.5%	15.4%	10.6%	12.5%	5.1%	3.2%	85.9K	-350.2K	-13.4K	0.01	97.13	91	1	4,106	1,796