OCSL Options History — July 2024

In July 2024, OCSL traded between $17.64 and $18.79. ATM implied volatility averaged 22.1%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 9.1% (HV 20d: 13.0%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 7.02.

Notable Days

  • 2024-07-18: Highest Volume — 404 contracts
  • 2024-07-02: Largest IV spike — 121.0% change
  • 2024-07-03: Highest IV Rank — 90.6%
  • 2024-07-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.32$17.64$18.79$18.66$18.05
Max Pain$19.32$15.00$20.00$15.00$20.00
ATM IV22.1%13.5%47.2%18.7%20.0%
Expected Move6.2%3.9%13.5%5.4%5.7%
HV 20d13.0%9.5%15.0%13.1%14.9%
HV 60d14.0%12.9%14.8%14.0%12.9%
IV Rank32.1%11.1%90.6%26.1%26.3%
IV Percentile64.2%19.8%99.6%64.3%69.0%
Term Structure3.8%-29.3%67.6%7.8%6.4%
VWIV18.1%12.2%23.0%23.0%22.3%
Skew 25d3.4%-5.4%12.8%-0.4%5.7%
Skew 10d8.1%-1.9%25.5%-0.0%8.9%
Call IV 25d15.8%10.6%22.7%15.0%17.2%
Put IV 25d19.2%10.3%26.5%14.6%23.0%
Bid-Ask Spread %94.5282.33115.60106.1292.01
Gamma HHI0.690.480.880.540.87
Net GEX-51.0K-114.5K29.3K20.5K-114.5K
Net DEX2.7M1.6M3.5M1.8M3.4M
Net VEX-7.3K-8.4K-5.6K-7.8K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.020.0067.400.123.00
Total Volume118.3181404124148
Total OI5,868.6825,2676,3825,3336,382

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$18.66$15.0018.7%5.4%13.1%26.1%23.0%-0.4%7.8%20.5K1.8M-7.8K0.12106.12111133,4301,903
2024-07-02$18.77$15.0041.2%11.8%13.2%77.2%0.0%12.6%3.2%29.3K1.7M-8.0K0.00105.53103,4601,906
2024-07-03$18.79$15.0047.2%13.5%13.2%90.6%0.0%12.8%3.4%28.6K1.6M-8.3K0.00115.6010003,4611,906
2024-07-05$18.66$20.0022.3%9.4%13.3%34.4%17.3%-2.6%-27.4%13.9K1.8M-7.5K14.47102.39172463,3611,906
2024-07-08$18.73$20.0031.2%5.8%13.4%54.5%16.8%2.4%-3.4%-6061.9M-8.1K0.0197.3013823,3672,147
2024-07-09$18.61$20.0030.6%4.8%12.6%53.2%15.7%0.1%4.5%-5.4K2.0M-7.8K5.41108.11291573,3652,145
2024-07-10$18.61$20.0032.4%9.3%12.6%57.2%18.5%-3.9%-29.3%-8.8K2.1M-8.3K1.5094.48233,3572,274
2024-07-11$18.59$20.0015.8%4.5%12.4%19.7%19.0%0.7%5.1%-7.2K2.2M-8.4K3.8098.865193,3582,277
2024-07-12$18.56$20.0013.5%3.9%12.4%11.1%16.8%1.5%2.3%-25.8K2.6M-5.8K0.0193.1213823,3682,296
2024-07-15$18.52$20.0014.5%4.1%12.4%13.4%17.7%0.6%0.5%-30.1K2.7M-5.6K67.4096.4253373,3042,296
2024-07-16$18.30$20.0016.1%4.6%9.5%17.2%13.0%-5.4%-4.4%-61.7K2.8M-6.5K0.2994.3572213,3042,501
2024-07-17$17.91$20.0018.2%5.2%11.6%22.2%18.1%7.4%0.0%-67.3K3.1M-6.3K2.7187.25511383,3042,521
2024-07-18$17.73$20.0017.7%5.1%11.9%21.0%17.7%9.4%67.6%-77.8K3.3M-6.3K2.6489.251112933,3152,630
2024-07-19$17.64$20.0018.8%5.4%11.7%23.6%18.9%9.9%2.5%-102.3K3.5M-7.0K3.8291.9622843,3372,885
2024-07-22$17.94$20.0019.1%5.5%13.5%24.3%19.6%4.3%4.7%-106.2K3.4M-7.4K2.1183.299193,2892,951
2024-07-23$17.94$20.0019.4%5.6%13.4%25.0%19.2%4.0%9.0%-105.5K3.4M-7.3K0.2983.5549143,2962,963
2024-07-24$17.91$20.0016.9%4.9%13.2%19.1%21.9%8.9%9.6%-108.6K3.4M-7.4K1.8897.9016303,2952,973
2024-07-25$18.09$20.0018.6%5.3%13.9%23.0%18.4%3.5%5.3%-110.5K3.3M-7.0K0.2982.3352153,3002,990
2024-07-26$18.43$20.0018.2%5.2%14.8%22.0%12.2%-1.2%-1.3%-87.5K2.8M-8.2K0.5086.51633,3272,994
2024-07-29$18.38$20.0019.9%5.7%14.8%26.1%15.1%-2.8%5.7%-90.6K3.0M-6.9K0.1688.0769113,3302,992
2024-07-30$18.19$20.0016.5%4.7%15.0%18.2%21.3%6.4%11.6%-103.5K3.3M-6.8K44.0085.131443,3453,000
2024-07-31$18.05$20.0020.0%5.7%14.9%26.3%22.3%5.7%6.4%-114.5K3.4M-6.9K3.0092.01371113,3463,036