OCSL Options History — August 2024

In August 2024, OCSL traded between $15.75 and $17.48. ATM implied volatility averaged 28.5%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.6% (HV 20d: 31.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 5.58.

Notable Days

  • 2024-08-02: Highest Volume — 1,741 contracts
  • 2024-08-05: Largest IV spike — 228.8% change
  • 2024-08-08: Highest IV Rank — 100.0%
  • 2024-08-09: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.66$15.75$17.48$17.48$17.05
Max Pain$17.73$17.50$20.00$20.00$17.50
ATM IV28.5%12.1%65.9%15.8%14.1%
Expected Move6.8%3.5%16.0%4.5%4.1%
HV 20d31.1%18.3%33.9%18.3%21.7%
HV 60d21.0%14.4%21.9%14.4%21.6%
IV Rank37.9%5.8%100.0%16.5%9.4%
IV Percentile64.3%7.9%100.0%36.1%25.0%
Term Structure-2.4%-55.9%75.6%5.3%-1.9%
VWIV24.6%10.7%59.1%15.9%17.8%
Skew 25d56.3%-93.6%219.2%2.0%9.7%
Skew 10d105.7%-20.5%281.5%3.0%9.7%
Call IV 25d42.7%9.3%112.8%18.8%9.3%
Put IV 25d99.0%13.6%269.1%20.8%19.0%
Bid-Ask Spread %98.3771.22122.8289.2486.92
Gamma HHI0.680.480.970.970.54
Net GEX-48.6K-168.1K-25.5K-168.1K-25.5K
Net DEX2.0M1.5M4.4M4.0M1.6M
Net VEX-5.0K-6.5K-2.9K-6.1K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.580.0051.000.900.00
Total Volume200.27361,7413236
Total OI4,321.7732,4096,6166,4453,100

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$17.48$20.0015.8%4.5%18.3%16.5%15.9%2.0%5.3%-168.1K4.0M-6.1K0.9089.241701533,3313,114
2024-08-02$16.48$20.0014.4%4.1%26.9%13.2%22.8%7.1%-2.0%-53.4K4.4M-5.8K34.5398.93491,6923,3913,225
2024-08-05$15.75$17.5047.4%10.0%29.9%90.8%58.6%19.5%21.1%-40.2K2.3M-3.7K2.68114.361544123,4071,840
2024-08-06$16.14$17.5049.1%7.6%32.1%94.8%20.4%115.9%-12.4%-47.4K2.1M-3.9K3.90117.21411603,3991,762
2024-08-07$16.05$17.5029.4%7.2%32.0%48.4%32.2%3.0%-7.7%-45.6K2.0M-4.8K0.21117.8489193,4161,881
2024-08-08$16.18$17.5064.0%9.3%32.4%100.0%0.0%3.4%-14.5%-56.8K2.0M-4.8K0.72102.7625183,4361,879
2024-08-09$16.09$17.5061.7%16.0%32.4%95.8%59.1%60.1%-55.9%-49.2K2.0M-4.6K0.77115.9735273,4611,890
2024-08-12$16.16$17.5065.9%12.6%32.6%100.0%0.0%2.1%-34.0%-51.7K2.1M-4.1K51.00106.581513,4571,896
2024-08-13$16.27$17.5050.3%11.5%32.9%72.7%27.0%-0.6%-6.7%-58.7K2.2M-3.1K0.70122.8233233,4581,897
2024-08-14$16.49$17.5020.2%5.8%33.0%19.9%21.7%104.2%4.6%-50.8K2.2M-2.9K3.72108.5618673,4911,900
2024-08-15$16.80$17.5019.8%5.7%33.9%19.3%0.0%184.8%75.6%-71.9K2.0M-4.1K0.17106.1195163,4891,945
2024-08-16$16.77$17.5022.6%6.5%33.9%24.1%21.2%159.1%-3.1%-45.3K2.0M-4.5K7.67106.453233,5821,951
2024-08-19$16.88$17.5018.8%5.4%33.3%17.5%10.7%133.3%9.6%-50.1K1.6M-4.5K0.2394.95200468021,607
2024-08-20$16.87$17.5019.3%5.5%33.3%18.4%29.8%10.9%6.8%-38.8K1.6M-4.7K10.2096.905519871,612
2024-08-21$16.98$17.5021.3%6.1%33.5%21.9%20.6%176.3%-12.6%-37.2K1.5M-5.4K0.4098.36129529921,647
2024-08-22$16.95$17.5022.9%6.6%33.1%24.7%21.5%219.2%-10.0%-28.8K1.5M-6.0K4.3186.13552371,1071,695
2024-08-23$17.02$17.5017.5%5.0%32.2%15.2%0.0%-41.6%-7.7%-35.1K1.5M-6.5K0.0078.443401,1381,830
2024-08-26$16.96$17.5013.4%3.9%32.2%8.1%12.5%156.3%-1.3%-32.5K1.7M-5.9K0.2571.222871,1381,830
2024-08-27$17.09$17.5012.1%3.5%32.4%5.8%13.6%3.0%-1.1%-30.7K1.5M-6.5K0.0477.585521,1561,827
2024-08-28$16.98$17.5014.1%4.1%32.4%9.4%11.9%4.5%-4.2%-26.0K1.6M-6.4K0.0083.825101,2051,829
2024-08-29$17.02$17.5013.6%3.9%30.5%8.4%17.8%-93.6%-1.8%-26.2K1.6M-6.3K0.3583.0355191,2501,829
2024-08-30$17.05$17.5014.1%4.1%21.7%9.4%0.0%9.7%-1.9%-25.5K1.6M-6.3K0.0086.92601,2631,837