OCSL Options History — September 2024

In September 2024, OCSL traded between $15.91 and $17.02. ATM implied volatility averaged 24.3%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 10.5% (HV 20d: 13.8%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.39.

Notable Days

2024-09-17: Highest Volume — 358 contracts
2024-09-13: Largest IV spike — 158.1% change
2024-09-17: Highest IV Rank — 80.2%
2024-09-17: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.33	$15.91	$17.02	$17.02	$16.34
Max Pain	$17.00	$15.00	$20.00	$17.50	$15.00
ATM IV	24.3%	14.1%	54.6%	15.3%	26.3%
Expected Move	7.4%	4.0%	15.6%	4.4%	7.5%
HV 20d	13.8%	10.5%	17.2%	12.9%	17.2%
HV 60d	21.8%	21.2%	22.5%	21.6%	22.5%
IV Rank	27.2%	9.3%	80.2%	11.3%	30.6%
IV Percentile	67.7%	24.2%	98.8%	34.1%	89.7%
Term Structure	-0.8%	-62.5%	24.6%	-2.7%	4.4%
VWIV	32.6%	14.2%	76.5%	49.4%	40.2%
Skew 25d	16.6%	-10.8%	87.0%	9.1%	6.0%
Skew 10d	40.4%	-7.6%	179.0%	9.1%	1.4%
Call IV 25d	30.9%	10.7%	116.5%	10.7%	17.0%
Put IV 25d	47.5%	11.5%	196.0%	19.8%	23.0%
Bid-Ask Spread %	107.15	77.88	124.21	83.77	77.88
Gamma HHI	0.57	0.34	0.86	0.50	0.77
Net GEX	-15.5K	-43.4K	22.2K	-21.3K	22.2K
Net DEX	1.2M	347.0K	1.8M	1.5M	464.4K
Net VEX	-5.9K	-8.1K	-3.9K	-6.6K	-6.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.39	0.00	21.60	0.03	2.30
Total Volume	83.75	8	358	35	33
Total OI	3,067.65	2,807	3,211	3,110	3,211

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
2024-09-03	$17.02	$17.50	15.3%	4.4%	12.9%	11.3%	49.4%	9.1%	-2.7%	-21.3K	1.5M	-6.6K	0.03	83.77	34	1	1,273	1,837
2024-09-04	$16.91	$17.50	14.1%	4.0%	10.8%	9.3%	0.0%	4.0%	-3.3%	-25.4K	1.8M	-5.2K	4.29	90.87	7	30	1,278	1,837
2024-09-05	$16.91	$17.50	16.1%	13.6%	10.5%	12.7%	0.0%	7.8%	6.1%	-26.2K	1.7M	-6.0K	0.09	117.28	22	2	1,279	1,867
2024-09-06	$16.62	$17.50	25.9%	5.4%	12.4%	30.0%	0.0%	-10.8%	-4.1%	-29.6K	1.8M	-5.0K	21.60	120.57	5	108	1,279	1,868
2024-09-09	$16.57	$17.50	32.3%	15.4%	12.3%	41.2%	76.5%	49.3%	0.3%	-33.7K	1.7M	-5.4K	1.17	124.21	70	82	1,279	1,905
2024-09-10	$16.48	$20.00	39.3%	6.0%	12.4%	53.4%	16.0%	87.0%	1.9%	-43.4K	1.8M	-3.9K	1.83	119.67	6	11	1,259	1,876
2024-09-11	$16.27	$20.00	21.9%	6.3%	13.2%	22.9%	0.0%	78.8%	1.7%	-37.7K	1.7M	-5.0K	7.00	111.05	1	7	1,259	1,867
2024-09-12	$16.41	$20.00	18.8%	5.4%	12.6%	17.6%	0.0%	81.9%	1.4%	-33.3K	1.8M	-4.6K	0.86	116.51	42	36	1,258	1,848
2024-09-13	$16.54	$20.00	48.6%	13.9%	10.9%	69.7%	0.0%	16.4%	6.3%	-31.8K	1.6M	-5.8K	0.44	111.23	18	8	1,264	1,870
2024-09-16	$16.09	$20.00	24.3%	7.0%	14.5%	27.2%	30.9%	-1.3%	-8.8%	-31.3K	1.6M	-6.0K	0.16	106.18	51	8	1,226	1,876
2024-09-17	$15.93	$17.50	54.6%	15.6%	14.4%	80.2%	0.0%	-8.2%	-62.5%	-27.5K	1.3M	-5.8K	0.00	108.88	357	1	1,227	1,613
2024-09-18	$16.09	$15.00	18.8%	5.4%	15.1%	17.6%	0.0%	5.9%	8.5%	-5.8K	768.5K	-6.5K	0.03	117.03	65	2	1,567	1,500
2024-09-19	$15.98	$15.00	15.8%	4.5%	14.8%	12.3%	0.0%	2.2%	14.7%	-5.2K	790.9K	-6.4K	0.00	110.42	11	0	1,612	1,500
2024-09-20	$15.96	$15.00	17.4%	5.0%	14.8%	15.1%	17.1%	-7.6%	7.5%	-678	659.3K	-6.8K	6.92	110.50	12	83	1,613	1,495
2024-09-23	$16.06	$15.00	19.2%	5.5%	14.9%	18.2%	22.0%	3.9%	-9.3%	-1.5K	668.7K	-6.4K	0.18	106.93	50	9	1,467	1,340
2024-09-24	$16.05	$15.00	20.4%	5.8%	15.0%	20.3%	14.2%	0.5%	-12.0%	-4.2K	762.0K	-6.1K	0.24	102.38	72	17	1,480	1,340
2024-09-25	$15.91	$15.00	21.4%	6.1%	14.6%	22.0%	27.1%	1.6%	24.6%	3.7K	347.0K	-8.1K	0.11	101.42	209	23	1,538	1,342
2024-09-26	$16.11	$15.00	20.7%	5.9%	15.6%	20.9%	0.0%	2.7%	11.8%	8.7K	611.6K	-6.5K	0.50	100.62	40	20	1,743	1,365
2024-09-27	$16.41	$15.00	15.3%	4.4%	17.2%	11.4%	40.2%	2.3%	-2.3%	13.3K	572.2K	-5.5K	0.04	105.69	117	5	1,769	1,326
2024-09-30	$16.34	$15.00	26.3%	7.5%	17.2%	30.6%	0.0%	6.0%	4.4%	22.2K	464.4K	-6.7K	2.30	77.88	10	23	1,886	1,325