OCSL Options History — October 2024

In October 2024, OCSL traded between $16.09 and $16.59. ATM implied volatility averaged 23.2%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 9.2% (HV 20d: 14.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.58.

Notable Days

  • 2024-10-09: Highest Volume — 125 contracts
  • 2024-10-22: Largest IV spike — 493.4% change
  • 2024-10-22: Highest IV Rank — 100.0%
  • 2024-10-22: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.36$16.09$16.59$16.38$16.26
Max Pain$17.28$15.00$17.50$15.00$17.50
ATM IV23.2%8.8%67.2%19.7%20.7%
Expected Move6.0%2.5%19.3%5.6%5.9%
HV 20d14.1%11.0%17.5%17.3%13.5%
HV 60d20.9%14.1%22.6%22.5%14.1%
IV Rank24.9%0.0%100.0%19.1%20.3%
IV Percentile54.7%0.4%100.0%63.9%66.7%
Term Structure-0.2%-83.3%15.3%-3.2%-2.2%
VWIV30.3%9.3%74.5%55.2%18.1%
Skew 25d2.0%-2.9%9.0%4.7%-1.6%
Skew 10d5.2%-0.9%11.2%9.2%1.4%
Call IV 25d15.5%9.1%23.0%19.2%23.0%
Put IV 25d17.5%12.2%24.2%23.9%21.3%
Bid-Ask Spread %95.1169.73112.51109.3490.76
Gamma HHI0.790.660.920.920.73
Net GEX19.1K9.0K26.7K21.8K19.3K
Net DEX526.3K402.4K633.4K511.8K523.8K
Net VEX-5.9K-7.4K-4.7K-5.1K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0010.5010.500.25
Total Volume231125235
Total OI3,339.8263,2363,3913,2363,359

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-10-01$16.38$15.0019.7%5.6%17.3%19.1%55.2%4.7%-3.2%21.8K511.8K-5.1K10.50109.342211,8881,348
2024-10-02$16.29$15.0021.5%6.2%17.3%22.2%53.3%4.2%-3.7%14.9K589.5K-5.8K0.00112.514101,8891,360
2024-10-03$16.39$17.5028.1%4.3%17.5%33.9%9.3%7.8%6.6%19.0K524.2K-5.9K0.7598.43861,9031,360
2024-10-04$16.38$17.5023.8%3.6%16.5%26.4%9.5%6.1%5.7%11.8K633.4K-5.1K0.0798.521511,9291,366
2024-10-07$16.32$17.5026.1%3.6%16.5%30.4%0.0%4.8%5.6%10.8K628.2K-5.1K0.0499.062511,9401,367
2024-10-08$16.39$17.5028.2%3.3%16.5%34.0%14.8%4.8%7.7%9.0K609.5K-4.9K0.77100.7230231,9421,368
2024-10-09$16.45$17.508.8%2.5%15.8%0.0%38.2%-0.9%7.8%18.7K613.6K-5.8K1.1993.1257681,9171,379
2024-10-10$16.29$17.5011.6%3.3%15.9%4.9%0.0%2.0%6.3%17.8K568.7K-5.2K0.0093.02101,9601,381
2024-10-11$16.32$17.5012.0%3.4%15.7%5.6%15.3%-1.2%6.9%22.0K436.4K-7.4K1.30101.4920261,9611,381
2024-10-14$16.38$17.5013.0%3.7%12.1%7.4%0.0%0.8%6.0%22.6K402.4K-7.4K0.14107.662231,9711,394
2024-10-15$16.36$17.5013.1%3.7%11.4%7.5%0.0%1.4%6.7%18.2K489.6K-6.8K1.5090.6710151,9881,396
2024-10-16$16.54$17.5014.5%4.2%11.5%10.1%0.0%3.5%6.5%26.7K466.4K-5.2K1.00100.78111,9781,411
2024-10-17$16.52$17.5013.9%4.0%11.1%9.0%30.6%2.8%13.1%24.4K536.6K-5.2K0.6094.06531,9791,412
2024-10-18$16.59$17.5014.6%4.2%11.1%10.2%0.0%9.0%10.8%24.2K485.8K-6.1K1.4483.759131,9761,411
2024-10-21$16.59$17.5011.3%3.2%11.0%4.4%0.0%-1.3%14.0%23.7K564.5K-5.3K1.4379.5914201,9541,417
2024-10-22$16.21$17.5067.2%19.3%14.1%100.0%14.1%-2.4%-35.7%19.2K478.1K-6.5K1.5096.04231,9581,407
2024-10-23$16.09$17.5059.6%17.1%14.0%87.0%35.6%-1.6%-83.3%17.6K503.7K-6.3K0.7597.04431,9601,408
2024-10-24$16.29$17.5022.7%6.5%14.0%23.7%0.0%3.6%-2.4%13.7K616.9K-4.7K0.0095.10101,9561,409
2024-10-25$16.34$17.5020.1%5.8%12.3%19.4%74.5%2.0%8.4%20.7K413.2K-6.1K2.8893.468231,9571,409
2024-10-28$16.39$17.5018.3%5.2%12.3%16.2%24.7%-2.7%-0.9%21.6K429.0K-6.5K7.0069.73171,9591,394
2024-10-29$16.20$17.5043.9%12.6%12.9%60.2%18.1%-2.9%15.3%18.8K598.6K-5.7K0.2596.48821,9601,395
2024-10-30$16.38$17.5021.3%6.1%13.4%21.4%0.0%2.2%-1.5%21.9K480.6K-6.5K0.0086.14011,9641,395
2024-10-31$16.26$17.5020.7%5.9%13.5%20.3%0.0%-1.6%-2.2%19.3K523.8K-6.5K0.0090.76051,9641,395