OCSL Options History — December 2024

In December 2024, OCSL traded between $15.05 and $16.46. ATM implied volatility averaged 18.4%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.0% (HV 20d: 18.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2024-12-23: Highest Volume — 145 contracts
  • 2024-12-05: Largest IV spike — 65.5% change
  • 2024-12-10: Highest IV Rank — 33.5%
  • 2024-12-02: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.72$15.05$16.46$16.46$15.24
Max Pain$16.19$15.00$17.50$15.00$15.00
ATM IV18.4%9.4%28.4%21.1%10.7%
Expected Move4.7%2.7%6.1%6.1%3.1%
HV 20d18.4%15.7%21.9%19.0%18.0%
HV 60d16.9%15.4%17.9%16.7%17.4%
IV Rank16.5%1.1%33.5%21.1%3.3%
IV Percentile47.5%0.8%84.9%69.4%4.0%
Term Structure-2.2%-10.9%7.4%-3.9%5.5%
VWIV21.8%11.3%35.0%15.1%11.3%
Skew 25d40.2%-71.7%181.1%-23.6%-71.7%
Skew 10d70.1%-97.0%217.9%-5.1%-97.0%
Call IV 25d37.1%10.7%112.7%41.2%86.3%
Put IV 25d77.3%13.1%228.4%17.6%14.6%
Bid-Ask Spread %94.4271.66104.19102.0880.95
Gamma HHI0.600.450.900.760.46
Net GEX-2.8K-21.4K16.5K16.5K-5.7K
Net DEX548.2K180.5K1.3M180.5K349.9K
Net VEX-3.9K-6.1K-2.9K-3.3K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.0011.000.140.50
Total Volume48.667114589
Total OI2,555.0481,9893,0432,9762,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-12-02$16.46$15.0021.1%6.1%19.0%21.1%15.1%-23.6%-3.9%16.5K180.5K-3.3K0.14102.08711,5991,377
2024-12-03$16.26$15.0021.0%6.0%17.7%21.0%34.5%7.3%-6.9%13.1K490.0K-5.1K3.2594.6024781,6041,375
2024-12-04$16.34$15.0016.3%4.7%17.7%12.8%15.3%-1.9%-4.8%9.7K414.0K-4.8K0.5391.3130161,6141,420
2024-12-05$16.30$17.5026.9%4.8%15.9%31.1%0.0%166.5%-4.1%10.6K289.9K-5.3K0.6498.5950321,6121,431
2024-12-06$16.30$17.5025.2%4.1%15.8%28.1%0.0%74.4%-1.8%12.0K375.7K-5.8K11.0098.611111,6121,404
2024-12-09$16.37$17.5028.1%4.9%15.7%33.0%0.0%177.8%-1.5%12.8K546.2K-5.0K0.50102.81421,6121,414
2024-12-10$16.32$17.5028.4%5.0%15.7%33.5%0.0%179.3%-1.2%11.9K294.3K-6.1K0.2996.551751,6141,416
2024-12-11$16.14$17.5018.6%5.3%16.3%16.7%0.0%181.1%-5.1%-8.2K970.1K-3.2K0.23101.682251,2841,421
2024-12-12$16.20$17.5020.7%5.9%16.3%20.3%0.0%83.9%-10.9%-9.7K947.4K-3.3K0.0596.795931,3041,425
2024-12-13$15.96$17.5020.7%5.9%17.2%20.4%18.4%115.7%-2.3%-16.7K1.0M-2.9K3.6596.63311131,3071,424
2024-12-16$15.36$17.5018.7%5.4%21.9%17.0%24.4%-0.6%-5.7%-21.4K1.3M-4.1K0.4490.1545201,2231,530
2024-12-17$15.36$17.5014.4%4.1%21.7%9.6%32.4%-0.6%-5.5%-14.4K701.9K-2.9K0.58102.9577451,2471,039
2024-12-18$15.05$17.5018.4%5.3%20.4%16.5%18.7%10.4%-5.5%-16.3K702.2K-3.3K0.3199.7772221,2541,040
2024-12-19$15.18$15.0016.9%4.8%20.7%13.9%21.9%-1.3%-2.9%-13.3K671.2K-3.5K1.2091.81561,2711,059
2024-12-20$15.18$15.0016.7%4.8%20.7%13.5%35.0%2.3%-0.6%-9.4K422.6K-3.4K0.0096.950191,274881
2024-12-23$15.07$15.0013.4%3.8%19.7%7.9%0.0%5.6%7.4%-6.0K392.9K-3.1K1.1691.4967781,180809
2024-12-24$15.25$15.0013.1%3.8%19.9%7.4%12.8%17.7%3.3%-4.0K343.2K-3.4K1.14104.1914161,235856
2024-12-26$15.22$15.0012.7%3.6%19.9%6.7%0.0%-5.2%-4.6%-5.1K334.8K-3.4K0.0071.66301,249861
2024-12-27$15.26$15.0015.0%4.3%18.6%10.6%0.0%-2.9%-0.2%-7.2K361.8K-3.2K0.0084.591201,249861
2024-12-30$15.23$15.009.4%2.7%18.2%1.1%0.0%-71.0%4.7%-7.3K369.7K-3.1K0.0088.71101,268861
2024-12-31$15.24$15.0010.7%3.1%18.0%3.3%11.3%-71.7%5.5%-5.7K349.9K-2.9K0.5080.95631,269871