CTRE Options History — June 2016 In June 2016, CTRE traded between $13.20 and $13.93. ATM implied volatility averaged 33.4%. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 10.9% (HV 20d: 22.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.09.
Notable Days 2016-06-22 : Highest Volume — 67 contracts2016-06-27 : Largest IV spike — 4248.6% change2016-06-29 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $13.57 $13.20 $13.93 $13.47 $13.76 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 33.4% 0.7% 50.6% 39.9% 38.3% Expected Move 9.1% 7.4% 11.5% 11.4% 11.0% HV 20d 22.5% 16.1% 27.6% 27.2% 18.8% Term Structure -6.1% -13.2% 5.8% -10.6% -13.2% VWIV 31.6% 25.6% 41.5% 28.8% 41.5% Skew 25d -1.8% -62.6% 9.0% -1.8% 4.7% Skew 10d 5.2% -0.6% 14.5% 4.0% 6.3% Call IV 25d 33.9% 23.3% 155.0% 28.8% 24.9% Put IV 25d 32.0% 24.6% 92.3% 27.0% 29.7% Bid-Ask Spread % 124.89 119.04 198.76 122.06 121.28 Gamma HHI 0.65 0.50 1.00 1.00 0.53 Net GEX 967 172 2.2K 172 2.2K Net DEX -23.5K -64.8K -10.2K -11.6K -50.8K Net VEX -99 -251 -20 -20 -230 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.09 0.06 0.31 0.08 0.06 Total Volume 31.091 14 67 14 67 Total OI 43.091 16 90 16 90
Daily Data (22 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 2016-06-01 $13.47 $0.00 39.9% 11.4% 0.0% 0.0% 0.0% -1.8% -10.6% 172 -11.6K -20 0.08 122.06 13 1 15 1 2016-06-02 $13.35 $12.50 39.8% 7.4% 27.2% 0.0% 0.0% -2.8% -2.8% 432 -13.9K -41 0.08 123.36 13 1 25 1 2016-06-03 $13.65 $12.50 41.9% 8.1% 27.6% 0.0% 0.0% -1.2% -3.3% 461 -14.6K -43 0.08 121.94 13 1 25 1 2016-06-06 $13.53 $12.50 45.8% 7.9% 27.1% 0.0% 0.0% 1.1% -6.1% 476 -14.4K -43 0.08 121.34 13 1 25 1 2016-06-07 $13.58 $12.50 50.6% 7.7% 26.3% 0.0% 0.0% 9.0% -1.3% 449 -14.2K -39 0.08 120.22 13 1 25 1 2016-06-08 $13.88 $12.50 28.8% 8.3% 26.5% 0.0% 0.0% 4.1% 2.4% 541 -15.7K -47 0.08 119.98 13 1 25 1 2016-06-09 $13.82 $12.50 29.0% 8.3% 26.0% 0.0% 28.8% 4.4% -5.0% 802 -14.4K -55 0.08 120.36 13 1 25 1 2016-06-10 $13.93 $12.50 29.0% 8.3% 25.5% 0.0% 27.9% 3.8% 5.8% 683 -16.8K -60 0.08 121.08 13 1 25 1 2016-06-13 $13.68 $12.50 31.1% 8.9% 26.3% 0.0% 30.6% 4.5% -7.6% 714 -15.6K -59 0.08 119.04 13 1 25 1 2016-06-14 $13.60 $12.50 32.3% 9.2% 26.4% 0.0% 29.5% 3.4% -5.0% 710 -14.6K -57 0.08 121.39 13 1 25 1 2016-06-15 $13.64 $12.50 32.5% 9.3% 26.4% 0.0% 30.8% 0.5% -6.6% 720 -14.6K -55 0.08 121.65 13 1 25 1 2016-06-16 $13.66 $12.50 32.9% 9.4% 23.6% 0.0% 32.6% 2.9% -9.3% 748 -14.4K -56 0.08 120.90 13 1 25 1 2016-06-17 $13.59 $12.50 31.1% 8.9% 22.0% 0.0% 29.3% 0.0% -8.0% 739 -14.0K -53 0.08 121.51 13 1 25 1 2016-06-20 $13.57 $12.50 31.1% 8.9% 19.7% 0.0% 31.6% 1.8% -10.1% 772 -14.5K -54 0.23 121.01 13 3 25 1 2016-06-21 $13.53 $12.50 31.0% 8.9% 19.6% 0.0% 31.4% -1.0% -9.3% 704 -12.4K -55 0.31 122.78 13 4 25 3 2016-06-22 $13.39 $12.50 29.7% 8.5% 17.0% 0.0% 29.8% -2.3% -5.6% 673 -10.2K -50 0.06 121.86 63 4 25 4 2016-06-23 $13.34 $12.50 30.8% 8.8% 16.1% 0.0% 32.0% -2.6% -8.0% 2.1K -41.2K -217 0.06 123.91 63 4 85 4 2016-06-24 $13.46 $12.50 0.7% 0.0% 16.3% 0.0% 0.0% -62.6% 0.0% 990 -64.8K -251 0.06 198.76 63 4 85 4 2016-06-27 $13.20 $12.50 30.4% 8.7% 17.8% 0.0% 25.6% -4.8% -2.1% 1.9K -37.5K -197 0.06 121.19 63 4 85 4 2016-06-28 $13.37 $12.50 37.2% 10.7% 17.8% 0.0% 35.4% -0.9% -11.0% 2.1K -44.7K -237 0.06 121.16 63 4 85 5 2016-06-29 $13.56 $12.50 40.2% 11.5% 18.5% 0.0% 37.3% 1.5% -12.2% 2.1K -51.6K -251 0.06 120.87 63 4 85 5 2016-06-30 $13.76 $12.50 38.3% 11.0% 18.8% 0.0% 41.5% 4.7% -13.2% 2.2K -50.8K -230 0.06 121.28 63 4 85 5
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