CTRE Options History — July 2016

Name: CTRE Options Analytics - July 2016
Creator: Options Analysis Suite

In July 2016, CTRE traded between $13.96 and $14.66. ATM implied volatility averaged 30.9%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 10.9% (HV 20d: 20.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2016-07-13: Highest Volume — 173 contracts
2016-07-12: Largest IV spike — 64.6% change
2016-07-01: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.43	$13.96	$14.66	$13.96	$14.46
Max Pain	$14.82	$12.50	$15.00	$12.50	$15.00
ATM IV	30.9%	22.7%	55.9%	37.6%	28.0%
Expected Move	7.5%	6.5%	10.8%	10.8%	8.0%
HV 20d	20.0%	17.9%	21.0%	17.9%	19.2%
HV 60d	21.7%	21.1%	22.4%	22.4%	21.1%
Term Structure	-1.5%	-26.5%	9.3%	-11.6%	-26.5%
VWIV	26.9%	19.8%	45.8%	45.8%	28.0%
Skew 25d	4.6%	-1.1%	15.2%	2.5%	15.2%
Skew 10d	3.2%	-1.4%	19.5%	-1.2%	6.5%
Call IV 25d	27.3%	18.4%	34.2%	24.5%	24.5%
Put IV 25d	32.0%	26.8%	39.6%	27.0%	39.6%
Bid-Ask Spread %	122.31	108.48	188.01	120.72	188.01
Gamma HHI	0.54	0.50	0.61	0.54	0.56
Net GEX	1.7K	1.1K	2.6K	2.2K	1.9K
Net DEX	-33.6K	-75.6K	-2.8K	-59.4K	-2.8K
Net VEX	-504	-649	-229	-251	-444
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.06	0.90	0.06	0.88
Total Volume	145.25	67	173	67	171
Total OI	159.95	90	195	90	189

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
2016-07-01	$13.96	$12.50	37.6%	10.8%	17.9%	0.0%	45.8%	2.5%	-11.6%	2.2K	-59.4K	-251	0.06	120.72	63	4	85	5
2016-07-05	$14.33	$0.00	36.1%	6.9%	19.5%	0.0%	0.0%	2.6%	4.4%	2.2K	-67.2K	-244	0.06	117.37	64	4	85	5
2016-07-06	$14.47	$0.00	34.7%	7.3%	19.7%	0.0%	0.0%	1.5%	-1.7%	2.4K	-70.2K	-240	0.06	120.20	64	4	85	5
2016-07-07	$14.19	$0.00	42.3%	7.6%	19.9%	0.0%	0.0%	9.2%	-1.9%	2.4K	-67.0K	-254	0.06	108.48	64	4	85	5
2016-07-08	$14.37	$0.00	41.8%	6.6%	20.2%	0.0%	0.0%	3.5%	4.8%	2.3K	-67.9K	-247	0.06	118.43	64	4	85	5
2016-07-11	$14.64	$0.00	34.0%	7.2%	21.0%	0.0%	0.0%	2.0%	1.3%	2.6K	-75.6K	-229	0.89	120.41	89	79	85	5
2016-07-12	$14.54	$0.00	55.9%	7.7%	19.9%	0.0%	25.8%	1.2%	-3.8%	1.2K	-26.5K	-641	0.90	116.54	89	80	110	80
2016-07-13	$14.59	$15.00	25.9%	7.4%	19.6%	0.0%	26.0%	2.6%	-1.8%	1.1K	-27.4K	-641	0.86	119.82	93	80	110	81
2016-07-14	$14.40	$15.00	28.5%	8.2%	20.5%	0.0%	28.6%	9.2%	-3.3%	1.3K	-26.0K	-649	0.86	116.91	93	80	114	81
2016-07-15	$14.38	$15.00	23.9%	6.8%	20.5%	0.0%	24.0%	9.2%	4.1%	1.1K	-24.3K	-641	0.86	121.94	93	80	114	81
2016-07-18	$14.43	$15.00	22.8%	6.5%	20.3%	0.0%	22.1%	-0.3%	4.3%	1.3K	-17.7K	-647	0.88	122.30	91	80	106	81
2016-07-19	$14.40	$15.00	27.8%	8.0%	20.3%	0.0%	27.9%	-1.1%	-1.5%	1.4K	-13.3K	-628	0.88	118.08	91	80	108	81
2016-07-20	$14.55	$15.00	23.8%	6.8%	20.4%	0.0%	24.7%	0.3%	-1.5%	1.3K	-17.7K	-606	0.88	120.30	91	80	108	81
2016-07-21	$14.42	$15.00	26.6%	7.6%	20.2%	0.0%	26.8%	4.9%	-0.9%	1.3K	-18.8K	-638	0.88	117.79	91	80	108	81
2016-07-22	$14.66	$15.00	24.1%	6.9%	20.5%	0.0%	23.5%	7.6%	1.4%	1.5K	-24.0K	-621	0.88	122.74	91	80	108	81
2016-07-25	$14.61	$15.00	27.6%	7.9%	20.7%	0.0%	27.9%	1.0%	-1.4%	1.5K	-21.6K	-605	0.88	119.95	91	80	108	81
2016-07-26	$14.42	$15.00	29.9%	8.6%	19.8%	0.0%	30.0%	2.9%	-7.5%	1.5K	-15.5K	-619	0.88	116.44	91	80	108	81
2016-07-27	$14.31	$15.00	22.7%	6.5%	20.0%	0.0%	19.8%	14.3%	9.3%	1.4K	-12.6K	-614	0.88	119.17	91	80	108	81
2016-07-28	$14.43	$15.00	23.9%	6.8%	19.7%	0.0%	23.0%	15.2%	3.8%	1.5K	-16.1K	-615	0.88	120.57	91	80	108	81
2016-07-29	$14.46	$15.00	28.0%	8.0%	19.2%	0.0%	28.0%	0.0%	-26.5%	1.9K	-2.8K	-444	0.88	188.01	91	80	108	81