CTRE Options History — August 2016

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

In August 2016, CTRE traded between $14.08 and $15.15. ATM implied volatility averaged 27.0%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 7.2% (HV 20d: 19.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.87.

Notable Days

2016-08-15: Highest Volume — 194 contracts
2016-08-10: Largest IV drop — 16.1% change
2016-08-03: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.70	$14.08	$15.15	$14.40	$14.88
Max Pain	$12.83	$12.50	$15.00	$15.00	$12.50
ATM IV	27.0%	21.4%	36.0%	28.3%	28.1%
Expected Move	7.3%	5.8%	10.0%	8.1%	8.1%
HV 20d	19.8%	16.2%	22.3%	18.8%	20.7%
HV 60d	20.4%	19.2%	21.5%	21.0%	19.4%
Term Structure	-1.7%	-9.7%	6.1%	-3.3%	-5.0%
VWIV	26.8%	19.3%	34.4%	28.9%	28.8%
Skew 25d	7.1%	-3.9%	24.3%	1.6%	3.2%
Skew 10d	7.6%	-5.4%	37.6%	0.8%	6.1%
Call IV 25d	30.3%	22.9%	38.4%	28.6%	38.4%
Put IV 25d	37.4%	28.1%	59.5%	30.2%	41.5%
Bid-Ask Spread %	117.22	79.75	128.84	121.39	122.88
Gamma HHI	0.54	0.37	0.66	0.50	0.65
Net GEX	3.2K	1.2K	6.1K	1.5K	5.2K
Net DEX	-46.3K	-89.7K	-3.8K	-14.0K	-50.6K
Net VEX	-671	-768	-533	-593	-717
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.00	1.38	0.88	1.25
Total Volume	150.435	0	194	171	178
Total OI	229.826	189	286	189	286

Daily Data (23 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
2016-08-01	$14.40	$15.00	28.3%	8.1%	18.8%	0.0%	28.9%	1.6%	-3.3%	1.5K	-14.0K	-593	0.88	121.39	91	80	108	81
2016-08-02	$14.08	$15.00	32.7%	9.4%	18.3%	0.0%	33.0%	6.8%	-3.4%	1.2K	-8.2K	-596	0.88	118.78	91	80	108	81
2016-08-03	$14.08	$15.00	34.9%	10.0%	17.8%	0.0%	34.4%	7.7%	-9.5%	1.3K	-4.8K	-593	0.88	120.00	91	80	108	81
2016-08-04	$14.08	$12.50	36.0%	6.9%	16.5%	0.0%	32.9%	3.7%	4.2%	1.2K	-3.8K	-580	0.88	122.14	91	80	108	81
2016-08-05	$14.23	$12.50	33.5%	6.7%	16.3%	0.0%	33.0%	4.2%	3.4%	1.4K	-5.4K	-577	0.88	119.01	91	80	108	81
2016-08-08	$14.49	$12.50	28.8%	7.7%	16.2%	0.0%	29.4%	-0.1%	-2.6%	1.6K	-23.4K	-608	1.16	105.05	69	80	108	81
2016-08-09	$14.87	$12.50	27.8%	5.8%	18.5%	0.0%	19.3%	5.0%	4.1%	2.2K	-33.7K	-533	1.16	128.84	69	80	111	81
2016-08-10	$14.85	$12.50	23.3%	6.7%	18.5%	0.0%	24.0%	2.5%	-2.1%	2.3K	-41.2K	-615	1.10	125.33	73	80	111	81
2016-08-11	$14.84	$12.50	22.7%	6.5%	17.8%	0.0%	23.2%	4.5%	1.6%	2.1K	-34.4K	-561	0.90	125.38	89	80	115	81
2016-08-12	$15.08	$12.50	23.9%	6.8%	18.5%	0.0%	22.8%	24.3%	-0.6%	2.4K	-53.5K	-626	0.71	110.02	113	80	135	81
2016-08-15	$15.15	$12.50	25.1%	7.2%	18.5%	0.0%	25.3%	15.1%	-1.7%	3.5K	-78.2K	-720	0.70	123.70	114	80	160	81
2016-08-16	$14.66	$12.50	25.6%	7.3%	22.3%	0.0%	26.2%	3.5%	0.1%	3.0K	-45.1K	-702	0.70	122.06	114	80	161	81
2016-08-17	$14.70	$12.50	23.3%	6.7%	22.0%	0.0%	0.0%	6.2%	-4.4%	3.1K	-58.8K	-750	0.10	124.93	10	1	161	81
2016-08-18	$14.68	$12.50	22.9%	6.6%	21.8%	0.0%	0.0%	7.2%	-2.2%	3.6K	-53.1K	-738	0.00	124.79	0	0	171	82
2016-08-19	$14.50	$12.50	23.8%	6.8%	21.4%	0.0%	25.2%	6.7%	3.4%	3.2K	-40.6K	-742	0.82	124.20	99	81	171	82
2016-08-22	$14.55	$12.50	21.9%	6.3%	21.5%	0.0%	21.2%	11.5%	6.1%	3.1K	-41.8K	-715	0.77	124.57	103	79	167	80
2016-08-23	$14.85	$12.50	21.4%	6.1%	22.1%	0.0%	21.3%	12.6%	3.0%	4.9K	-70.7K	-762	0.77	85.91	103	79	177	80
2016-08-24	$14.93	$12.50	24.1%	6.9%	21.8%	0.0%	24.4%	3.3%	-7.0%	4.2K	-80.0K	-768	0.00	110.83	3	0	177	80
2016-08-25	$15.11	$12.50	27.2%	7.8%	22.0%	0.0%	23.4%	12.6%	-2.4%	5.6K	-85.9K	-746	0.82	79.75	96	79	180	80
2016-08-26	$15.00	$12.50	27.7%	7.9%	22.3%	0.0%	28.0%	-3.9%	-5.3%	5.5K	-89.7K	-751	1.10	111.72	72	79	186	80
2016-08-29	$15.02	$12.50	30.0%	8.6%	22.2%	0.0%	30.0%	21.8%	-9.7%	6.1K	-88.7K	-714	1.38	121.12	72	99	186	80
2016-08-30	$15.02	$12.50	28.0%	8.0%	20.2%	0.0%	28.1%	3.4%	-4.9%	5.6K	-60.5K	-718	1.38	123.63	72	99	186	100
2016-08-31	$14.88	$12.50	28.1%	8.1%	20.7%	0.0%	28.8%	3.2%	-5.0%	5.2K	-50.6K	-717	1.25	122.88	79	99	186	100