CTRE Options History — September 2016

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

In September 2016, CTRE traded between $14.19 and $15.83. ATM implied volatility averaged 28.9%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.6% (HV 20d: 28.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.69.

Notable Days

2016-09-02: Highest Volume — 179 contracts
2016-09-14: Largest IV drop — 54.8% change
2016-09-01: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.88	$14.19	$15.83	$14.72	$14.82
Max Pain	$14.76	$12.50	$15.00	$12.50	$15.00
ATM IV	28.9%	19.3%	56.2%	30.9%	29.1%
Expected Move	7.3%	5.5%	8.9%	8.9%	8.3%
HV 20d	28.3%	21.2%	31.2%	21.2%	30.8%
HV 60d	22.8%	19.1%	24.1%	19.1%	23.3%
Term Structure	0.3%	-4.7%	7.5%	-4.0%	-4.5%
VWIV	28.4%	19.5%	39.9%	29.9%	30.5%
Skew 25d	3.6%	-26.6%	16.9%	6.1%	4.3%
Skew 10d	8.8%	-1.3%	25.8%	5.8%	6.5%
Call IV 25d	27.0%	18.3%	51.3%	39.3%	25.7%
Put IV 25d	30.6%	22.9%	45.3%	45.3%	30.0%
Bid-Ask Spread %	99.52	53.17	123.21	123.21	121.00
Gamma HHI	0.70	0.53	0.89	0.65	0.71
Net GEX	5.5K	3.7K	8.2K	5.0K	6.8K
Net DEX	-64.3K	-141.5K	-23.2K	-49.2K	-71.9K
Net VEX	-726	-785	-643	-760	-784
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	1.24	2.41	1.25	1.59
Total Volume	148.571	132	179	178	132
Total OI	302.714	290	323	293	323

Daily Data (21 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
2016-09-01	$14.72	$12.50	30.9%	8.9%	21.2%	0.0%	29.9%	6.1%	-4.0%	5.0K	-49.2K	-760	1.25	123.21	79	99	193	100
2016-09-02	$15.17	$12.50	27.7%	8.0%	23.3%	0.0%	23.8%	5.7%	-4.7%	5.1K	-80.2K	-690	1.24	122.88	80	99	193	100
2016-09-06	$15.56	$15.00	28.8%	6.7%	24.0%	0.0%	22.2%	6.9%	7.5%	5.1K	-120.1K	-706	1.94	105.71	51	99	194	100
2016-09-07	$15.83	$15.00	30.1%	6.2%	23.1%	0.0%	27.6%	0.4%	4.4%	3.8K	-141.5K	-714	2.15	67.77	46	99	195	100
2016-09-08	$15.46	$15.00	30.2%	6.2%	25.0%	0.0%	30.1%	-26.6%	3.8%	5.3K	-114.0K	-740	2.15	121.57	46	99	190	100
2016-09-09	$14.89	$15.00	34.6%	6.4%	28.7%	0.0%	30.6%	0.4%	1.7%	5.6K	-69.6K	-731	2.15	70.00	46	99	190	100
2016-09-12	$14.95	$15.00	40.7%	8.0%	28.1%	0.0%	27.8%	9.9%	-0.1%	5.4K	-68.2K	-725	2.41	108.87	41	99	190	100
2016-09-13	$14.37	$15.00	56.2%	8.3%	31.2%	0.0%	35.3%	6.9%	-0.9%	4.7K	-25.5K	-687	1.79	112.10	56	100	192	100
2016-09-14	$14.34	$15.00	25.4%	7.3%	29.1%	0.0%	28.3%	3.8%	1.3%	5.3K	-34.3K	-753	1.79	53.17	56	100	212	101
2016-09-15	$14.19	$15.00	30.6%	8.8%	29.3%	0.0%	39.9%	3.7%	-4.6%	3.7K	-23.2K	-727	1.79	115.97	56	100	212	101
2016-09-16	$14.42	$15.00	23.5%	6.8%	30.0%	0.0%	31.0%	7.2%	0.5%	4.9K	-25.6K	-682	1.79	63.43	56	100	212	101
2016-09-19	$14.51	$15.00	25.5%	7.3%	29.7%	0.0%	31.1%	-0.8%	1.4%	4.9K	-29.4K	-676	1.82	98.65	55	100	195	101
2016-09-20	$14.56	$15.00	23.5%	6.7%	29.7%	0.0%	32.1%	-0.5%	3.6%	5.0K	-44.2K	-759	1.82	70.51	55	100	201	101
2016-09-21	$14.68	$15.00	26.8%	7.7%	28.9%	0.0%	29.8%	7.3%	-2.7%	3.9K	-37.0K	-643	1.47	114.00	55	81	201	101
2016-09-22	$15.00	$15.00	25.2%	7.2%	29.9%	0.0%	27.2%	14.0%	-3.5%	5.7K	-66.8K	-785	1.47	123.13	55	81	201	102
2016-09-23	$15.13	$15.00	21.8%	6.2%	29.8%	0.0%	21.9%	16.9%	2.3%	6.1K	-67.0K	-694	1.33	108.94	61	81	201	102
2016-09-26	$15.18	$15.00	26.3%	7.5%	29.7%	0.0%	27.3%	2.4%	-1.6%	5.8K	-76.2K	-692	1.33	104.12	61	81	211	102
2016-09-27	$14.90	$15.00	19.3%	5.5%	30.4%	0.0%	19.5%	-1.0%	4.2%	8.2K	-66.9K	-776	1.33	75.56	61	81	211	102
2016-09-28	$15.04	$15.00	22.9%	6.5%	30.6%	0.0%	22.9%	7.8%	5.9%	8.1K	-70.8K	-747	1.33	92.29	61	81	211	102
2016-09-29	$14.79	$15.00	27.7%	7.9%	31.1%	0.0%	28.2%	-0.1%	-3.1%	6.5K	-69.5K	-772	1.59	117.08	51	81	211	102
2016-09-30	$14.82	$15.00	29.1%	8.3%	30.8%	0.0%	30.5%	4.3%	-4.5%	6.8K	-71.9K	-784	1.59	121.00	51	81	221	102