CTRE Options History — October 2016

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

In October 2016, CTRE traded between $13.53 and $14.70. ATM implied volatility averaged 28.2%. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 1.7% (HV 20d: 26.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.03.

Notable Days

2016-10-03: Highest Volume — 132 contracts
2016-10-13: Largest IV spike — 51.3% change
2016-10-05: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.09	$13.53	$14.70	$14.70	$14.03
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	28.2%	20.0%	40.7%	29.9%	31.4%
Expected Move	7.6%	5.7%	11.2%	8.6%	9.0%
HV 20d	26.4%	23.9%	28.9%	28.8%	26.0%
HV 60d	25.3%	23.2%	26.0%	23.2%	26.0%
Term Structure	0.2%	-9.8%	13.2%	-4.0%	1.9%
VWIV	27.1%	13.4%	39.9%	31.6%	28.6%
Skew 25d	1.7%	-16.0%	16.7%	3.6%	1.9%
Skew 10d	-0.7%	-11.0%	11.6%	5.6%	-10.1%
Call IV 25d	27.3%	14.3%	35.6%	27.4%	29.6%
Put IV 25d	29.0%	19.1%	41.5%	30.9%	31.6%
Bid-Ask Spread %	100.60	58.08	121.14	121.14	115.72
Gamma HHI	0.54	0.39	0.71	0.71	0.43
Net GEX	3.2K	-240	6.9K	6.9K	21
Net DEX	13.1K	-55.8K	55.5K	-55.8K	53.3K
Net VEX	-660	-770	-575	-736	-653
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.08	1.84	1.59	0.08
Total Volume	99.905	51	132	132	55
Total OI	323.143	301	378	323	307

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
2016-10-03	$14.70	$15.00	29.9%	8.6%	28.8%	0.0%	31.6%	3.6%	-4.0%	6.9K	-55.8K	-736	1.59	121.14	51	81	221	102
2016-10-04	$14.41	$15.00	27.2%	7.8%	27.7%	0.0%	28.1%	-0.3%	0.7%	6.5K	-47.8K	-743	1.59	58.08	51	81	221	102
2016-10-05	$13.88	$15.00	39.2%	11.2%	28.9%	0.0%	39.9%	-1.6%	-9.8%	5.0K	-38.2K	-706	1.59	110.59	51	81	221	102
2016-10-06	$13.85	$15.00	28.7%	8.3%	28.3%	0.0%	32.0%	8.9%	-3.7%	4.3K	10.2K	-626	1.59	94.31	51	81	221	102
2016-10-07	$13.68	$15.00	36.6%	7.3%	25.8%	0.0%	35.6%	-16.0%	-0.3%	3.8K	7.4K	-628	1.59	76.22	51	81	221	102
2016-10-10	$13.85	$15.00	33.5%	8.2%	26.3%	0.0%	19.5%	15.8%	8.4%	4.0K	12.3K	-613	1.59	65.29	51	81	221	102
2016-10-11	$13.53	$15.00	40.7%	7.2%	23.9%	0.0%	35.0%	-15.6%	0.4%	3.3K	16.3K	-575	1.59	73.93	51	81	221	102
2016-10-12	$14.01	$15.00	20.0%	5.7%	27.4%	0.0%	13.4%	16.7%	13.2%	4.6K	5.7K	-590	1.59	105.87	51	81	211	102
2016-10-13	$14.03	$15.00	30.3%	8.7%	27.2%	0.0%	32.8%	-0.9%	-7.6%	4.6K	3.9K	-588	1.59	109.70	51	81	211	102
2016-10-14	$14.07	$15.00	24.3%	7.0%	26.5%	0.0%	23.2%	8.4%	-0.1%	4.8K	6.8K	-578	1.59	119.01	51	81	211	102
2016-10-17	$14.11	$15.00	24.8%	7.1%	26.4%	0.0%	23.8%	9.3%	2.1%	4.9K	-9.2K	-581	1.84	118.19	44	81	211	102
2016-10-18	$14.35	$15.00	25.8%	7.4%	27.2%	0.0%	28.8%	3.3%	-1.7%	5.9K	-15.4K	-592	1.50	110.82	44	66	211	102
2016-10-19	$14.47	$15.00	23.6%	6.8%	27.2%	0.0%	20.3%	10.6%	6.4%	4.1K	30.3K	-770	1.50	118.60	44	66	211	162
2016-10-20	$14.38	$15.00	25.0%	7.2%	25.9%	0.0%	27.3%	-3.9%	-0.4%	4.0K	46.4K	-751	0.17	110.09	47	8	211	162
2016-10-21	$14.26	$15.00	24.7%	7.1%	25.7%	0.0%	27.3%	-2.0%	0.2%	-76	50.1K	-735	0.18	68.82	44	8	214	164
2016-10-24	$14.29	$15.00	22.7%	6.5%	25.7%	0.0%	21.0%	3.7%	-5.4%	48	30.8K	-715	0.09	110.58	47	4	161	140
2016-10-25	$14.19	$15.00	24.4%	7.0%	25.0%	0.0%	22.7%	2.1%	2.8%	-226	31.9K	-705	0.08	105.23	51	4	167	140
2016-10-26	$14.14	$15.00	26.6%	7.6%	24.6%	0.0%	23.9%	1.6%	4.8%	82	33.2K	-700	0.08	111.45	51	4	167	140
2016-10-27	$13.82	$15.00	24.6%	7.0%	25.2%	0.0%	28.6%	-7.6%	-2.6%	-94	55.5K	-631	0.08	102.74	51	4	167	140
2016-10-28	$13.81	$15.00	27.4%	7.9%	25.1%	0.0%	24.9%	-2.6%	-0.8%	-240	46.9K	-643	0.08	106.14	51	4	167	140
2016-10-31	$14.03	$15.00	31.4%	9.0%	26.0%	0.0%	28.6%	1.9%	1.9%	21	53.3K	-653	0.08	115.72	51	4	167	140