CTRE Options History — November 2016

In November 2016, CTRE traded between $13.14 and $14.40. ATM implied volatility averaged 27.8%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.3% (HV 20d: 26.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.26.

Notable Days

2016-11-14: Highest Volume — 121 contracts
2016-11-25: Largest IV spike — 41.7% change
2016-11-08: Highest IV Rank — 63.6%
2016-11-01: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.77	$13.14	$14.40	$13.76	$14.10
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	27.8%	18.2%	36.0%	36.0%	30.4%
Expected Move	7.5%	5.2%	10.3%	10.3%	8.7%
HV 20d	26.6%	23.2%	29.5%	25.9%	28.3%
HV 60d	27.0%	25.6%	28.0%	26.0%	27.1%
IV Rank	46.2%	31.5%	63.6%	63.6%	53.5%
IV Percentile	34.3%	0.7%	84.1%	84.1%	66.0%
Term Structure	-4.5%	-18.5%	10.0%	-1.9%	-12.4%
VWIV	26.9%	21.5%	33.4%	33.4%	27.0%
Skew 25d	3.8%	-4.7%	16.7%	-3.6%	5.5%
Skew 10d	5.6%	-12.7%	24.0%	-4.9%	-1.8%
Call IV 25d	24.1%	16.9%	34.7%	34.0%	34.7%
Put IV 25d	27.9%	21.3%	40.2%	30.4%	40.2%
Bid-Ask Spread %	100.80	34.98	118.41	113.34	116.16
Gamma HHI	0.49	0.45	0.54	0.45	0.49
Net GEX	-179	-1.0K	282	-84	-233
Net DEX	86.6K	18.7K	144.5K	62.6K	53.7K
Net VEX	-488	-605	-354	-604	-495
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.08	0.72	0.08	0.72
Total Volume	88.381	55	121	55	79
Total OI	329.762	307	361	307	335

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
2016-11-01	$13.76	$15.00	36.0%	10.3%	25.9%	0.0%	33.4%	-3.6%	-1.9%	-84	62.6K	-604	0.08	113.34	51	4	167	140
2016-11-02	$13.50	$15.00	30.0%	8.6%	23.3%	0.0%	26.8%	-4.3%	-10.1%	-112	96.4K	-466	0.08	93.83	51	4	167	140
2016-11-03	$13.14	$0.00	33.7%	8.2%	25.0%	0.0%	0.0%	-4.2%	-18.5%	98	99.8K	-399	0.08	114.02	51	4	167	140
2016-11-04	$13.42	$0.00	27.6%	6.2%	26.1%	0.0%	0.0%	1.2%	-1.4%	-53	98.2K	-449	0.08	76.60	51	4	167	140
2016-11-07	$13.71	$0.00	35.9%	6.5%	26.9%	0.0%	0.0%	2.9%	-4.2%	-278	86.3K	-470	0.08	118.41	51	4	167	140
2016-11-08	$13.41	$0.00	36.0%	7.3%	26.8%	63.6%	0.0%	4.5%	-2.3%	-283	89.9K	-487	0.08	57.30	51	4	167	140
2016-11-09	$13.39	$0.00	25.9%	7.4%	23.3%	45.4%	27.8%	3.5%	-2.3%	-62	95.8K	-448	0.53	116.30	51	27	167	140
2016-11-10	$13.36	$15.00	27.3%	7.8%	23.2%	47.9%	29.2%	-0.1%	-2.1%	242	144.5K	-354	0.53	116.55	51	27	167	164
2016-11-11	$13.54	$15.00	29.0%	8.3%	23.8%	51.1%	25.3%	8.6%	-2.0%	-379	132.3K	-398	0.53	115.81	51	27	167	164
2016-11-14	$13.93	$15.00	22.1%	6.3%	26.1%	38.5%	27.0%	4.0%	10.0%	-1.0K	107.1K	-499	0.29	79.15	94	27	167	164
2016-11-15	$13.56	$15.00	26.0%	7.5%	26.9%	45.6%	27.4%	-4.7%	-8.4%	191	103.7K	-505	0.29	114.34	94	27	197	164
2016-11-16	$13.61	$15.00	31.8%	9.1%	26.7%	56.0%	30.8%	10.5%	0.1%	268	97.1K	-543	0.29	106.54	94	27	197	164
2016-11-17	$13.60	$15.00	32.4%	9.3%	26.6%	57.1%	27.5%	10.0%	1.2%	282	104.7K	-518	0.29	108.69	94	27	197	164
2016-11-18	$13.82	$15.00	23.5%	6.7%	27.4%	41.1%	29.8%	16.7%	-2.7%	263	118.6K	-441	0.29	105.38	94	27	197	164
2016-11-21	$13.83	$15.00	21.1%	6.0%	27.3%	36.7%	24.0%	1.2%	-5.3%	-240	74.9K	-545	0.20	34.98	87	17	183	154
2016-11-22	$14.26	$0.00	21.9%	6.3%	29.5%	38.2%	27.7%	9.6%	-4.7%	-594	62.0K	-506	0.19	104.57	91	17	186	144
2016-11-23	$14.21	$0.00	18.2%	5.2%	29.5%	31.5%	21.5%	7.6%	-3.1%	-348	62.3K	-506	0.18	93.86	94	17	188	144
2016-11-25	$14.32	$0.00	25.8%	7.4%	28.3%	45.2%	23.4%	-1.6%	-17.0%	-638	53.4K	-508	0.18	106.47	94	17	191	144
2016-11-28	$14.25	$0.00	27.5%	7.9%	28.4%	48.3%	25.3%	8.4%	-10.7%	-496	56.7K	-503	0.18	116.77	94	17	191	144
2016-11-29	$14.40	$0.00	22.8%	6.5%	28.1%	39.8%	23.9%	4.5%	2.3%	-293	18.7K	-605	0.37	107.82	46	17	191	144
2016-11-30	$14.10	$0.00	30.4%	8.7%	28.3%	53.5%	27.0%	5.5%	-12.4%	-233	53.7K	-495	0.72	116.16	46	33	191	144