CTRE Options History — December 2016

In December 2016, CTRE traded between $14.03 and $15.51. ATM implied volatility averaged 26.4%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.3% (HV 20d: 26.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2016-12-08: Highest Volume — 247 contracts
2016-12-14: Largest IV drop — 48.8% change
2016-12-12: Highest IV Rank — 71.8%
2016-12-01: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.02	$14.03	$15.51	$14.03	$15.36
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	26.4%	17.2%	40.5%	39.2%	27.1%
Expected Move	6.6%	4.9%	11.2%	11.2%	7.8%
HV 20d	26.1%	24.4%	28.2%	27.4%	24.4%
HV 60d	26.4%	25.0%	27.7%	26.8%	25.0%
IV Rank	46.3%	29.8%	71.8%	69.3%	47.5%
IV Percentile	34.2%	0.7%	94.0%	90.8%	39.5%
Term Structure	1.3%	-25.8%	6.7%	-25.8%	1.9%
VWIV	23.8%	17.2%	38.0%	38.0%	26.6%
Skew 25d	10.6%	-5.8%	42.1%	0.2%	1.6%
Skew 10d	17.4%	-8.9%	64.5%	-5.6%	9.4%
Call IV 25d	25.7%	17.3%	42.0%	17.3%	33.3%
Put IV 25d	36.2%	17.6%	73.8%	17.6%	34.8%
Bid-Ask Spread %	96.81	42.97	123.13	72.85	120.62
Gamma HHI	0.80	0.50	0.98	0.50	0.79
Net GEX	6.2K	-1.5K	15.5K	-200	5.2K
Net DEX	-116.7K	-213.2K	91.1K	91.1K	-194.7K
Net VEX	-982	-1.2K	-493	-493	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.34	0.91	0.67	0.69
Total Volume	192.143	82	247	82	218
Total OI	506.19	351	570	351	564

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
2016-12-01	$14.03	$0.00	39.2%	11.2%	27.4%	69.3%	38.0%	0.2%	-25.8%	-200	91.1K	-493	0.67	72.85	49	33	191	160
2016-12-02	$14.59	$15.00	23.2%	6.6%	28.2%	40.5%	23.5%	-1.8%	-0.8%	-1.1K	-3.2K	-699	0.66	42.97	50	33	194	160
2016-12-05	$14.60	$15.00	33.2%	5.9%	27.6%	58.6%	24.0%	2.6%	2.2%	-816	25.4K	-651	0.63	111.06	52	33	197	160
2016-12-06	$14.76	$15.00	22.8%	5.4%	26.9%	39.8%	23.1%	-5.8%	4.9%	-844	-19.8K	-712	0.63	90.73	52	33	205	160
2016-12-07	$15.09	$15.00	26.2%	5.7%	25.9%	45.9%	21.9%	33.5%	4.9%	-1.5K	-35.2K	-702	0.91	104.80	69	63	205	160
2016-12-08	$15.26	$15.00	28.1%	5.8%	25.8%	49.3%	20.5%	3.1%	5.2%	11.9K	-197.7K	-1.1K	0.34	112.91	184	63	348	190
2016-12-09	$15.11	$15.00	27.9%	6.8%	26.3%	48.9%	24.2%	4.0%	1.6%	11.4K	-192.7K	-1.2K	0.34	100.50	184	63	372	190
2016-12-12	$15.13	$15.00	40.5%	5.8%	26.2%	71.8%	20.6%	2.3%	5.8%	13.7K	-186.1K	-1.1K	0.34	120.72	184	63	372	190
2016-12-13	$15.17	$15.00	33.6%	6.1%	24.7%	59.3%	21.5%	32.1%	3.6%	15.5K	-188.9K	-1.1K	0.34	113.30	184	63	372	190
2016-12-14	$14.72	$15.00	17.2%	4.9%	25.3%	29.8%	17.2%	0.7%	6.7%	12.1K	-134.4K	-1.1K	0.34	114.51	184	63	372	190
2016-12-15	$14.85	$15.00	22.4%	6.4%	25.4%	39.1%	24.3%	38.8%	6.2%	15.2K	-98.9K	-920	0.34	95.75	184	63	372	190
2016-12-16	$15.21	$15.00	21.6%	6.2%	26.2%	37.7%	21.4%	24.6%	5.4%	6.1K	-210.1K	-1.0K	0.45	59.32	139	63	372	190
2016-12-19	$15.51	$15.00	19.9%	5.7%	26.4%	34.6%	18.5%	17.9%	4.6%	6.4K	-213.2K	-966	0.39	50.48	136	53	321	190
2016-12-20	$15.33	$15.00	21.4%	6.1%	27.1%	37.3%	21.5%	1.2%	-0.7%	5.9K	-183.5K	-993	0.39	55.57	136	53	319	190
2016-12-21	$15.14	$15.00	22.0%	6.3%	26.0%	38.4%	23.7%	-3.2%	-1.4%	6.3K	-160.0K	-985	0.64	105.85	139	89	319	190
2016-12-22	$15.08	$15.00	22.9%	6.6%	26.0%	39.9%	23.8%	-1.2%	3.1%	4.6K	-103.4K	-1.2K	0.78	123.13	114	89	325	242
2016-12-23	$15.11	$15.00	27.8%	8.0%	26.0%	48.8%	28.2%	7.4%	-4.5%	4.3K	-111.7K	-1.2K	0.78	105.31	114	89	328	242
2016-12-27	$15.17	$15.00	26.1%	7.5%	25.8%	45.7%	26.6%	-5.8%	1.4%	4.9K	-107.1K	-1.2K	0.69	103.46	129	89	328	242
2016-12-28	$15.05	$15.00	23.7%	6.8%	25.9%	41.4%	23.3%	42.1%	3.0%	5.6K	-91.2K	-1.1K	0.69	107.11	129	89	322	242
2016-12-29	$15.20	$15.00	27.5%	7.9%	24.5%	48.3%	28.0%	27.2%	-0.9%	4.9K	-135.6K	-1.1K	0.69	122.00	129	89	322	242
2016-12-30	$15.36	$15.00	27.1%	7.8%	24.4%	47.5%	26.6%	1.6%	1.9%	5.2K	-194.7K	-1.1K	0.69	120.62	129	89	322	242