CTRE Options History — January 2017

In January 2017, CTRE traded between $15.18 and $15.64. ATM implied volatility averaged 27.6%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 10.4% (HV 20d: 17.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.57.

Notable Days

2017-01-03: Highest Volume — 221 contracts
2017-01-11: Largest IV spike — 49.3% change
2017-01-13: Highest IV Rank — 56.2%
2017-01-13: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.45	$15.18	$15.64	$15.27	$15.18
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	27.6%	19.6%	31.9%	29.0%	29.5%
Expected Move	8.2%	7.1%	9.1%	8.3%	8.5%
HV 20d	17.2%	13.0%	22.3%	20.9%	13.0%
HV 60d	23.8%	22.3%	25.2%	25.0%	22.3%
IV Rank	48.6%	34.0%	56.2%	50.9%	52.0%
IV Percentile	48.0%	2.4%	76.0%	57.1%	61.0%
Term Structure	0.1%	-5.9%	7.0%	0.4%	0.7%
VWIV	27.5%	22.6%	38.9%	29.0%	25.0%
Skew 25d	3.7%	-1.9%	8.7%	5.0%	3.8%
Skew 10d	8.2%	-3.9%	62.4%	6.6%	1.2%
Call IV 25d	27.0%	19.8%	37.8%	22.1%	30.3%
Put IV 25d	30.6%	26.3%	36.4%	27.1%	34.1%
Bid-Ask Spread %	106.51	95.91	118.13	118.13	107.48
Gamma HHI	0.88	0.78	0.92	0.82	0.86
Net GEX	6.6K	4.3K	9.5K	5.4K	5.1K
Net DEX	-226.3K	-401.5K	-59.5K	-153.2K	-59.5K
Net VEX	-846	-1.1K	-694	-1.1K	-694
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.71	4.00	0.71	2.75
Total Volume	170.85	115	221	221	135
Total OI	482.8	247	624	564	249

Daily Data (20 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
2017-01-03	$15.27	$15.00	29.0%	8.3%	20.9%	50.9%	29.0%	5.0%	0.4%	5.4K	-153.2K	-1.1K	0.71	118.13	129	92	322	242
2017-01-04	$15.64	$15.00	30.3%	8.7%	22.3%	53.4%	38.9%	-1.4%	7.0%	5.9K	-240.0K	-965	0.93	111.30	99	92	322	245
2017-01-05	$15.56	$15.00	25.9%	7.2%	22.3%	45.4%	25.0%	3.9%	-0.2%	7.3K	-293.5K	-1.0K	0.93	107.74	99	92	362	245
2017-01-06	$15.58	$15.00	19.6%	7.3%	21.1%	34.0%	24.2%	-0.4%	1.0%	7.4K	-321.5K	-985	0.92	103.79	103	95	361	245
2017-01-09	$15.40	$15.00	23.6%	8.7%	21.3%	41.3%	29.7%	4.1%	2.0%	7.7K	-265.1K	-1.0K	0.92	110.10	103	95	365	248
2017-01-10	$15.45	$15.00	20.5%	7.1%	20.9%	35.6%	23.7%	6.5%	4.5%	8.4K	-305.8K	-972	0.92	98.33	103	95	365	248
2017-01-11	$15.55	$15.00	30.6%	8.8%	21.0%	53.8%	30.8%	4.9%	1.6%	6.9K	-313.8K	-954	0.92	109.14	103	95	365	248
2017-01-12	$15.45	$15.00	28.4%	8.1%	21.2%	49.9%	26.4%	8.7%	-1.3%	8.8K	-308.9K	-932	1.28	99.77	74	95	365	248
2017-01-13	$15.46	$15.00	31.9%	9.1%	17.8%	56.2%	32.1%	7.8%	-5.9%	8.6K	-313.5K	-928	1.28	99.28	74	95	375	248
2017-01-17	$15.57	$15.00	28.1%	8.0%	17.7%	49.3%	26.2%	-0.4%	1.6%	7.6K	-382.5K	-796	1.28	109.99	74	95	375	248
2017-01-18	$15.45	$15.00	28.1%	8.1%	16.1%	49.5%	26.5%	-1.9%	-1.7%	9.5K	-340.0K	-819	1.28	110.48	74	95	375	248
2017-01-19	$15.45	$15.00	28.3%	8.1%	14.4%	49.7%	27.2%	0.0%	1.9%	8.2K	-375.6K	-767	0.94	112.04	101	95	376	248
2017-01-20	$15.43	$15.00	29.7%	8.5%	13.8%	52.2%	28.7%	4.7%	-2.1%	4.3K	-401.5K	-730	0.92	112.50	103	95	376	248
2017-01-23	$15.50	$15.00	31.3%	9.0%	13.0%	55.2%	29.9%	5.5%	-5.6%	5.0K	-82.7K	-727	4.00	95.91	23	92	143	109
2017-01-24	$15.61	$15.00	26.8%	7.7%	13.0%	47.0%	24.0%	6.9%	-0.7%	4.4K	-91.6K	-710	2.19	111.09	42	92	143	109
2017-01-25	$15.47	$15.00	26.5%	7.6%	13.6%	46.5%	24.0%	4.3%	1.7%	5.5K	-75.9K	-697	2.36	98.83	42	99	138	109
2017-01-26	$15.38	$15.00	30.1%	8.6%	13.7%	52.9%	29.6%	2.0%	-2.0%	4.4K	-72.9K	-697	2.36	111.58	42	99	138	109
2017-01-27	$15.34	$15.00	27.4%	7.9%	13.4%	48.1%	26.1%	1.8%	-2.3%	5.8K	-64.2K	-704	2.25	100.22	44	99	138	109
2017-01-30	$15.18	$15.00	27.3%	7.8%	13.6%	48.0%	22.6%	8.0%	1.6%	5.1K	-63.7K	-695	2.25	102.49	44	99	140	109
2017-01-31	$15.18	$15.00	29.5%	8.5%	13.0%	52.0%	25.0%	3.8%	0.7%	5.1K	-59.5K	-694	2.75	107.48	36	99	140	109