CTRE Options History — February 2017

In February 2017, CTRE traded between $14.93 and $15.77. ATM implied volatility averaged 26.4%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 13.2% (HV 20d: 13.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.34.

Notable Days

2017-02-03: Highest Volume — 143 contracts
2017-02-23: Largest IV drop — 38.3% change
2017-02-28: Highest IV Rank — 54.4%
2017-02-28: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.42	$14.93	$15.77	$14.99	$15.77
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	26.4%	18.9%	30.9%	29.9%	30.9%
Expected Move	7.3%	5.4%	8.8%	8.6%	8.8%
HV 20d	13.2%	9.9%	15.0%	13.6%	13.6%
HV 60d	19.7%	17.9%	21.7%	21.7%	17.9%
IV Rank	46.3%	32.9%	54.4%	52.7%	54.4%
IV Percentile	40.1%	1.5%	75.1%	65.0%	75.1%
Term Structure	-0.1%	-7.8%	6.2%	-3.0%	-6.9%
VWIV	25.0%	19.2%	30.6%	29.9%	30.6%
Skew 25d	15.4%	-2.3%	60.8%	9.4%	1.7%
Skew 10d	33.6%	-1.4%	129.6%	15.5%	18.2%
Call IV 25d	24.8%	18.9%	33.3%	33.3%	29.8%
Put IV 25d	40.2%	20.3%	83.2%	42.6%	31.5%
Bid-Ask Spread %	89.03	22.86	112.33	111.31	111.02
Gamma HHI	0.84	0.75	0.94	0.86	0.77
Net GEX	5.7K	3.4K	14.0K	5.3K	3.8K
Net DEX	-83.8K	-128.3K	-31.6K	-41.2K	-103.9K
Net VEX	-632	-685	-543	-681	-605
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.34	1.10	4.33	2.94	1.58
Total Volume	110.947	89	143	142	98
Total OI	261.579	237	298	243	253

Daily Data (19 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
2017-02-01	$14.99	$15.00	29.9%	8.6%	13.6%	52.7%	29.9%	9.4%	-3.0%	5.3K	-41.2K	-681	2.94	111.31	36	106	134	109
2017-02-02	$14.93	$0.00	25.8%	6.0%	9.9%	45.2%	0.0%	9.9%	6.2%	4.7K	-31.6K	-685	4.24	104.16	25	106	134	116
2017-02-03	$15.17	$0.00	30.7%	6.7%	11.8%	54.1%	23.4%	1.9%	2.8%	4.9K	-45.9K	-685	2.86	95.02	37	106	135	116
2017-02-06	$15.10	$15.00	28.7%	7.4%	11.8%	50.4%	25.9%	2.6%	-1.1%	6.6K	-64.9K	-668	2.86	110.10	37	106	149	116
2017-02-07	$15.40	$15.00	30.3%	7.7%	13.4%	53.3%	26.9%	55.5%	-0.5%	6.7K	-83.8K	-666	4.33	22.86	24	104	149	116
2017-02-08	$15.37	$15.00	21.3%	6.1%	13.3%	37.1%	19.2%	55.3%	5.4%	14.0K	-94.9K	-642	4.33	29.95	24	104	150	121
2017-02-09	$15.31	$15.00	27.7%	7.9%	13.1%	48.7%	27.6%	3.3%	-3.2%	6.2K	-82.7K	-657	4.33	107.75	24	104	150	121
2017-02-10	$15.39	$15.00	20.9%	6.0%	13.1%	36.4%	19.6%	2.6%	5.4%	6.7K	-92.4K	-641	2.07	112.33	30	62	150	121
2017-02-13	$15.44	$15.00	23.3%	6.7%	13.2%	40.7%	20.5%	5.1%	5.0%	6.4K	-97.2K	-645	1.55	100.05	40	62	155	121
2017-02-14	$15.37	$15.00	22.3%	6.4%	13.0%	38.9%	20.3%	60.4%	4.1%	7.4K	-94.3K	-651	1.48	29.59	42	62	157	121
2017-02-15	$15.32	$15.00	21.8%	6.3%	12.8%	38.0%	22.1%	60.8%	1.1%	7.3K	-78.6K	-619	1.50	25.89	40	60	152	121
2017-02-16	$15.44	$15.00	28.6%	8.2%	13.1%	50.3%	28.8%	4.5%	-7.8%	7.0K	-95.9K	-612	1.30	97.90	46	60	152	124
2017-02-17	$15.33	$15.00	26.5%	7.6%	13.3%	46.5%	26.6%	-2.3%	-3.1%	3.4K	-128.3K	-641	1.10	103.04	52	57	174	124
2017-02-21	$15.60	$15.00	27.3%	7.8%	14.7%	48.0%	24.4%	9.2%	0.9%	3.6K	-74.9K	-543	1.62	104.19	34	55	126	111
2017-02-22	$15.77	$15.00	30.7%	8.8%	15.0%	54.0%	29.9%	4.2%	-7.1%	4.4K	-92.8K	-561	1.62	108.50	34	55	134	114
2017-02-23	$15.76	$15.00	18.9%	5.4%	14.5%	32.9%	19.2%	-0.8%	5.5%	3.5K	-96.5K	-611	1.62	103.35	34	55	134	114
2017-02-24	$15.76	$15.00	26.0%	7.4%	14.3%	45.5%	24.2%	7.9%	2.1%	3.6K	-93.2K	-614	1.62	105.00	34	55	134	114
2017-02-27	$15.76	$15.00	30.0%	8.6%	14.3%	52.9%	29.9%	1.1%	-7.7%	3.7K	-99.0K	-581	1.58	109.59	38	60	134	114
2017-02-28	$15.77	$15.00	30.9%	8.8%	13.6%	54.4%	30.6%	1.7%	-6.9%	3.8K	-103.9K	-605	1.58	111.02	38	60	139	114