CTRE Options History — March 2017

In March 2017, CTRE traded between $14.86 and $16.82. ATM implied volatility averaged 22.8%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.2% (HV 20d: 17.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.24.

Notable Days

2017-03-29: Highest Volume — 140 contracts
2017-03-06: Largest IV spike — 49.5% change
2017-03-06: Highest IV Rank — 53.4%
2017-03-14: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.67	$14.86	$16.82	$15.77	$16.82
Max Pain	$14.67	$12.50	$15.00	$15.00	$15.00
ATM IV	22.8%	15.8%	30.3%	22.1%	22.1%
Expected Move	6.2%	4.5%	8.1%	6.3%	6.3%
HV 20d	17.6%	12.1%	22.3%	13.6%	22.1%
HV 60d	16.2%	15.2%	17.8%	17.8%	16.1%
IV Rank	39.8%	27.1%	53.4%	38.6%	38.5%
IV Percentile	20.7%	0.5%	70.7%	10.4%	14.3%
Term Structure	1.7%	-11.6%	9.7%	-8.0%	-1.3%
VWIV	22.8%	15.8%	29.2%	23.5%	28.0%
Skew 25d	-0.7%	-14.8%	8.3%	-3.5%	-1.5%
Skew 10d	3.5%	-9.6%	21.6%	1.4%	-8.6%
Call IV 25d	22.3%	14.5%	28.5%	25.2%	24.2%
Put IV 25d	21.6%	13.7%	27.1%	21.7%	22.7%
Bid-Ask Spread %	67.43	29.29	114.28	34.81	106.63
Gamma HHI	0.76	0.46	0.91	0.79	0.54
Net GEX	5.1K	-1.4K	7.9K	4.3K	1.6K
Net DEX	-92.2K	-157.2K	-23.3K	-107.4K	-111.6K
Net VEX	-564	-660	-384	-599	-596
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.24	1.82	1.58	0.24
Total Volume	94.478	62	140	98	62
Total OI	263.957	183	298	253	245

Daily Data (23 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
2017-03-01	$15.77	$15.00	22.1%	6.3%	13.6%	38.6%	23.5%	-3.5%	-8.0%	4.3K	-107.4K	-599	1.58	34.81	38	60	139	114
2017-03-02	$15.74	$15.00	25.3%	7.2%	12.5%	44.2%	27.9%	-6.0%	-11.6%	4.3K	-98.2K	-603	1.58	49.95	38	60	139	114
2017-03-03	$15.63	$15.00	20.3%	5.8%	12.8%	35.3%	21.0%	-4.8%	2.5%	4.7K	-90.1K	-608	1.82	35.35	33	60	139	114
2017-03-06	$15.52	$12.50	30.3%	6.6%	12.1%	53.4%	25.3%	5.7%	6.2%	4.9K	-84.9K	-620	1.82	106.80	33	60	144	114
2017-03-07	$15.43	$12.50	25.8%	6.3%	12.2%	45.3%	22.5%	4.5%	4.4%	6.0K	-87.2K	-601	1.82	58.36	33	60	144	114
2017-03-08	$14.99	$12.50	29.4%	7.5%	14.4%	51.8%	26.4%	2.4%	0.1%	5.1K	-46.9K	-620	1.06	37.71	52	55	144	114
2017-03-09	$14.88	$15.00	29.5%	5.5%	14.5%	51.9%	20.0%	1.1%	5.1%	7.4K	-35.6K	-660	1.06	109.65	52	55	164	119
2017-03-10	$14.86	$15.00	28.6%	7.5%	14.5%	50.2%	26.6%	-0.9%	-1.3%	7.1K	-28.3K	-647	1.13	47.72	52	59	164	119
2017-03-13	$14.91	$15.00	25.4%	6.8%	14.4%	44.6%	24.8%	0.2%	1.7%	7.4K	-23.3K	-636	1.74	29.64	34	59	164	126
2017-03-14	$14.91	$15.00	27.5%	8.1%	14.3%	48.2%	29.2%	0.4%	-2.1%	7.7K	-32.0K	-637	1.68	42.55	34	57	166	126
2017-03-15	$15.51	$15.00	22.2%	6.4%	20.4%	38.7%	23.7%	-0.8%	5.0%	6.8K	-109.8K	-609	1.73	97.09	33	57	166	125
2017-03-16	$15.69	$15.00	17.5%	5.0%	20.7%	30.3%	17.8%	4.6%	9.7%	7.9K	-145.6K	-529	1.73	51.16	33	57	173	125
2017-03-17	$15.86	$15.00	21.0%	6.0%	20.9%	36.6%	21.1%	2.9%	3.5%	4.9K	-157.2K	-507	1.73	52.77	33	57	173	125
2017-03-20	$15.76	$15.00	22.7%	6.5%	20.8%	39.7%	23.0%	4.7%	5.5%	4.3K	-104.6K	-495	1.25	49.22	40	50	138	115
2017-03-21	$15.68	$15.00	19.6%	5.6%	20.0%	34.0%	19.6%	-0.1%	6.2%	6.5K	-105.2K	-572	1.02	53.32	40	41	152	115
2017-03-22	$15.80	$15.00	19.8%	5.7%	19.9%	34.3%	19.8%	2.3%	2.1%	5.7K	-111.5K	-570	1.02	86.53	40	41	152	115
2017-03-23	$15.79	$15.00	15.8%	4.5%	19.9%	27.1%	15.8%	-14.8%	5.6%	6.7K	-121.9K	-544	1.02	114.28	40	41	152	115
2017-03-24	$15.99	$15.00	19.5%	5.6%	20.3%	33.9%	21.1%	-6.3%	-8.6%	5.1K	-130.9K	-490	0.98	29.29	42	41	152	115
2017-03-27	$15.94	$15.00	20.9%	6.0%	20.4%	36.5%	22.9%	-7.6%	-2.0%	5.8K	-135.6K	-495	0.98	99.95	42	41	157	115
2017-03-28	$16.09	$15.00	17.6%	5.1%	20.6%	30.5%	19.9%	-9.7%	3.6%	4.8K	-153.0K	-458	0.57	105.18	72	41	157	115
2017-03-29	$16.28	$15.00	21.8%	6.3%	21.0%	38.1%	21.2%	2.9%	4.1%	-1.4K	-35.8K	-384	0.41	93.09	99	41	68	115
2017-03-30	$16.67	$15.00	19.0%	5.4%	22.3%	32.9%	23.9%	8.3%	7.6%	-105	-65.0K	-503	0.64	59.78	64	41	95	115
2017-03-31	$16.82	$15.00	22.1%	6.3%	22.1%	38.5%	28.0%	-1.5%	-1.3%	1.6K	-111.6K	-596	0.24	106.63	50	12	130	115