CTRE Options History — April 2017

In April 2017, CTRE traded between $16.78 and $17.88. ATM implied volatility averaged 21.7%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.0% (HV 20d: 15.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.19.

Notable Days

2017-04-24: Highest Volume — 1,066 contracts
2017-04-05: Largest IV spike — 44.8% change
2017-04-11: Highest IV Rank — 45.2%
2017-04-03: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.46	$16.78	$17.88	$16.78	$17.08
Max Pain	$15.53	$15.00	$17.50	$15.00	$17.50
ATM IV	21.7%	16.2%	25.8%	25.4%	18.4%
Expected Move	6.1%	4.6%	7.3%	7.3%	5.3%
HV 20d	15.7%	12.7%	21.9%	21.9%	20.9%
HV 60d	16.4%	16.0%	18.8%	16.0%	18.8%
IV Rank	37.9%	27.9%	45.2%	44.6%	32.0%
IV Percentile	15.7%	0.9%	36.4%	32.9%	3.3%
Term Structure	0.8%	-3.9%	7.8%	-1.7%	7.8%
VWIV	22.7%	17.3%	32.0%	27.2%	20.9%
Skew 25d	-0.4%	-7.7%	7.1%	-1.5%	-3.1%
Skew 10d	-1.6%	-12.3%	10.4%	-12.3%	-8.0%
Call IV 25d	23.0%	16.7%	28.5%	26.6%	26.4%
Put IV 25d	22.5%	17.9%	27.1%	25.1%	23.3%
Bid-Ask Spread %	88.93	21.29	108.96	106.11	103.21
Gamma HHI	0.85	0.53	0.98	0.54	0.98
Net GEX	86.7K	1.4K	196.2K	1.6K	196.2K
Net DEX	-845.3K	-1.4M	-110.8K	-111.5K	-1.3M
Net VEX	-1.9K	-2.8K	-583	-599	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.01	0.56	0.23	0.45
Total Volume	586	39	1,066	64	84
Total OI	946.895	247	1,296	247	1,296

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
2017-04-03	$16.78	$15.00	25.4%	7.3%	21.9%	44.6%	27.2%	-1.5%	-1.7%	1.6K	-111.5K	-599	0.23	106.11	52	12	131	116
2017-04-04	$16.84	$15.00	16.2%	4.6%	21.6%	27.9%	26.9%	7.1%	6.0%	1.4K	-110.8K	-590	0.22	55.86	54	12	131	116
2017-04-05	$17.06	$15.00	23.5%	6.7%	17.8%	41.0%	32.0%	-1.5%	-2.9%	1.9K	-124.2K	-610	0.22	106.07	54	12	134	116
2017-04-06	$17.20	$15.00	21.9%	6.2%	17.0%	38.1%	22.4%	6.3%	1.3%	2.1K	-129.1K	-589	0.41	104.28	29	12	134	116
2017-04-07	$17.50	$15.00	22.9%	6.0%	17.0%	40.0%	0.0%	1.6%	-0.6%	2.2K	-140.9K	-583	0.44	97.49	27	12	137	116
2017-04-10	$17.47	$15.00	25.2%	6.7%	17.3%	44.2%	23.5%	0.7%	-1.6%	2.7K	-148.8K	-607	0.01	21.29	1,033	12	142	116
2017-04-11	$17.61	$15.00	25.8%	6.1%	17.1%	45.2%	21.2%	1.8%	3.1%	104.0K	-1.2M	-2.8K	0.01	105.12	1,033	12	1,142	116
2017-04-12	$17.50	$15.00	22.4%	6.4%	13.3%	39.2%	22.6%	1.1%	-1.9%	108.6K	-977.4K	-2.8K	0.01	101.75	1,033	13	1,142	116
2017-04-13	$17.34	$15.00	22.3%	6.4%	14.2%	39.0%	23.6%	0.9%	0.8%	95.6K	-1.1M	-2.8K	0.01	100.47	1,034	13	1,142	117
2017-04-17	$17.46	$15.00	23.3%	6.7%	14.0%	40.7%	23.3%	1.1%	1.0%	104.3K	-1.0M	-2.7K	0.01	106.81	1,034	13	1,143	117
2017-04-18	$17.51	$15.00	20.9%	6.0%	13.4%	36.4%	20.9%	-2.7%	1.9%	118.5K	-1.0M	-2.6K	0.01	37.07	1,030	13	1,144	117
2017-04-19	$17.57	$15.00	22.4%	6.4%	12.9%	39.1%	21.7%	3.4%	-0.2%	107.9K	-1.1M	-2.6K	0.01	103.36	1,034	13	1,144	117
2017-04-20	$17.73	$15.00	20.1%	5.8%	12.9%	35.0%	20.0%	2.7%	1.9%	121.2K	-1.3M	-2.5K	0.02	99.80	1,038	18	1,147	117
2017-04-21	$17.87	$15.00	19.8%	5.7%	12.7%	34.4%	19.9%	-7.5%	5.8%	129.0K	-1.3M	-2.5K	0.02	108.96	1,038	18	1,150	122
2017-04-24	$17.67	$15.00	17.6%	5.0%	13.9%	30.5%	17.3%	-5.6%	2.7%	155.1K	-1.1M	-2.4K	0.03	84.74	1,035	31	1,126	111
2017-04-25	$17.77	$17.50	22.2%	6.4%	13.6%	38.8%	22.3%	-5.7%	-3.9%	119.9K	-1.2M	-2.4K	0.56	102.98	55	31	1,135	133
2017-04-26	$17.82	$17.50	20.9%	6.0%	13.5%	36.4%	20.9%	0.3%	-2.2%	139.6K	-1.3M	-2.4K	0.48	36.77	64	31	1,163	133
2017-04-27	$17.88	$17.50	21.5%	6.2%	13.3%	37.6%	21.7%	-7.7%	-2.6%	135.5K	-1.4M	-2.2K	0.48	107.62	64	31	1,163	133
2017-04-28	$17.08	$17.50	18.4%	5.3%	20.9%	32.0%	20.9%	-3.1%	7.8%	196.2K	-1.3M	-2.2K	0.45	103.21	58	26	1,163	133