CTRE Options History — May 2017

In May 2017, CTRE traded between $16.60 and $18.51. ATM implied volatility averaged 20.4%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.7% (HV 20d: 23.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2017-05-12: Highest Volume — 137 contracts
  • 2017-05-30: Largest IV spike — 49.2% change
  • 2017-05-03: Highest IV Rank — 63.3%
  • 2017-05-03: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.77$16.60$18.51$17.07$18.17
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV20.4%11.1%35.8%27.5%16.8%
Expected Move5.5%3.2%10.3%7.9%4.8%
HV 20d23.1%17.3%25.5%20.7%17.3%
HV 60d19.8%18.7%20.3%18.7%20.2%
IV Rank35.5%18.7%63.3%48.4%29.1%
IV Percentile17.8%0.4%90.2%52.0%3.2%
Term Structure0.5%-13.6%13.3%3.1%-3.8%
VWIV19.1%12.1%37.4%30.5%15.1%
Skew 25d7.6%-14.4%87.7%-3.8%-13.8%
Skew 10d19.4%-18.8%108.7%-16.5%-18.7%
Call IV 25d23.6%13.0%40.1%29.1%29.8%
Put IV 25d31.2%13.5%106.8%25.3%16.0%
Bid-Ask Spread %96.0328.40111.76103.96104.20
Gamma HHI0.850.570.990.940.73
Net GEX107.8K7.6K645.6K87.8K10.2K
Net DEX-865.4K-2.2M-203.7K-713.2K-221.7K
Net VEX-1.2K-2.1K-625-2.1K-709
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.190.620.470.19
Total Volume91.682591378574
Total OI1,043.2273471,4331,299363

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$17.07$17.5027.5%7.9%20.7%48.4%30.5%-3.8%3.1%87.8K-713.2K-2.1K0.47103.9658271,152147
2017-05-02$16.78$17.5027.4%7.9%21.6%48.2%26.8%-10.4%-9.2%109.3K-834.8K-2.1K0.47102.8858271,152147
2017-05-03$16.61$17.5035.8%10.3%21.8%63.3%37.4%-0.7%-13.6%72.5K-522.4K-1.9K0.41105.9981331,150147
2017-05-04$16.60$17.5023.4%4.7%21.2%41.0%20.2%11.5%9.8%79.9K-286.4K-1.4K0.39111.7676301,179159
2017-05-05$16.97$17.5025.8%5.1%22.6%45.1%19.7%5.9%-3.0%115.0K-533.4K-1.9K0.48110.6262301,184160
2017-05-08$17.19$17.5017.9%4.8%22.2%31.1%16.1%-0.8%2.9%192.0K-575.6K-1.7K0.4828.6062301,187160
2017-05-09$17.00$17.5026.0%5.2%22.5%45.5%19.1%87.7%2.8%131.4K-500.6K-1.6K0.48109.6262301,192160
2017-05-10$17.47$17.5015.9%4.6%24.5%27.4%16.0%70.1%3.2%143.0K-983.0K-1.7K0.45102.1866301,191160
2017-05-11$17.77$17.5019.0%5.4%25.1%32.9%19.2%-0.7%0.1%645.6K-1.6M-9630.22101.11111241,195165
2017-05-12$17.82$17.5019.3%5.5%24.9%33.5%18.0%54.5%3.2%201.0K-1.3M-1.6K0.23109.76111261,240164
2017-05-15$17.85$17.5019.9%5.7%24.8%34.7%19.8%4.1%2.5%211.8K-1.6M-1.3K0.2428.40107261,240169
2017-05-16$18.06$17.5017.5%5.0%25.1%30.3%16.0%17.1%1.9%135.4K-1.9M-9860.22106.08105231,240169
2017-05-17$18.33$17.5024.7%7.1%25.5%43.2%25.2%6.8%-2.7%102.4K-1.9M-1.0K0.43109.2153231,250173
2017-05-18$18.51$17.5016.7%4.8%25.5%28.8%18.4%2.8%4.4%73.7K-2.0M-8090.62109.4453331,251173
2017-05-19$18.46$17.5018.6%5.3%25.5%32.3%15.5%-5.4%-7.2%8.1K-2.2M-6820.5934.0156331,245188
2017-05-22$18.41$17.5013.2%3.8%25.1%22.5%12.9%-8.6%13.3%7.6K-221.5K-6920.59105.503722203144
2017-05-23$18.46$17.5017.9%5.1%25.1%31.0%15.6%-7.4%5.3%7.8K-224.1K-7130.59105.453722207144
2017-05-24$18.50$17.5018.8%5.4%25.1%32.6%16.3%-9.1%-3.9%8.8K-233.8K-6470.51107.044322207144
2017-05-25$18.37$17.5018.5%5.3%25.2%32.1%15.8%-11.7%-6.1%9.0K-222.0K-6700.46105.524822207144
2017-05-26$18.34$17.5011.1%3.2%18.2%18.7%12.1%-6.7%8.4%8.6K-226.9K-6250.46105.424822205144
2017-05-30$18.14$17.5016.5%4.7%18.9%28.5%14.6%-14.4%-0.1%9.7K-203.7K-6460.19105.846212205145
2017-05-31$18.17$17.5016.8%4.8%17.3%29.1%15.1%-13.8%-3.8%10.2K-221.7K-7090.19104.206212218145