CTRE Options History — June 2017

In June 2017, CTRE traded between $18.23 and $19.67. ATM implied volatility averaged 23.3%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.2% (HV 20d: 17.1%). 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 15 of 22 days. Put/call ratio averaged 0.22.

Notable Days

2017-06-13: Highest Volume — 140 contracts
2017-06-29: Largest IV spike — 94.4% change
2017-06-13: Highest IV Rank — 92.2%
2017-06-29: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.89	$18.23	$19.67	$18.40	$18.53
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	23.3%	14.3%	51.8%	17.2%	23.8%
Expected Move	5.5%	4.1%	8.4%	4.9%	6.8%
HV 20d	17.1%	15.5%	22.8%	16.7%	21.8%
HV 60d	19.2%	18.3%	20.7%	20.3%	20.6%
IV Rank	38.2%	8.9%	92.2%	29.7%	28.3%
IV Percentile	29.2%	1.2%	99.2%	3.6%	41.7%
Term Structure	1.2%	-8.4%	9.2%	-0.4%	-2.6%
VWIV	20.7%	16.3%	27.8%	16.7%	25.0%
Skew 25d	2.7%	-9.1%	16.8%	-9.1%	-1.0%
Skew 10d	10.6%	-14.5%	66.5%	-14.5%	6.6%
Call IV 25d	19.1%	12.6%	28.5%	28.5%	26.6%
Put IV 25d	21.8%	14.0%	33.6%	19.5%	25.5%
Bid-Ask Spread %	100.14	16.00	115.78	106.87	112.40
Gamma HHI	0.57	0.49	0.73	0.73	0.51
Net GEX	10.1K	7.3K	12.3K	9.4K	12.3K
Net DEX	-270.2K	-334.3K	-224.7K	-240.9K	-233.8K
Net VEX	-765	-921	-604	-670	-860
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.16	0.33	0.19	0.30
Total Volume	90	57	140	74	57
Total OI	391.727	362	434	363	424

Daily Data (22 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
2017-06-01	$18.40	$17.50	17.2%	4.9%	16.7%	29.7%	16.7%	-9.1%	-0.4%	9.4K	-240.9K	-670	0.19	106.87	62	12	218	145
2017-06-02	$18.75	$17.50	23.6%	6.8%	17.3%	41.2%	21.9%	0.9%	-8.0%	8.0K	-272.8K	-661	0.16	16.00	75	12	218	144
2017-06-05	$18.59	$17.50	27.4%	6.6%	16.9%	48.2%	21.9%	4.2%	1.0%	9.1K	-258.0K	-732	0.16	103.21	75	12	229	144
2017-06-06	$18.23	$17.50	26.5%	6.4%	18.6%	46.5%	26.1%	-2.2%	-6.4%	9.5K	-224.7K	-776	0.17	112.31	72	12	229	144
2017-06-07	$18.25	$17.50	21.6%	5.7%	17.9%	37.6%	19.2%	16.8%	1.4%	10.9K	-236.9K	-685	0.17	68.26	72	12	228	144
2017-06-08	$18.23	$17.50	23.1%	5.3%	15.6%	40.4%	17.7%	4.5%	5.4%	10.6K	-237.3K	-689	0.17	101.12	72	12	228	144
2017-06-09	$18.52	$17.50	28.4%	6.1%	15.5%	49.9%	20.5%	8.7%	1.6%	10.0K	-253.6K	-667	0.17	101.73	72	12	228	144
2017-06-12	$18.85	$17.50	50.8%	4.7%	16.4%	90.4%	19.9%	1.7%	5.3%	8.8K	-290.7K	-604	0.18	114.70	72	13	228	144
2017-06-13	$18.94	$17.50	51.8%	4.7%	16.4%	92.2%	19.4%	7.0%	9.2%	7.3K	-285.3K	-608	0.20	104.79	117	23	228	156
2017-06-14	$19.03	$17.50	19.6%	5.6%	16.1%	34.1%	21.8%	1.2%	1.0%	10.7K	-314.6K	-829	0.20	114.53	117	23	278	156
2017-06-15	$19.00	$17.50	17.3%	5.0%	15.5%	30.0%	21.0%	6.2%	6.2%	9.4K	-322.7K	-811	0.20	114.74	117	23	278	156
2017-06-16	$19.19	$17.50	16.7%	4.8%	15.5%	28.8%	19.9%	1.8%	0.2%	9.6K	-334.3K	-780	0.20	112.42	117	23	278	156
2017-06-19	$19.39	$17.50	18.7%	5.4%	15.7%	32.5%	22.0%	2.9%	-2.2%	10.3K	-272.2K	-782	0.28	115.78	72	20	238	143
2017-06-20	$19.27	$17.50	14.3%	4.1%	15.9%	24.6%	18.2%	-0.3%	5.1%	9.6K	-270.7K	-777	0.28	67.77	72	20	238	143
2017-06-21	$19.30	$17.50	18.4%	5.3%	15.9%	32.0%	18.5%	6.2%	-0.6%	9.6K	-272.0K	-780	0.28	104.25	67	19	238	143
2017-06-22	$19.48	$17.50	17.5%	5.0%	16.1%	30.3%	18.8%	0.9%	8.3%	11.0K	-292.4K	-840	0.33	105.99	57	19	253	142
2017-06-23	$19.67	$17.50	17.7%	5.1%	15.9%	30.6%	17.9%	10.4%	0.5%	10.9K	-302.0K	-825	0.30	106.38	63	19	248	142
2017-06-26	$19.51	$17.50	17.7%	5.1%	16.3%	30.6%	18.6%	0.4%	0.8%	11.8K	-285.0K	-811	0.31	106.92	62	19	251	142
2017-06-27	$18.99	$17.50	16.7%	4.8%	18.9%	12.4%	26.4%	-8.4%	2.2%	10.6K	-233.4K	-886	0.21	102.95	52	11	251	142
2017-06-28	$19.10	$17.50	15.1%	4.3%	19.0%	8.9%	16.3%	0.4%	6.3%	11.7K	-281.0K	-830	0.22	98.33	49	11	271	142
2017-06-29	$18.44	$17.50	29.3%	8.4%	22.8%	40.5%	27.8%	6.8%	-8.4%	11.5K	-230.3K	-921	0.27	111.59	49	13	280	142
2017-06-30	$18.53	$17.50	23.8%	6.8%	21.8%	28.3%	25.0%	-1.0%	-2.6%	12.3K	-233.8K	-860	0.30	112.40	44	13	280	144