CTRE Options History — July 2017

In July 2017, CTRE traded between $17.95 and $18.85. ATM implied volatility averaged 23.1%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.2% (HV 20d: 21.8%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.34.

Notable Days

2017-07-20: Highest Volume — 60 contracts
2017-07-20: Largest IV spike — 38.4% change
2017-07-20: Highest IV Rank — 42.1%
2017-07-20: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.24	$17.95	$18.85	$18.85	$18.20
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	23.1%	18.0%	30.1%	25.7%	21.9%
Expected Move	6.3%	4.8%	8.6%	7.4%	6.3%
HV 20d	21.8%	16.4%	23.7%	22.4%	16.5%
HV 60d	20.9%	19.0%	21.7%	20.8%	19.1%
IV Rank	26.5%	15.3%	42.1%	32.4%	24.0%
IV Percentile	36.3%	9.5%	83.7%	50.4%	29.0%
Term Structure	-2.3%	-10.9%	6.8%	-5.7%	-0.3%
VWIV	21.7%	15.3%	32.3%	27.1%	21.2%
Skew 25d	4.3%	-11.3%	31.9%	3.8%	5.4%
Skew 10d	17.2%	-6.4%	68.2%	-1.4%	18.7%
Call IV 25d	20.1%	16.3%	33.8%	25.6%	19.0%
Put IV 25d	24.4%	14.4%	52.4%	29.3%	24.4%
Bid-Ask Spread %	108.95	101.26	114.70	110.00	104.88
Gamma HHI	0.60	0.50	0.70	0.53	0.50
Net GEX	8.5K	6.0K	11.4K	11.4K	10.6K
Net DEX	-153.2K	-262.0K	-118.7K	-262.0K	-155.2K
Net VEX	-703	-874	-641	-874	-646
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.24	0.46	0.31	0.27
Total Volume	50.5	32	60	55	42
Total OI	339.5	224	424	424	237

Daily Data (20 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
2017-07-03	$18.85	$17.50	25.7%	7.4%	22.4%	32.4%	27.1%	3.8%	-5.7%	11.4K	-262.0K	-874	0.31	110.00	42	13	280	144
2017-07-05	$18.58	$17.50	28.8%	8.3%	21.9%	39.4%	29.2%	0.4%	-4.9%	9.0K	-178.7K	-809	0.31	114.70	42	13	240	144
2017-07-06	$18.14	$17.50	24.3%	7.3%	23.6%	29.4%	32.3%	-11.3%	-10.5%	7.4K	-152.7K	-764	0.32	105.17	41	13	240	143
2017-07-07	$18.24	$17.50	25.5%	6.0%	23.7%	32.0%	19.0%	6.5%	2.3%	7.5K	-147.0K	-753	0.32	109.18	41	13	240	143
2017-07-10	$17.95	$17.50	26.5%	4.8%	23.6%	34.1%	15.3%	5.1%	6.8%	6.0K	-126.6K	-701	0.32	110.98	41	13	239	143
2017-07-11	$18.02	$17.50	26.1%	6.0%	22.6%	33.4%	18.9%	7.9%	0.7%	6.4K	-118.7K	-657	0.32	107.36	41	13	239	143
2017-07-12	$18.22	$17.50	21.0%	6.0%	22.9%	22.1%	18.5%	6.1%	1.8%	7.9K	-151.2K	-714	0.32	111.67	41	13	239	143
2017-07-13	$18.08	$17.50	21.2%	6.1%	22.9%	22.5%	20.0%	5.0%	0.7%	6.9K	-134.6K	-707	0.32	112.27	41	13	239	143
2017-07-14	$18.22	$17.50	23.8%	6.8%	23.2%	28.2%	20.7%	22.3%	-5.6%	8.4K	-150.7K	-682	0.41	108.63	41	17	239	142
2017-07-17	$18.29	$17.50	21.1%	6.1%	22.9%	22.3%	18.2%	6.2%	-1.7%	8.6K	-153.0K	-663	0.41	110.86	41	17	239	146
2017-07-18	$18.17	$17.50	23.2%	6.7%	22.4%	26.9%	22.2%	5.0%	-0.3%	7.2K	-146.3K	-701	0.41	111.20	41	17	239	147
2017-07-19	$18.15	$17.50	21.7%	6.2%	22.4%	23.6%	23.0%	0.7%	-2.1%	6.9K	-139.8K	-687	0.41	111.09	41	17	239	147
2017-07-20	$18.31	$17.50	30.1%	8.6%	22.7%	42.1%	27.2%	31.9%	-10.9%	8.5K	-156.5K	-674	0.46	101.26	41	19	239	147
2017-07-21	$18.31	$17.50	19.7%	5.7%	22.3%	19.2%	19.9%	-1.2%	1.3%	9.2K	-153.7K	-694	0.46	111.30	41	19	239	149
2017-07-24	$18.28	$17.50	18.0%	5.2%	21.8%	15.3%	19.0%	-5.7%	-1.5%	10.0K	-152.6K	-650	0.31	110.67	26	8	208	16
2017-07-25	$18.25	$17.50	19.3%	5.5%	21.7%	18.1%	19.9%	-3.9%	-5.3%	9.9K	-141.9K	-641	0.31	107.31	26	8	211	15
2017-07-26	$18.38	$17.50	19.7%	5.6%	20.1%	19.1%	19.8%	-1.1%	-4.3%	9.7K	-151.3K	-682	0.33	106.65	24	8	211	15
2017-07-27	$18.11	$17.50	22.5%	6.5%	20.4%	25.3%	22.3%	1.5%	-1.5%	9.4K	-141.9K	-667	0.24	106.17	33	8	211	15
2017-07-28	$18.09	$17.50	20.9%	6.0%	16.4%	21.7%	20.7%	1.9%	-4.4%	9.9K	-149.0K	-687	0.24	107.61	33	8	221	16
2017-07-31	$18.20	$17.50	21.9%	6.3%	16.5%	24.0%	21.2%	5.4%	-0.3%	10.6K	-155.2K	-646	0.27	104.88	33	9	221	16