CTRE Options History — August 2017

In August 2017, CTRE traded between $18.00 and $19.37. ATM implied volatility averaged 21.1%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.4% (HV 20d: 14.8%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.33.

Notable Days

2017-08-23: Highest Volume — 145 contracts
2017-08-02: Largest IV spike — 42.7% change
2017-08-02: Highest IV Rank — 45.1%
2017-08-02: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.69	$18.00	$19.37	$18.28	$19.30
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	21.1%	13.3%	31.4%	22.0%	20.1%
Expected Move	5.7%	3.8%	9.0%	6.3%	5.8%
HV 20d	14.8%	11.5%	17.8%	15.2%	16.7%
HV 60d	18.2%	17.3%	18.8%	18.6%	18.2%
IV Rank	22.3%	4.8%	45.1%	24.2%	20.0%
IV Percentile	29.3%	0.8%	89.7%	30.2%	23.0%
Term Structure	0.7%	-9.5%	12.9%	-2.6%	-2.9%
VWIV	23.8%	21.3%	26.2%	21.3%	26.2%
Skew 25d	6.1%	-8.4%	34.0%	5.3%	-4.4%
Skew 10d	10.4%	-13.5%	101.2%	17.3%	-13.5%
Call IV 25d	19.6%	9.4%	25.2%	19.0%	24.3%
Put IV 25d	25.7%	13.5%	58.8%	24.3%	19.8%
Bid-Ask Spread %	108.03	99.46	111.29	105.90	107.18
Gamma HHI	0.58	0.50	0.73	0.50	0.73
Net GEX	13.1K	8.4K	18.6K	10.1K	18.1K
Net DEX	-202.7K	-311.5K	-121.0K	-152.9K	-302.3K
Net VEX	-831	-1.3K	-589	-668	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.12	0.70	0.27	0.70
Total Volume	91.739	42	145	42	68
Total OI	312.217	231	375	239	375

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
2017-08-01	$18.28	$17.50	22.0%	6.3%	15.2%	24.2%	21.3%	5.3%	-2.6%	10.1K	-152.9K	-668	0.27	105.90	33	9	221	18
2017-08-02	$18.09	$17.50	31.4%	9.0%	14.8%	45.1%	26.2%	34.0%	-9.5%	9.7K	-151.1K	-688	0.21	100.72	81	17	221	18
2017-08-03	$18.36	$0.00	25.7%	5.3%	13.3%	32.5%	0.0%	6.4%	4.2%	11.8K	-161.0K	-700	0.21	110.25	81	17	271	26
2017-08-04	$18.21	$0.00	24.8%	4.7%	13.5%	30.4%	0.0%	-8.4%	4.2%	10.2K	-152.7K	-702	0.21	109.61	81	17	271	26
2017-08-07	$18.10	$0.00	26.6%	6.1%	12.4%	34.4%	0.0%	1.9%	5.1%	9.4K	-139.3K	-659	0.21	110.61	81	17	271	26
2017-08-08	$18.13	$0.00	28.8%	6.4%	12.3%	39.3%	0.0%	33.3%	-2.5%	10.5K	-140.5K	-616	0.17	108.58	81	14	271	26
2017-08-09	$18.17	$0.00	19.5%	5.6%	11.7%	18.6%	0.0%	0.0%	0.7%	10.2K	-149.9K	-631	0.17	111.20	81	14	271	27
2017-08-10	$18.00	$0.00	20.8%	6.0%	11.8%	21.7%	0.0%	-0.8%	-0.3%	9.4K	-142.8K	-652	0.30	111.15	81	24	271	27
2017-08-11	$18.01	$0.00	21.1%	6.1%	11.5%	22.2%	0.0%	0.9%	-0.3%	8.4K	-121.0K	-662	0.30	111.09	79	24	271	37
2017-08-14	$18.40	$0.00	19.9%	5.7%	13.8%	19.6%	0.0%	1.5%	0.3%	11.4K	-140.9K	-639	0.30	111.04	79	24	271	37
2017-08-15	$18.57	$0.00	20.6%	5.9%	13.9%	21.1%	0.0%	3.5%	-1.0%	12.3K	-155.2K	-628	0.30	109.60	79	24	271	37
2017-08-16	$18.86	$0.00	18.7%	5.4%	14.8%	16.9%	0.0%	2.6%	-3.9%	16.1K	-190.8K	-627	0.35	110.10	69	24	271	37
2017-08-17	$18.92	$0.00	21.2%	6.1%	14.6%	22.5%	0.0%	-5.5%	-3.6%	10.4K	-180.7K	-688	0.35	106.97	69	24	273	37
2017-08-18	$18.90	$0.00	19.5%	5.6%	14.6%	18.7%	0.0%	6.2%	2.4%	10.0K	-175.2K	-677	0.35	108.61	69	24	273	38
2017-08-21	$19.37	$0.00	14.4%	4.1%	16.6%	7.4%	0.0%	16.1%	3.8%	12.2K	-212.5K	-589	0.12	106.02	120	14	203	28
2017-08-22	$19.23	$0.00	13.3%	3.8%	17.0%	4.8%	0.0%	11.8%	12.9%	17.0K	-279.1K	-1.1K	0.12	105.14	120	14	304	28
2017-08-23	$19.30	$0.00	17.0%	4.9%	16.9%	13.1%	0.0%	9.8%	6.8%	17.3K	-291.3K	-1.1K	0.19	109.44	122	23	304	28
2017-08-24	$19.35	$0.00	15.4%	4.4%	15.6%	9.5%	0.0%	12.1%	9.1%	16.7K	-311.5K	-1.1K	0.65	111.29	40	26	304	34
2017-08-25	$19.21	$0.00	21.0%	6.0%	16.0%	22.1%	0.0%	5.1%	-1.9%	16.6K	-293.0K	-1.3K	0.50	110.72	40	20	323	38
2017-08-28	$18.87	$0.00	21.3%	6.1%	17.6%	22.7%	0.0%	3.3%	3.3%	17.8K	-275.1K	-1.2K	0.47	99.46	40	19	323	42
2017-08-29	$19.06	$0.00	23.5%	6.7%	17.8%	27.4%	0.0%	-0.6%	-6.8%	17.4K	-270.7K	-1.2K	0.47	108.88	40	19	323	43
2017-08-30	$19.13	$0.00	19.1%	5.5%	17.2%	17.9%	0.0%	7.0%	-2.1%	18.6K	-273.6K	-1.1K	0.70	101.17	40	28	323	43
2017-08-31	$19.30	$0.00	20.1%	5.8%	16.7%	20.0%	0.0%	-4.4%	-2.9%	18.1K	-302.3K	-1.2K	0.70	107.18	40	28	323	52