CTRE Options History — September 2017

In September 2017, CTRE traded between $18.79 and $19.71. ATM implied volatility averaged 24.5%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.7% (HV 20d: 15.9%). 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 9 of 20 days. Put/call ratio averaged 0.73.

Notable Days

2017-09-29: Highest Volume — 154 contracts
2017-09-12: Largest IV spike — 66.6% change
2017-09-12: Highest IV Rank — 83.6%
2017-09-26: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.22	$18.79	$19.71	$19.40	$19.04
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	24.5%	16.5%	48.8%	22.2%	24.0%
Expected Move	5.9%	4.7%	8.0%	6.4%	6.9%
HV 20d	15.9%	14.2%	17.2%	16.3%	14.2%
HV 60d	17.4%	14.7%	18.4%	18.2%	14.7%
IV Rank	31.4%	12.0%	83.6%	24.6%	31.6%
IV Percentile	47.8%	4.0%	98.8%	38.1%	52.8%
Term Structure	-0.7%	-10.9%	8.5%	2.5%	-4.5%
VWIV	23.4%	19.3%	26.5%	20.4%	25.1%
Skew 25d	0.3%	-10.0%	11.0%	3.4%	-6.3%
Skew 10d	-2.2%	-14.9%	9.4%	-11.8%	-14.9%
Call IV 25d	21.7%	15.9%	27.2%	20.0%	24.4%
Put IV 25d	21.9%	15.0%	30.4%	23.4%	18.1%
Bid-Ask Spread %	103.98	47.46	110.48	106.89	107.15
Gamma HHI	0.73	0.64	0.95	0.72	0.95
Net GEX	17.5K	14.8K	19.2K	18.3K	14.8K
Net DEX	-270.4K	-331.0K	-152.0K	-303.1K	-152.0K
Net VEX	-1.2K	-1.2K	-1.0K	-1.2K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.47	1.14	0.70	0.47
Total Volume	86.75	67	154	68	154
Total OI	391	371	422	375	371

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
2017-09-01	$19.40	$0.00	22.2%	6.4%	16.3%	24.6%	0.0%	3.4%	2.5%	18.3K	-303.1K	-1.2K	0.70	106.89	40	28	323	52
2017-09-05	$19.32	$17.50	27.9%	5.4%	16.1%	37.3%	20.4%	0.1%	-1.2%	18.5K	-319.2K	-1.2K	0.68	107.33	40	27	323	52
2017-09-06	$19.29	$17.50	28.1%	6.0%	16.2%	37.8%	25.3%	5.9%	-8.8%	17.4K	-302.3K	-1.2K	0.68	103.58	40	27	323	53
2017-09-07	$19.27	$17.50	29.8%	4.7%	16.3%	41.5%	21.8%	11.0%	5.9%	16.6K	-292.9K	-1.2K	0.68	109.21	40	27	323	53
2017-09-08	$19.46	$17.50	26.9%	5.3%	15.8%	35.0%	19.3%	-0.3%	1.3%	18.7K	-308.9K	-1.2K	0.80	108.11	40	32	323	53
2017-09-11	$19.71	$17.50	29.3%	5.0%	16.0%	40.3%	22.2%	0.4%	0.0%	18.4K	-331.0K	-1.2K	0.48	108.00	61	29	323	58
2017-09-12	$19.29	$17.50	48.8%	5.7%	17.2%	83.6%	20.8%	-1.0%	-1.4%	18.5K	-301.9K	-1.2K	0.48	107.49	61	29	328	60
2017-09-13	$19.27	$17.50	16.5%	4.7%	17.1%	12.0%	19.4%	4.2%	-1.1%	17.4K	-277.7K	-1.1K	0.48	110.48	61	29	328	60
2017-09-14	$19.52	$17.50	19.1%	5.5%	16.8%	19.7%	21.0%	-4.2%	-0.6%	19.2K	-314.2K	-1.2K	0.56	106.53	61	34	328	60
2017-09-15	$19.56	$17.50	23.6%	6.8%	16.8%	30.7%	24.9%	-0.2%	-3.4%	18.3K	-322.4K	-1.2K	0.56	108.36	61	34	328	65
2017-09-18	$19.52	$17.50	22.8%	6.5%	16.8%	28.8%	24.6%	-0.5%	-1.6%	17.0K	-324.8K	-1.2K	0.61	108.78	56	34	328	65
2017-09-19	$19.26	$17.50	19.1%	5.5%	15.3%	19.6%	22.1%	1.8%	0.3%	18.6K	-288.5K	-1.1K	0.83	105.52	41	34	333	65
2017-09-20	$19.04	$17.50	22.4%	6.4%	15.6%	27.8%	26.5%	0.2%	1.6%	17.4K	-246.7K	-1.1K	0.76	110.40	45	34	334	65
2017-09-21	$19.02	$17.50	18.8%	5.4%	15.5%	18.8%	26.3%	0.8%	-0.7%	18.1K	-219.7K	-1.0K	0.76	110.13	45	34	331	65
2017-09-22	$18.82	$17.50	20.9%	6.0%	15.9%	24.2%	26.4%	7.3%	2.0%	16.3K	-216.2K	-1.1K	0.76	104.62	45	34	331	65
2017-09-25	$18.93	$17.50	18.8%	5.4%	15.9%	18.9%	26.4%	-1.8%	5.1%	16.4K	-216.0K	-1.0K	1.09	101.54	45	49	331	64
2017-09-26	$18.79	$17.50	27.9%	8.0%	14.8%	41.2%	23.5%	-10.0%	-7.0%	16.5K	-238.8K	-1.2K	1.14	103.23	43	49	331	84
2017-09-27	$18.90	$17.50	19.8%	5.7%	14.5%	21.5%	25.0%	-0.0%	8.5%	16.4K	-200.0K	-1.0K	1.14	47.46	43	49	335	84
2017-09-28	$18.93	$17.50	24.4%	7.0%	14.4%	32.6%	23.2%	-5.7%	-10.9%	17.0K	-230.9K	-1.1K	0.96	104.89	51	49	338	84
2017-09-29	$19.04	$17.50	24.0%	6.9%	14.2%	31.6%	25.1%	-6.3%	-4.5%	14.8K	-152.0K	-1.2K	0.47	107.15	105	49	287	84