CTRE Options History — October 2017

In October 2017, CTRE traded between $18.73 and $19.49. ATM implied volatility averaged 23.1%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 7.4% (HV 20d: 15.7%). Max pain ranged from $2.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.51.

Notable Days

2017-10-03: Highest Volume — 171 contracts
2017-10-13: Largest IV spike — 69.9% change
2017-10-09: Highest IV Rank — 47.5%
2017-10-31: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.07	$18.73	$19.49	$19.28	$18.92
Max Pain	$13.30	$2.50	$15.00	$2.50	$15.00
ATM IV	23.1%	11.9%	30.4%	23.7%	26.0%
Expected Move	6.4%	3.4%	7.5%	6.8%	7.5%
HV 20d	15.7%	14.1%	17.6%	14.8%	17.1%
HV 60d	15.5%	14.6%	16.2%	14.9%	16.2%
IV Rank	29.5%	2.1%	47.5%	31.1%	36.6%
IV Percentile	47.9%	0.4%	90.1%	52.0%	67.5%
Term Structure	-3.0%	-12.7%	4.7%	-12.7%	-4.2%
VWIV	24.0%	15.7%	29.2%	25.7%	27.4%
Skew 25d	2.9%	-6.4%	13.2%	-2.8%	2.8%
Skew 10d	1.4%	-15.0%	45.5%	-14.0%	-3.0%
Call IV 25d	23.9%	15.4%	29.3%	23.6%	27.5%
Put IV 25d	26.8%	19.4%	32.2%	20.7%	30.3%
Bid-Ask Spread %	105.65	101.58	111.38	106.32	103.21
Gamma HHI	0.95	0.89	0.97	0.97	0.90
Net GEX	14.6K	9.1K	24.0K	18.9K	9.7K
Net DEX	-229.6K	-336.3K	-133.5K	-281.9K	-136.2K
Net VEX	-1.0K	-1.2K	-837	-1.1K	-866
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.43	0.80	0.47	0.45
Total Volume	136.364	74	171	154	74
Total OI	391.273	282	451	436	282

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
2017-10-02	$19.28	$2.50	23.7%	6.8%	14.8%	31.1%	25.7%	-2.8%	-12.7%	18.9K	-281.9K	-1.1K	0.47	106.32	105	49	352	84
2017-10-03	$19.49	$2.50	21.2%	6.1%	15.3%	24.9%	23.8%	0.6%	2.9%	20.3K	-336.3K	-1.2K	0.51	107.42	113	58	352	84
2017-10-04	$19.20	$2.50	22.3%	6.4%	16.2%	27.6%	21.2%	-6.4%	-4.6%	17.2K	-289.1K	-1.2K	0.51	105.44	113	58	357	94
2017-10-05	$18.97	$15.00	27.1%	5.9%	16.7%	39.3%	24.1%	6.5%	-3.2%	15.5K	-262.7K	-1.1K	0.51	106.64	113	58	357	94
2017-10-06	$18.73	$15.00	25.6%	7.3%	16.8%	35.5%	27.4%	4.0%	-1.7%	12.8K	-241.6K	-1.1K	0.51	106.38	113	58	357	84
2017-10-09	$18.95	$15.00	30.4%	6.7%	16.6%	47.5%	29.2%	4.3%	-5.9%	16.1K	-255.0K	-1.1K	0.51	107.53	113	58	357	84
2017-10-10	$18.85	$15.00	25.7%	6.1%	15.0%	36.0%	27.5%	3.0%	-5.6%	13.7K	-238.3K	-1.1K	0.43	105.21	113	49	357	84
2017-10-11	$18.79	$15.00	19.9%	5.7%	15.0%	21.6%	19.9%	4.5%	-1.0%	13.4K	-237.0K	-1.0K	0.43	107.75	113	49	357	84
2017-10-12	$18.94	$15.00	11.9%	3.4%	14.5%	2.1%	15.7%	13.2%	4.7%	15.2K	-241.5K	-1.0K	0.43	101.58	113	49	357	84
2017-10-13	$19.04	$15.00	20.3%	5.8%	14.7%	22.6%	20.3%	5.2%	0.3%	16.7K	-248.8K	-989	0.43	111.38	113	49	357	84
2017-10-16	$19.05	$15.00	24.1%	6.9%	14.7%	32.1%	27.2%	-2.2%	-7.4%	16.7K	-248.4K	-978	0.43	108.08	113	49	357	84
2017-10-17	$19.13	$15.00	21.0%	6.0%	14.1%	24.4%	18.9%	1.7%	4.7%	19.3K	-259.7K	-979	0.43	105.20	113	49	357	84
2017-10-18	$19.47	$15.00	23.0%	6.6%	14.8%	29.2%	20.1%	5.9%	3.2%	24.0K	-298.0K	-1.0K	0.43	105.61	113	49	357	84
2017-10-19	$19.22	$15.00	23.5%	6.7%	15.6%	30.4%	26.5%	-0.4%	-7.6%	19.4K	-276.8K	-989	0.43	102.26	113	49	357	84
2017-10-20	$19.29	$15.00	25.3%	7.2%	15.1%	34.8%	28.7%	-1.3%	-7.7%	11.2K	-253.5K	-983	0.48	102.67	102	49	348	84
2017-10-23	$19.13	$15.00	22.0%	6.3%	15.3%	26.8%	22.3%	5.9%	-0.4%	9.7K	-166.9K	-969	0.80	103.56	45	36	226	57
2017-10-24	$18.80	$15.00	24.2%	6.9%	16.4%	32.2%	25.7%	0.5%	-5.2%	9.1K	-155.7K	-954	0.77	106.15	47	36	226	57
2017-10-25	$18.88	$15.00	24.3%	7.0%	16.3%	32.5%	24.0%	4.1%	-5.3%	10.0K	-133.5K	-889	0.60	105.22	47	28	229	57
2017-10-26	$18.93	$15.00	23.7%	6.8%	16.3%	30.9%	25.1%	3.6%	2.9%	9.8K	-159.2K	-955	0.60	105.31	47	28	229	59
2017-10-27	$19.29	$15.00	19.9%	5.7%	17.6%	21.6%	21.6%	6.2%	-4.7%	11.2K	-183.3K	-943	0.56	106.53	50	28	229	59
2017-10-30	$19.10	$15.00	23.0%	6.6%	17.3%	29.2%	25.6%	4.2%	-6.7%	11.6K	-148.0K	-837	0.56	104.94	50	28	223	59
2017-10-31	$18.92	$15.00	26.0%	7.5%	17.1%	36.6%	27.4%	2.8%	-4.2%	9.7K	-136.2K	-866	0.45	103.21	51	23	223	59