CTRE Options History — December 2017

In December 2017, CTRE traded between $16.78 and $18.02. ATM implied volatility averaged 23.2%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 9.2% (HV 20d: 14.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2017-12-15: Highest Volume — 71 contracts
2017-12-13: Largest IV drop — 43.8% change
2017-12-12: Highest IV Rank — 13.4%
2017-12-06: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.47	$16.78	$18.02	$18.02	$16.78
Max Pain	$17.38	$15.00	$17.50	$15.00	$17.50
ATM IV	23.2%	19.1%	34.5%	19.2%	24.4%
Expected Move	6.2%	4.8%	8.0%	5.5%	7.0%
HV 20d	14.0%	11.6%	18.5%	18.5%	13.1%
HV 60d	16.3%	15.9%	17.1%	17.1%	16.2%
IV Rank	7.0%	4.6%	13.4%	4.7%	7.6%
IV Percentile	49.4%	17.5%	97.2%	19.4%	63.5%
Term Structure	0.7%	-4.9%	9.9%	3.2%	-4.4%
VWIV	21.9%	16.8%	26.6%	19.7%	25.0%
Skew 25d	7.2%	-10.8%	71.3%	-10.8%	-0.9%
Skew 10d	11.3%	-10.1%	106.2%	4.9%	-7.6%
Call IV 25d	24.0%	20.6%	30.6%	30.6%	26.5%
Put IV 25d	31.2%	19.1%	92.5%	19.7%	25.6%
Bid-Ask Spread %	117.98	110.13	121.76	117.25	119.61
Gamma HHI	0.59	0.36	0.79	0.79	0.36
Net GEX	2.3K	-227	5.9K	5.9K	-172
Net DEX	7.1K	-46.0K	52.8K	-46.0K	50.9K
Net VEX	-381	-574	-260	-574	-260
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.47	1.03	0.47	1.03
Total Volume	67.05	49	71	69	67
Total OI	268.6	260	280	280	266

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
2017-12-01	$18.02	$15.00	19.2%	5.5%	18.5%	4.7%	19.7%	-10.8%	3.2%	5.9K	-46.0K	-574	0.47	117.25	47	22	220	60
2017-12-04	$17.82	$17.50	22.9%	6.5%	18.3%	6.8%	22.8%	1.1%	0.8%	4.7K	-27.9K	-497	0.47	118.27	47	22	210	60
2017-12-05	$17.80	$17.50	26.4%	6.4%	17.2%	8.8%	22.6%	4.8%	0.3%	4.7K	-29.0K	-483	0.47	118.47	47	22	209	60
2017-12-06	$17.68	$17.50	23.0%	8.0%	17.1%	6.8%	26.6%	-1.6%	-4.8%	4.4K	-24.9K	-506	0.47	110.13	47	22	209	60
2017-12-07	$17.73	$17.50	19.9%	5.1%	17.3%	5.1%	18.6%	-1.5%	2.3%	3.1K	-13.8K	-403	0.49	112.33	47	23	209	60
2017-12-08	$17.70	$17.50	26.6%	6.5%	12.2%	8.9%	23.3%	4.5%	-0.5%	3.9K	-16.7K	-448	0.49	120.51	47	23	209	62
2017-12-11	$17.64	$17.50	28.7%	4.8%	12.1%	10.1%	16.8%	66.1%	9.9%	1.7K	-704	-370	0.49	116.28	47	23	209	62
2017-12-12	$17.61	$17.50	34.5%	5.1%	12.0%	13.4%	17.9%	71.3%	2.5%	1.4K	4.7K	-341	0.49	121.43	47	23	209	62
2017-12-13	$17.76	$17.50	19.4%	5.6%	12.6%	4.8%	20.0%	2.7%	6.7%	2.6K	-7.9K	-398	0.49	117.18	47	23	209	62
2017-12-14	$17.66	$17.50	20.9%	6.0%	12.3%	5.6%	21.5%	2.6%	1.6%	2.7K	-5.4K	-390	0.49	121.76	47	23	209	62
2017-12-15	$17.72	$17.50	21.1%	6.1%	11.6%	5.8%	21.7%	2.7%	4.1%	2.8K	-12.1K	-388	0.51	119.72	47	24	209	62
2017-12-18	$17.88	$17.50	19.1%	5.5%	12.3%	4.6%	19.9%	3.0%	2.0%	3.0K	7.1K	-389	0.77	120.52	30	23	198	62
2017-12-19	$17.67	$17.50	21.2%	6.1%	12.8%	5.8%	22.1%	3.9%	-2.3%	2.5K	12.3K	-358	0.88	120.04	26	23	198	62
2017-12-20	$17.33	$17.50	20.7%	5.9%	11.9%	5.5%	20.9%	3.0%	-0.2%	1.9K	16.6K	-343	1.00	119.43	34	34	198	62
2017-12-21	$16.96	$17.50	23.9%	6.9%	13.4%	7.4%	24.9%	-2.5%	-0.1%	266	41.7K	-299	1.00	114.40	34	34	193	76
2017-12-22	$17.00	$17.50	21.9%	6.3%	13.7%	6.2%	22.7%	4.7%	3.6%	464	46.2K	-320	1.00	118.90	34	34	193	76
2017-12-26	$17.00	$17.50	21.4%	6.1%	13.8%	5.9%	20.1%	-4.5%	-0.8%	225	46.9K	-297	1.03	114.78	33	34	193	76
2017-12-27	$16.82	$17.50	25.9%	7.4%	13.6%	8.5%	26.5%	-4.2%	-4.8%	610	47.3K	-303	1.03	119.51	33	34	192	76
2017-12-28	$16.83	$17.50	23.2%	6.7%	13.4%	7.0%	23.7%	-0.5%	-4.9%	-227	52.8K	-260	1.03	119.20	33	34	192	76
2017-12-29	$16.78	$17.50	24.4%	7.0%	13.1%	7.6%	25.0%	-0.9%	-4.4%	-172	50.9K	-260	1.03	119.61	33	34	192	74