CTRE Options History — January 2018

In January 2018, CTRE traded between $15.33 and $16.92. ATM implied volatility averaged 35.6%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 19.0% (HV 20d: 16.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.64.

Notable Days

2018-01-19: Highest Volume — 95 contracts
2018-01-04: Largest IV spike — 247.7% change
2018-01-31: Highest IV Rank — 49.7%
2018-01-31: Largest Expected Move — 28.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.84	$15.33	$16.92	$16.92	$15.89
Max Pain	$15.38	$15.00	$17.50	$17.50	$15.00
ATM IV	35.6%	22.3%	97.7%	22.3%	97.7%
Expected Move	9.9%	5.1%	28.0%	6.4%	28.0%
HV 20d	16.6%	13.5%	20.8%	13.5%	20.8%
HV 60d	16.7%	16.2%	17.5%	16.2%	17.5%
IV Rank	14.1%	6.4%	49.7%	6.4%	49.7%
IV Percentile	84.9%	47.2%	99.6%	47.2%	99.6%
Term Structure	-17.5%	-134.9%	4.5%	-3.7%	-134.9%
VWIV	29.8%	20.4%	36.0%	20.4%	36.0%
Skew 25d	10.3%	-3.4%	38.8%	-0.7%	2.1%
Skew 10d	32.6%	-7.9%	100.8%	-6.5%	6.3%
Call IV 25d	28.4%	16.7%	39.3%	27.3%	39.3%
Put IV 25d	38.7%	24.8%	68.0%	26.6%	41.4%
Bid-Ask Spread %	116.97	111.78	120.61	118.02	120.61
Gamma HHI	0.52	0.32	0.85	0.36	0.68
Net GEX	-829	-1.5K	819	-523	-1.1K
Net DEX	50.4K	32.7K	73.0K	50.1K	35.4K
Net VEX	-204	-281	-145	-248	-200
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	1.03	1.91	1.03	1.85
Total Volume	81.286	67	95	67	74
Total OI	213.619	101	286	266	114

Daily Data (21 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
2018-01-02	$16.92	$17.50	22.3%	6.4%	13.5%	6.4%	20.4%	-0.7%	-3.7%	-523	50.1K	-248	1.03	118.02	33	34	192	74
2018-01-03	$16.57	$17.50	27.8%	8.0%	14.7%	9.6%	28.3%	-3.3%	-4.3%	377	50.2K	-255	1.03	119.99	33	34	192	74
2018-01-04	$16.22	$0.00	96.5%	18.5%	15.9%	49.0%	0.0%	-1.4%	-82.8%	819	49.6K	-264	1.67	119.56	33	55	192	74
2018-01-05	$16.27	$0.00	33.9%	5.6%	16.1%	13.1%	0.0%	1.8%	2.1%	369	54.0K	-281	1.67	119.27	33	55	192	94
2018-01-08	$16.27	$0.00	35.8%	5.1%	16.0%	14.2%	0.0%	9.2%	4.5%	-997	73.0K	-214	1.67	115.52	33	55	192	94
2018-01-09	$16.09	$0.00	25.6%	19.8%	16.1%	8.3%	0.0%	5.9%	-88.7%	-809	69.7K	-234	1.67	119.92	33	55	192	94
2018-01-10	$15.86	$0.00	26.6%	7.6%	16.5%	8.9%	0.0%	15.3%	-3.9%	-308	55.2K	-221	1.64	113.51	33	54	192	82
2018-01-11	$15.68	$0.00	28.4%	8.2%	16.6%	10.0%	0.0%	33.1%	3.4%	-443	58.4K	-216	1.54	111.78	35	54	192	82
2018-01-12	$15.46	$0.00	30.2%	8.7%	15.9%	11.0%	0.0%	38.8%	-5.9%	-601	57.8K	-178	1.54	114.58	35	54	194	82
2018-01-16	$15.44	$0.00	27.6%	7.9%	16.0%	9.5%	28.0%	35.4%	-3.4%	-1.2K	63.7K	-160	1.63	118.08	35	57	194	82
2018-01-17	$15.60	$15.00	28.6%	8.2%	16.8%	10.0%	29.6%	32.9%	-8.7%	-1.5K	62.4K	-151	1.49	116.96	37	55	194	85
2018-01-18	$15.33	$15.00	29.1%	8.3%	16.2%	10.3%	29.4%	4.9%	-5.6%	-1.4K	62.7K	-168	1.49	116.40	37	55	196	85
2018-01-19	$15.53	$15.00	25.1%	7.2%	17.7%	8.1%	28.0%	3.7%	1.7%	-1.3K	66.6K	-155	1.57	117.54	37	58	196	85
2018-01-22	$15.52	$15.00	25.0%	7.2%	17.1%	8.0%	26.3%	2.6%	-2.1%	-1.4K	38.4K	-145	1.91	117.01	23	44	39	62
2018-01-23	$15.71	$15.00	31.4%	9.0%	17.1%	11.7%	32.8%	19.4%	-7.3%	-1.2K	35.9K	-179	1.85	115.47	26	48	42	62
2018-01-24	$15.69	$15.00	32.9%	9.4%	16.9%	12.5%	35.8%	29.1%	-2.0%	-1.2K	33.9K	-217	1.85	114.27	26	48	48	66
2018-01-25	$15.78	$15.00	28.8%	8.3%	17.2%	10.2%	27.8%	-3.4%	-4.5%	-1.2K	33.1K	-215	1.85	117.37	26	48	48	66
2018-01-26	$15.77	$15.00	27.7%	8.0%	17.1%	9.6%	28.3%	-2.9%	-1.9%	-1.2K	32.7K	-213	1.85	116.73	26	48	48	66
2018-01-29	$15.65	$15.00	32.0%	9.2%	17.1%	12.0%	32.6%	-2.8%	-9.0%	-1.3K	36.5K	-191	1.85	115.66	26	48	48	66
2018-01-30	$15.43	$15.00	34.1%	9.8%	17.5%	13.2%	34.5%	-3.0%	-9.5%	-1.3K	38.2K	-181	1.85	118.05	26	48	48	66
2018-01-31	$15.89	$15.00	97.7%	28.0%	20.8%	49.7%	36.0%	2.1%	-134.9%	-1.1K	35.4K	-200	1.85	120.61	26	48	48	66