CTRE Options History — February 2018

In February 2018, CTRE traded between $13.25 and $15.37. ATM implied volatility averaged 31.8%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.9% (HV 20d: 25.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.02.

Notable Days

2018-02-28: Highest Volume — 262 contracts
2018-02-26: Largest IV spike — 22.8% change
2018-02-05: Highest IV Rank — 16.7%
2018-02-27: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.84	$13.25	$15.37	$15.34	$13.25
Max Pain	$14.62	$10.00	$15.00	$15.00	$10.00
ATM IV	31.8%	25.1%	40.3%	30.0%	34.4%
Expected Move	8.6%	7.2%	10.5%	7.6%	9.9%
HV 20d	25.9%	22.0%	38.2%	22.9%	38.2%
HV 60d	19.3%	17.2%	25.1%	18.6%	25.1%
IV Rank	11.9%	8.1%	16.7%	10.9%	13.4%
IV Percentile	88.4%	63.5%	97.2%	90.1%	94.8%
Term Structure	-4.0%	-12.4%	0.5%	-8.3%	-0.8%
VWIV	33.0%	25.7%	55.6%	31.7%	55.6%
Skew 25d	1.7%	-20.7%	6.9%	2.6%	-20.7%
Skew 10d	4.8%	-2.7%	11.3%	6.8%	-2.7%
Call IV 25d	35.4%	27.2%	63.3%	28.0%	63.3%
Put IV 25d	37.1%	26.2%	44.5%	30.6%	42.6%
Bid-Ask Spread %	115.47	105.31	124.45	117.72	108.99
Gamma HHI	0.54	0.36	0.88	0.87	0.77
Net GEX	-25	-1.4K	10.0K	-1.3K	4.3K
Net DEX	38.9K	-22.7K	48.9K	38.3K	20.6K
Net VEX	-209	-487	-158	-174	-335
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.15	1.85	1.85	0.19
Total Volume	96.842	62	262	74	262
Total OI	143.211	114	320	114	320

Daily Data (19 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
2018-02-01	$15.34	$0.00	30.0%	7.6%	22.9%	10.9%	0.0%	2.6%	-8.3%	-1.3K	38.3K	-174	1.85	117.72	26	48	48	66
2018-02-02	$15.37	$0.00	33.1%	7.3%	22.0%	12.6%	0.0%	-1.0%	-0.5%	-1.2K	40.1K	-189	1.38	119.17	26	36	48	66
2018-02-05	$15.11	$0.00	40.3%	7.6%	22.5%	16.7%	0.0%	1.9%	-0.7%	-1.3K	45.9K	-192	1.38	120.59	26	36	48	69
2018-02-06	$15.14	$0.00	38.2%	9.0%	22.5%	15.5%	0.0%	3.2%	-4.8%	-1.4K	44.7K	-196	1.38	124.45	26	36	48	69
2018-02-07	$15.07	$0.00	31.1%	8.9%	22.4%	11.5%	0.0%	4.5%	-1.5%	-1.3K	46.3K	-203	1.38	122.96	26	36	47	69
2018-02-08	$14.70	$0.00	31.7%	9.1%	23.3%	11.8%	31.7%	3.1%	-0.8%	-1.2K	48.9K	-198	1.16	114.85	31	36	47	69
2018-02-09	$15.05	$15.00	33.5%	9.6%	25.1%	12.9%	33.3%	6.9%	-3.7%	-950	43.1K	-206	1.13	122.87	32	36	52	69
2018-02-12	$14.77	$15.00	33.6%	9.6%	25.4%	12.9%	35.1%	-0.0%	-6.0%	-1.0K	48.9K	-188	1.09	116.88	33	36	55	69
2018-02-13	$14.96	$15.00	34.1%	9.8%	26.0%	13.2%	34.3%	3.3%	-5.3%	-759	41.0K	-219	1.03	115.31	35	36	59	69
2018-02-14	$14.76	$15.00	28.2%	8.1%	25.9%	9.8%	29.6%	1.4%	-1.8%	-629	43.4K	-191	1.03	110.08	35	36	61	69
2018-02-15	$14.96	$15.00	25.1%	7.2%	25.9%	8.1%	25.7%	4.4%	0.5%	-600	43.0K	-190	1.03	113.96	35	36	61	69
2018-02-16	$15.16	$15.00	27.1%	7.8%	25.9%	9.2%	26.2%	5.4%	-0.8%	-487	36.5K	-187	1.03	120.47	35	36	61	69
2018-02-20	$14.77	$15.00	27.3%	7.8%	27.4%	9.3%	28.0%	3.6%	-7.1%	-513	45.2K	-159	1.00	112.92	33	33	59	66
2018-02-21	$14.86	$15.00	28.0%	8.0%	27.0%	9.7%	28.9%	3.6%	-4.9%	-533	43.8K	-161	1.03	112.64	32	33	59	66
2018-02-22	$14.82	$15.00	29.6%	8.5%	27.0%	10.6%	33.2%	0.9%	-9.1%	-495	42.6K	-171	1.03	113.11	32	33	60	66
2018-02-23	$14.88	$15.00	27.6%	7.9%	27.0%	9.5%	28.6%	3.8%	-1.1%	-451	43.4K	-171	1.03	112.94	32	33	60	66
2018-02-26	$14.62	$15.00	33.9%	9.7%	27.4%	13.1%	34.6%	2.8%	-7.5%	-496	46.4K	-158	0.15	108.78	221	33	60	66
2018-02-27	$14.32	$15.00	36.6%	10.5%	28.1%	14.6%	36.9%	3.2%	-12.4%	10.0K	-22.7K	-487	0.15	105.31	220	33	250	66
2018-02-28	$13.25	$10.00	34.4%	9.9%	38.2%	13.4%	55.6%	-20.7%	-0.8%	4.3K	20.6K	-335	0.19	108.99	220	42	254	66