CTRE Options History — March 2018

In March 2018, CTRE traded between $13.23 and $14.26. ATM implied volatility averaged 36.3%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.8% (HV 20d: 35.6%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.22.

Notable Days

2018-03-21: Highest Volume — 313 contracts
2018-03-14: Largest IV drop — 63.9% change
2018-03-13: Highest IV Rank — 27.7%
2018-03-28: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.72	$13.23	$14.26	$13.37	$13.41
Max Pain	$14.52	$10.00	$15.00	$10.00	$15.00
ATM IV	36.3%	20.0%	59.4%	38.2%	34.5%
Expected Move	8.2%	5.7%	12.5%	11.0%	9.9%
HV 20d	35.6%	23.5%	38.4%	36.2%	23.5%
HV 60d	27.1%	25.2%	27.9%	25.2%	27.8%
IV Rank	14.5%	5.1%	27.7%	15.6%	13.4%
IV Percentile	80.6%	27.0%	98.4%	96.8%	90.9%
Term Structure	0.8%	-12.8%	14.8%	0.6%	-2.2%
VWIV	24.0%	14.0%	43.0%	39.4%	35.4%
Skew 25d	8.3%	-0.2%	18.6%	-0.2%	5.1%
Skew 10d	13.0%	-3.0%	35.4%	15.4%	21.0%
Call IV 25d	24.1%	15.1%	41.9%	41.9%	30.0%
Put IV 25d	32.3%	25.5%	43.5%	41.7%	35.1%
Bid-Ask Spread %	109.80	101.47	113.42	109.77	111.58
Gamma HHI	0.86	0.74	0.93	0.81	0.85
Net GEX	6.6K	3.5K	10.8K	4.3K	5.6K
Net DEX	11.7K	-20.8K	49.8K	33.2K	-20.8K
Net VEX	-423	-509	-315	-362	-384
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.16	0.71	0.17	0.62
Total Volume	279.619	108	313	282	136
Total OI	365	333	384	333	357

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
2018-03-01	$13.37	$10.00	38.2%	11.0%	36.2%	15.6%	39.4%	-0.2%	0.6%	4.3K	33.2K	-362	0.17	109.77	240	42	254	79
2018-03-02	$13.23	$10.00	38.2%	11.0%	34.8%	15.6%	38.2%	1.6%	-6.9%	3.5K	49.8K	-315	0.17	111.67	240	42	274	79
2018-03-05	$13.48	$15.00	43.1%	9.2%	35.9%	18.4%	23.4%	18.6%	-7.0%	4.5K	31.7K	-391	0.17	109.42	240	42	274	79
2018-03-06	$13.43	$15.00	40.5%	7.7%	35.7%	16.9%	20.6%	6.0%	0.8%	4.2K	44.0K	-339	0.17	101.57	240	42	274	79
2018-03-07	$13.89	$15.00	39.5%	6.7%	38.3%	16.3%	18.7%	9.4%	10.6%	7.2K	14.0K	-465	0.17	111.55	240	42	274	79
2018-03-08	$13.72	$15.00	52.0%	8.3%	38.4%	23.5%	20.2%	6.3%	-10.7%	6.2K	25.8K	-414	0.17	110.40	240	42	274	79
2018-03-09	$13.67	$15.00	56.8%	8.5%	37.7%	26.2%	17.7%	10.3%	-10.5%	5.8K	28.8K	-401	0.17	107.07	241	42	274	79
2018-03-12	$14.03	$15.00	54.2%	6.4%	37.9%	24.8%	16.7%	7.9%	14.8%	8.4K	8.0K	-449	0.17	111.48	241	42	277	79
2018-03-13	$14.00	$15.00	59.4%	6.3%	37.5%	27.7%	17.5%	12.6%	8.6%	8.2K	8.5K	-447	0.16	111.41	262	42	277	79
2018-03-14	$13.91	$15.00	21.5%	6.2%	37.1%	6.0%	16.7%	12.7%	8.7%	7.7K	-1.3K	-479	0.16	101.47	262	42	297	79
2018-03-15	$14.01	$15.00	24.2%	6.9%	37.1%	7.5%	19.4%	9.2%	7.6%	8.5K	-11.2K	-509	0.16	111.39	262	42	297	79
2018-03-16	$14.26	$15.00	20.0%	5.7%	37.3%	5.1%	14.0%	16.9%	13.0%	10.8K	-18.7K	-506	0.16	106.99	262	42	297	79
2018-03-19	$14.22	$15.00	22.5%	6.4%	36.9%	6.5%	16.6%	8.1%	5.3%	10.1K	-8.7K	-471	0.17	111.17	258	45	288	79
2018-03-20	$14.13	$15.00	22.4%	6.4%	35.9%	6.5%	17.7%	6.0%	9.2%	9.3K	-9.5K	-482	0.17	111.23	258	45	288	82
2018-03-21	$13.81	$15.00	25.9%	7.4%	36.5%	8.5%	23.6%	6.7%	2.7%	6.7K	-981	-441	0.17	111.37	268	45	288	83
2018-03-22	$13.83	$15.00	29.0%	8.3%	36.5%	10.3%	22.0%	9.8%	2.1%	7.1K	-7.7K	-480	0.17	113.42	268	45	298	83
2018-03-23	$13.52	$15.00	32.1%	9.2%	37.0%	12.0%	27.1%	1.7%	-7.7%	5.1K	17.3K	-408	0.17	111.83	268	45	298	83
2018-03-26	$13.43	$15.00	33.6%	9.6%	36.7%	12.9%	25.4%	5.8%	-7.1%	4.6K	28.5K	-362	0.17	107.50	267	45	298	83
2018-03-27	$13.34	$15.00	31.9%	9.1%	36.2%	11.9%	31.0%	1.3%	-3.1%	3.7K	35.8K	-324	0.18	111.67	252	45	299	83
2018-03-28	$13.47	$15.00	43.6%	12.5%	23.6%	18.7%	43.0%	17.6%	-12.8%	6.2K	-1.9K	-456	0.71	111.86	63	45	301	83
2018-03-29	$13.41	$15.00	34.5%	9.9%	23.5%	13.4%	35.4%	5.1%	-2.2%	5.6K	-20.8K	-384	0.62	111.58	84	52	301	56