CTRE Options History — June 2018

In June 2018, CTRE traded between $16.40 and $17.08. ATM implied volatility averaged 26.3%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.0% (HV 20d: 18.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.35.

Notable Days

2018-06-01: Highest Volume — 223 contracts
2018-06-21: Largest IV spike — 262.0% change
2018-06-21: Highest IV Rank — 30.1%
2018-06-21: Largest Expected Move — 18.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.76	$16.40	$17.08	$16.60	$16.68
Max Pain	$13.45	$12.50	$15.00	$12.50	$12.50
ATM IV	26.3%	14.7%	64.2%	30.3%	19.3%
Expected Move	5.9%	3.0%	18.4%	8.7%	5.5%
HV 20d	18.4%	13.9%	29.1%	29.0%	16.4%
HV 60d	25.3%	24.1%	26.0%	26.0%	24.2%
IV Rank	8.3%	1.6%	30.1%	10.6%	4.2%
IV Percentile	39.9%	1.2%	96.8%	74.6%	9.1%
Term Structure	3.8%	-11.5%	10.7%	-11.5%	7.1%
VWIV	27.6%	16.0%	76.8%	76.8%	58.8%
Skew 25d	3.7%	-6.3%	15.4%	-1.0%	5.3%
Skew 10d	-0.7%	-7.8%	11.2%	-2.0%	-5.4%
Call IV 25d	16.9%	8.3%	38.1%	38.1%	14.1%
Put IV 25d	20.6%	16.4%	37.1%	37.1%	19.4%
Bid-Ask Spread %	98.81	51.44	134.96	113.31	89.03
Gamma HHI	0.65	0.48	0.79	0.48	0.78
Net GEX	20.2K	14.6K	26.4K	14.6K	23.4K
Net DEX	-375.5K	-418.6K	-332.2K	-360.6K	-339.2K
Net VEX	-1.6K	-1.8K	-1.3K	-1.4K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.05	1.30	0.05	1.30
Total Volume	177.429	106	223	223	106
Total OI	567.19	490	633	490	626

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
2018-06-01	$16.60	$12.50	30.3%	8.7%	29.0%	10.6%	76.8%	-1.0%	-11.5%	14.6K	-360.6K	-1.4K	0.05	113.31	212	11	474	16
2018-06-04	$16.82	$12.50	27.5%	5.7%	29.0%	9.0%	23.2%	-0.4%	-2.5%	18.0K	-383.6K	-1.3K	0.06	84.75	184	11	484	16
2018-06-05	$16.69	$12.50	22.6%	4.4%	29.1%	6.1%	22.2%	4.3%	5.4%	18.7K	-386.9K	-1.5K	0.06	90.11	190	11	509	16
2018-06-06	$16.70	$12.50	28.9%	4.7%	29.0%	9.8%	23.9%	4.1%	4.5%	20.3K	-395.1K	-1.5K	0.07	120.08	169	11	537	16
2018-06-07	$16.68	$12.50	34.4%	3.5%	14.9%	12.9%	16.3%	-0.4%	4.4%	19.8K	-404.0K	-1.6K	0.06	117.88	186	11	540	16
2018-06-08	$16.70	$12.50	25.6%	3.7%	14.8%	7.9%	16.1%	3.3%	6.5%	20.9K	-403.2K	-1.6K	0.06	117.94	186	11	560	16
2018-06-11	$16.61	$12.50	38.2%	4.9%	13.9%	15.1%	23.6%	3.4%	3.5%	20.4K	-393.1K	-1.6K	0.06	74.16	186	11	560	16
2018-06-12	$16.77	$12.50	49.4%	3.0%	14.0%	21.6%	16.0%	14.1%	9.1%	21.9K	-418.6K	-1.6K	0.06	55.14	184	11	560	16
2018-06-13	$16.40	$12.50	16.2%	4.6%	16.5%	2.4%	23.6%	-6.3%	0.5%	17.5K	-352.1K	-1.5K	0.16	87.33	184	30	564	16
2018-06-14	$16.77	$15.00	15.5%	4.4%	16.9%	2.0%	16.8%	8.2%	8.4%	21.6K	-403.8K	-1.6K	0.17	80.67	175	30	564	33
2018-06-15	$16.74	$15.00	19.4%	5.5%	16.4%	4.3%	16.9%	6.8%	7.3%	18.5K	-404.5K	-1.6K	0.17	110.49	175	30	564	33
2018-06-18	$16.74	$15.00	20.5%	5.9%	16.5%	4.9%	23.5%	9.3%	9.3%	18.4K	-340.3K	-1.5K	0.22	81.46	147	32	505	32
2018-06-19	$16.63	$15.00	21.6%	6.2%	16.7%	5.6%	29.2%	13.2%	8.6%	17.8K	-332.2K	-1.6K	0.23	116.11	147	34	506	35
2018-06-20	$16.85	$15.00	17.7%	5.1%	17.0%	3.3%	17.6%	2.7%	3.1%	19.3K	-354.3K	-1.5K	0.26	114.00	147	38	506	37
2018-06-21	$16.77	$15.00	64.2%	18.4%	15.8%	30.1%	59.6%	-5.7%	8.2%	18.4K	-343.2K	-1.6K	0.25	134.96	155	38	506	41
2018-06-22	$16.83	$15.00	18.9%	5.4%	15.8%	4.0%	26.3%	15.4%	10.7%	19.8K	-358.1K	-1.6K	0.25	115.79	155	39	524	42
2018-06-25	$17.08	$15.00	19.4%	5.6%	16.3%	4.3%	21.5%	-4.3%	-0.7%	20.1K	-398.1K	-1.6K	0.76	106.77	67	51	514	42
2018-06-26	$17.00	$12.50	29.0%	8.3%	15.9%	9.8%	26.7%	-4.5%	-10.4%	23.3K	-382.8K	-1.7K	0.81	105.78	74	60	552	54
2018-06-27	$16.97	$12.50	20.0%	5.7%	15.7%	4.6%	22.7%	7.4%	4.2%	24.6K	-365.3K	-1.7K	1.02	51.44	59	60	569	64
2018-06-28	$16.89	$12.50	14.7%	4.2%	15.8%	1.6%	17.4%	3.0%	4.0%	26.4K	-366.8K	-1.8K	1.25	107.84	48	60	566	64
2018-06-29	$16.68	$12.50	19.3%	5.5%	16.4%	4.2%	58.8%	5.3%	7.1%	23.4K	-339.2K	-1.8K	1.30	89.03	46	60	562	64