CTRE Options History — November 2018

In November 2018, CTRE traded between $17.57 and $20.05. ATM implied volatility averaged 24.2%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.6% (HV 20d: 28.8%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.35.

Notable Days

2018-11-30: Highest Volume — 549 contracts
2018-11-13: Largest IV spike — 107.7% change
2018-11-13: Highest IV Rank — 47.9%
2018-11-30: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.16	$17.57	$20.05	$17.88	$20.05
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	24.2%	15.7%	53.2%	29.7%	32.2%
Expected Move	6.1%	4.9%	9.2%	8.5%	9.2%
HV 20d	28.8%	25.1%	32.0%	25.1%	29.6%
HV 60d	24.3%	20.8%	25.8%	20.8%	25.8%
IV Rank	11.9%	4.0%	47.9%	10.1%	23.3%
IV Percentile	40.2%	4.8%	95.2%	72.2%	79.0%
Term Structure	-1.0%	-6.8%	0.8%	-6.6%	-4.7%
VWIV	26.8%	19.4%	40.8%	28.0%	32.0%
Skew 25d	7.3%	-2.2%	85.1%	4.0%	85.1%
Skew 10d	9.8%	-6.5%	132.6%	5.6%	132.6%
Call IV 25d	21.8%	18.5%	29.9%	25.6%	29.9%
Put IV 25d	29.1%	19.7%	115.0%	29.7%	115.0%
Bid-Ask Spread %	97.82	72.62	113.68	106.14	100.82
Gamma HHI	0.69	0.48	0.96	0.59	0.62
Net GEX	20.2K	8.4K	34.5K	15.8K	29.0K
Net DEX	-439.3K	-718.0K	-223.5K	-250.4K	-718.0K
Net VEX	-1.0K	-1.5K	-840	-853	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.09	3.13	0.20	0.10
Total Volume	266.524	112	549	114	549
Total OI	610.238	420	883	420	883

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
2018-11-01	$17.88	$17.50	29.7%	8.5%	25.1%	10.1%	28.0%	4.0%	-6.6%	15.8K	-250.4K	-853	0.20	106.14	95	19	356	64
2018-11-02	$17.57	$17.50	30.0%	8.6%	25.9%	10.2%	30.0%	7.0%	-6.8%	15.5K	-223.5K	-894	0.20	72.62	94	19	370	64
2018-11-05	$18.00	$17.50	32.0%	6.6%	26.5%	11.4%	23.1%	5.4%	-0.7%	17.4K	-282.7K	-851	0.20	113.68	93	19	371	64
2018-11-06	$18.93	$17.50	29.5%	4.9%	31.5%	9.9%	19.7%	3.9%	-0.1%	18.6K	-420.3K	-875	0.16	103.36	126	20	371	64
2018-11-07	$19.29	$17.50	21.4%	5.5%	32.0%	10.7%	19.6%	5.3%	-0.2%	27.2K	-500.0K	-875	0.09	104.22	120	11	427	65
2018-11-08	$19.60	$17.50	15.7%	5.3%	27.1%	4.0%	23.4%	6.3%	0.5%	34.2K	-544.9K	-840	0.09	96.76	120	11	432	66
2018-11-09	$19.46	$17.50	20.6%	5.6%	26.8%	9.8%	26.2%	6.4%	-0.6%	31.6K	-527.0K	-882	0.25	106.25	110	28	442	66
2018-11-12	$19.63	$17.50	25.6%	5.8%	26.6%	15.6%	40.8%	-0.3%	0.1%	34.5K	-551.4K	-893	0.25	86.71	102	25	444	76
2018-11-13	$19.21	$17.50	53.2%	5.9%	27.6%	47.9%	19.4%	3.1%	0.2%	28.1K	-490.8K	-992	0.39	85.51	89	35	459	76
2018-11-14	$19.36	$17.50	19.0%	5.5%	27.2%	7.9%	20.6%	4.8%	0.4%	29.6K	-508.0K	-973	0.47	84.49	94	44	455	85
2018-11-15	$18.89	$17.50	17.9%	5.1%	29.2%	6.6%	25.5%	3.7%	-0.2%	17.2K	-364.8K	-1.0K	2.61	107.74	102	266	442	106
2018-11-16	$19.39	$17.50	20.1%	5.8%	30.2%	9.1%	33.0%	7.0%	-0.1%	10.7K	-416.3K	-1.1K	2.53	105.92	105	266	442	338
2018-11-19	$19.26	$17.50	19.8%	5.7%	30.2%	8.8%	23.3%	-1.3%	-1.0%	11.2K	-375.7K	-1.0K	2.62	80.02	101	265	365	327
2018-11-20	$19.26	$17.50	20.9%	6.0%	30.2%	10.1%	30.3%	6.7%	-0.4%	9.7K	-372.7K	-1.1K	2.77	99.41	96	266	369	329
2018-11-21	$19.13	$17.50	17.9%	5.1%	30.3%	6.5%	30.4%	5.5%	-0.1%	8.4K	-346.4K	-1.2K	3.13	99.62	85	266	379	329
2018-11-23	$19.49	$17.50	20.1%	5.8%	30.3%	9.1%	34.6%	7.8%	0.8%	14.0K	-431.1K	-1.0K	2.71	101.44	98	266	390	327
2018-11-26	$19.27	$17.50	21.1%	6.0%	30.1%	10.3%	27.2%	-1.3%	-1.2%	14.7K	-398.9K	-1.1K	2.71	103.26	98	266	403	327
2018-11-27	$19.38	$17.50	20.6%	5.9%	30.0%	9.7%	25.6%	-1.8%	-0.1%	15.6K	-435.4K	-998	2.91	99.75	91	265	403	327
2018-11-28	$19.43	$17.50	20.7%	5.9%	29.8%	9.9%	27.0%	-2.1%	-0.8%	19.1K	-474.3K	-1.1K	2.91	98.33	91	265	424	326
2018-11-29	$19.92	$17.50	20.4%	5.8%	29.6%	9.5%	22.7%	-2.2%	0.1%	22.8K	-592.6K	-999	1.06	98.20	251	265	436	326
2018-11-30	$20.05	$17.50	32.2%	9.2%	29.6%	23.3%	32.0%	85.1%	-4.7%	29.0K	-718.0K	-1.5K	0.10	100.82	498	51	557	326