CTRE Options History — September 2019

In September 2019, CTRE traded between $22.86 and $24.21. ATM implied volatility averaged 21.3%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.4% (HV 20d: 21.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.77.

Notable Days

2019-09-16: Highest Volume — 296 contracts
2019-09-10: Largest IV spike — 58.6% change
2019-09-25: Highest IV Rank — 21.2%
2019-09-25: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.47	$22.86	$24.21	$24.06	$23.60
Max Pain	$24.75	$22.50	$25.00	$22.50	$25.00
ATM IV	21.3%	15.5%	25.2%	23.1%	20.4%
Expected Move	6.2%	5.1%	7.2%	6.6%	5.9%
HV 20d	21.7%	15.7%	24.8%	18.3%	22.0%
HV 60d	22.0%	19.2%	23.7%	21.5%	19.2%
IV Rank	15.4%	6.7%	21.2%	18.0%	14.0%
IV Percentile	42.9%	4.4%	73.4%	58.7%	31.0%
Term Structure	3.3%	-0.5%	11.1%	-0.2%	10.4%
VWIV	20.9%	14.2%	24.9%	20.9%	15.1%
Skew 25d	6.4%	-4.2%	24.6%	5.8%	10.0%
Skew 10d	17.8%	-6.4%	50.9%	-2.1%	9.6%
Call IV 25d	21.0%	12.5%	26.7%	23.8%	12.9%
Put IV 25d	27.4%	21.0%	51.3%	29.6%	22.9%
Bid-Ask Spread %	87.81	75.50	104.21	104.21	86.96
Gamma HHI	0.85	0.73	0.92	0.89	0.87
Net GEX	119.8K	78.7K	158.8K	140.3K	138.6K
Net DEX	-1.0M	-1.7M	-589.4K	-1.6M	-1.0M
Net VEX	-7.5K	-9.6K	-6.0K	-9.6K	-7.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.00	9.67	0.04	0.08
Total Volume	45.45	1	296	49	54
Total OI	2,554.35	2,473	2,657	2,503	2,558

Daily Data (20 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
2019-09-03	$24.06	$22.50	23.1%	6.6%	18.3%	18.0%	20.9%	5.8%	-0.2%	140.3K	-1.6M	-9.6K	0.04	104.21	47	2	2,179	324
2019-09-04	$24.04	$22.50	18.9%	5.4%	17.8%	11.8%	22.5%	6.3%	2.3%	142.7K	-1.6M	-9.1K	0.24	99.37	51	12	2,172	326
2019-09-05	$24.21	$25.00	17.1%	5.1%	15.7%	9.0%	0.0%	9.4%	11.1%	158.8K	-1.7M	-9.2K	0.00	87.94	1	0	2,162	316
2019-09-06	$24.12	$25.00	18.2%	6.2%	15.9%	10.7%	24.9%	1.7%	1.5%	158.8K	-1.6M	-9.0K	0.21	75.50	19	4	2,163	316
2019-09-09	$24.07	$25.00	15.5%	6.2%	15.9%	6.7%	0.0%	2.4%	0.6%	158.7K	-1.5M	-8.6K	0.04	77.50	56	2	2,161	312
2019-09-10	$22.91	$25.00	24.6%	6.0%	24.1%	20.3%	19.3%	3.8%	3.7%	88.7K	-657.2K	-6.5K	0.48	95.52	31	15	2,204	313
2019-09-11	$23.30	$25.00	23.0%	6.6%	24.8%	17.9%	0.0%	0.6%	0.2%	110.5K	-875.5K	-7.3K	0.15	82.03	26	4	2,220	326
2019-09-12	$23.21	$25.00	23.0%	6.6%	24.3%	17.9%	0.0%	-0.5%	1.7%	105.1K	-792.9K	-6.8K	0.00	81.96	9	0	2,217	324
2019-09-13	$22.86	$25.00	22.6%	6.5%	24.5%	17.3%	22.6%	-4.2%	1.3%	78.7K	-608.2K	-6.5K	0.45	84.70	11	5	2,220	324
2019-09-16	$23.01	$25.00	21.4%	6.1%	23.1%	15.5%	22.1%	24.6%	3.2%	82.0K	-589.4K	-6.0K	0.01	102.07	294	2	2,221	328
2019-09-17	$23.30	$25.00	24.3%	7.0%	23.5%	19.8%	24.1%	-0.4%	1.8%	116.2K	-957.7K	-7.5K	0.00	81.22	45	0	2,329	328
2019-09-18	$23.38	$25.00	22.7%	6.5%	23.6%	17.5%	24.1%	4.0%	3.8%	119.6K	-966.8K	-7.4K	1.00	82.79	1	1	2,314	328
2019-09-19	$23.27	$25.00	22.0%	6.3%	23.2%	16.4%	0.0%	4.9%	3.5%	108.9K	-875.6K	-6.8K	2.50	84.93	4	10	2,314	329
2019-09-20	$23.16	$25.00	22.3%	6.4%	23.0%	16.9%	22.4%	10.5%	2.8%	106.0K	-760.7K	-6.6K	0.17	85.40	6	1	2,310	339
2019-09-23	$23.30	$25.00	21.2%	6.1%	23.1%	15.2%	21.9%	0.1%	5.4%	108.1K	-792.9K	-6.5K	9.67	79.22	6	58	2,236	289
2019-09-24	$23.18	$25.00	19.5%	5.6%	23.2%	12.7%	14.2%	22.3%	-0.5%	101.1K	-736.6K	-6.9K	0.20	90.42	45	9	2,246	347
2019-09-25	$23.34	$25.00	25.2%	7.2%	23.4%	21.2%	0.0%	4.8%	0.5%	108.3K	-800.2K	-7.0K	0.00	89.35	7	0	2,221	346
2019-09-26	$23.60	$25.00	23.0%	6.6%	23.1%	17.9%	21.6%	12.1%	2.9%	135.7K	-1.1M	-7.6K	0.00	93.68	20	0	2,226	346
2019-09-27	$23.53	$25.00	19.0%	5.5%	22.0%	11.9%	17.2%	9.3%	10.9%	128.8K	-948.8K	-7.4K	0.19	91.36	43	8	2,207	346
2019-09-30	$23.60	$25.00	20.4%	5.9%	22.0%	14.0%	15.1%	10.0%	10.4%	138.6K	-1.0M	-7.4K	0.08	86.96	50	4	2,211	347