CTRE Options History — November 2019

In November 2019, CTRE traded between $19.54 and $23.96. ATM implied volatility averaged 27.2%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 4.3% (HV 20d: 31.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.38.

Notable Days

2019-11-04: Highest Volume — 461 contracts
2019-11-08: Largest IV spike — 76.2% change
2019-11-08: Highest IV Rank — 100.0%
2019-11-08: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.90	$19.54	$23.96	$23.96	$20.89
Max Pain	$21.13	$20.00	$22.50	$22.50	$20.00
ATM IV	27.2%	17.3%	68.5%	26.7%	23.2%
Expected Move	6.8%	4.9%	10.5%	7.7%	6.6%
HV 20d	31.4%	19.1%	36.0%	19.1%	34.6%
HV 60d	25.1%	20.2%	27.1%	20.2%	27.0%
IV Rank	31.5%	10.7%	100.0%	37.0%	21.1%
IV Percentile	60.3%	8.3%	100.0%	80.6%	56.0%
Term Structure	-0.4%	-18.1%	9.0%	-6.5%	0.5%
VWIV	22.5%	14.0%	30.4%	25.8%	14.0%
Skew 25d	3.5%	-7.8%	10.7%	4.3%	6.8%
Skew 10d	5.4%	-13.5%	34.4%	-2.1%	12.9%
Call IV 25d	20.5%	13.4%	27.9%	27.8%	16.0%
Put IV 25d	24.0%	20.1%	34.4%	32.0%	22.7%
Bid-Ask Spread %	92.55	82.42	113.62	101.81	95.19
Gamma HHI	0.50	0.28	0.94	0.94	0.42
Net GEX	44.0K	8.9K	211.6K	211.6K	26.1K
Net DEX	-148.7K	-1.6M	265.8K	-1.6M	-102.2K
Net VEX	-2.7K	-7.0K	-1.2K	-7.0K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.02	1.50	0.71	0.09
Total Volume	101.55	5	461	24	12
Total OI	2,727.55	2,306	3,274	2,589	2,532

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
2019-11-01	$23.96	$22.50	26.7%	7.7%	19.1%	37.0%	25.8%	4.3%	-6.5%	211.6K	-1.6M	-7.0K	0.71	101.81	14	10	2,369	220
2019-11-04	$23.35	$22.50	27.9%	6.7%	21.2%	39.9%	23.7%	0.1%	-0.8%	157.2K	-1.1M	-6.1K	0.04	94.26	444	17	2,373	230
2019-11-05	$22.70	$22.50	35.4%	7.4%	23.1%	57.8%	25.4%	3.4%	-1.2%	110.8K	-713.7K	-5.2K	0.23	90.39	128	29	2,571	236
2019-11-06	$22.49	$22.50	36.3%	7.0%	23.2%	59.8%	24.6%	2.0%	-0.5%	92.8K	-540.8K	-4.8K	0.21	88.78	19	4	2,596	264
2019-11-07	$21.29	$22.50	38.9%	7.4%	29.6%	66.1%	26.6%	2.0%	-2.0%	39.6K	-32.3K	-2.9K	0.24	85.21	273	66	2,601	268
2019-11-08	$20.51	$22.50	68.5%	10.5%	31.7%	100.0%	30.4%	10.7%	-18.1%	24.7K	115.7K	-2.3K	0.90	113.62	62	56	2,795	322
2019-11-11	$20.45	$22.50	22.6%	6.7%	31.7%	20.0%	22.9%	6.8%	-0.4%	9.7K	218.9K	-1.7K	0.06	95.88	132	8	2,844	297
2019-11-12	$19.64	$22.50	24.0%	6.4%	33.8%	22.5%	24.4%	-7.8%	0.6%	13.2K	235.1K	-1.3K	0.31	91.89	42	13	2,927	263
2019-11-13	$19.54	$22.50	22.3%	6.4%	33.7%	19.5%	22.5%	-5.5%	0.6%	10.0K	265.8K	-1.2K	0.97	93.26	37	36	2,964	276
2019-11-14	$19.56	$20.00	22.3%	6.4%	32.6%	19.5%	22.3%	-0.7%	1.3%	10.7K	196.9K	-1.3K	0.51	106.57	49	25	2,978	256
2019-11-15	$20.02	$20.00	21.2%	6.1%	34.2%	17.6%	21.2%	5.1%	0.9%	33.4K	64.2K	-1.5K	0.12	92.57	159	19	3,018	256
2019-11-18	$20.52	$20.00	22.1%	6.3%	35.9%	19.1%	22.0%	6.3%	2.4%	23.0K	-48.9K	-2.2K	0.17	82.84	76	13	2,083	242
2019-11-19	$20.55	$20.00	22.9%	6.6%	36.0%	20.5%	18.8%	7.4%	3.0%	20.5K	-6.3K	-2.2K	0.02	100.50	54	1	2,051	255
2019-11-20	$20.19	$20.00	23.4%	6.7%	34.7%	21.5%	23.4%	4.8%	0.7%	14.4K	27.9K	-2.0K	1.50	90.84	2	3	2,102	256
2019-11-21	$20.02	$20.00	22.2%	6.4%	34.5%	19.4%	22.2%	1.4%	1.0%	9.1K	84.3K	-1.7K	0.20	82.42	15	3	2,101	257
2019-11-22	$20.06	$20.00	22.0%	6.3%	33.4%	18.9%	22.0%	3.1%	1.5%	8.9K	89.2K	-1.8K	0.20	83.66	10	2	2,099	269
2019-11-25	$20.44	$20.00	22.0%	6.3%	34.8%	18.9%	21.9%	5.4%	0.8%	13.7K	24.1K	-1.9K	0.03	84.97	135	4	2,101	270
2019-11-26	$20.88	$20.00	17.3%	4.9%	36.0%	10.7%	14.2%	7.4%	9.0%	24.5K	-91.3K	-2.2K	0.02	87.63	46	1	2,216	273
2019-11-27	$20.99	$20.00	22.5%	6.4%	35.2%	19.8%	22.7%	7.6%	0.0%	25.4K	-109.2K	-2.2K	1.00	88.65	6	6	2,247	273
2019-11-29	$20.89	$20.00	23.2%	6.6%	34.6%	21.1%	14.0%	6.8%	0.5%	26.1K	-102.2K	-2.3K	0.09	95.19	11	1	2,252	280