CTRE Options History — January 2020

In January 2020, CTRE traded between $20.14 and $22.26. ATM implied volatility averaged 22.8%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.8% (HV 20d: 22.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.09.

Notable Days

2020-01-07: Highest Volume — 263 contracts
2020-01-13: Largest IV spike — 78.3% change
2020-01-14: Highest IV Rank — 43.5%
2020-01-31: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.23	$20.14	$22.26	$20.19	$22.15
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	22.8%	16.6%	36.1%	20.9%	26.8%
Expected Move	6.5%	4.7%	7.7%	6.0%	7.7%
HV 20d	22.0%	19.4%	23.7%	20.6%	19.4%
HV 60d	27.0%	26.1%	27.8%	26.1%	26.3%
IV Rank	20.5%	9.5%	43.5%	17.1%	27.4%
IV Percentile	51.5%	7.5%	98.0%	35.3%	86.5%
Term Structure	0.7%	-2.6%	10.2%	3.3%	-2.6%
VWIV	29.1%	20.9%	73.8%	59.5%	22.4%
Skew 25d	2.9%	-5.9%	10.1%	5.5%	-2.9%
Skew 10d	2.9%	-10.0%	15.1%	11.2%	-5.4%
Call IV 25d	22.2%	14.5%	30.5%	21.4%	30.5%
Put IV 25d	25.1%	19.8%	32.5%	26.8%	27.6%
Bid-Ask Spread %	92.30	50.25	108.47	50.25	102.08
Gamma HHI	0.44	0.29	0.71	0.29	0.37
Net GEX	-909	-23.3K	14.0K	987	11.8K
Net DEX	-171.3K	-480.8K	237.3K	50.0K	-455.0K
Net VEX	-2.0K	-2.3K	-1.3K	-1.3K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.09	0.00	130.50	0.00	0.00
Total Volume	42.619	0	263	34	2
Total OI	1,894.238	853	2,861	2,386	945

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
2020-01-02	$20.19	$20.00	20.9%	6.0%	20.6%	17.1%	0.0%	5.5%	3.3%	987	50.0K	-1.3K	0.00	50.25	34	0	2,127	259
2020-01-03	$20.59	$20.00	16.6%	4.7%	21.7%	9.5%	59.5%	4.4%	10.2%	4.4K	-62.6K	-1.4K	0.00	53.99	0	1	2,157	259
2020-01-06	$20.63	$20.00	18.0%	6.5%	21.6%	12.1%	0.0%	1.5%	1.9%	4.7K	-62.6K	-1.3K	0.17	87.66	12	2	2,156	257
2020-01-07	$20.14	$20.00	18.9%	6.7%	22.9%	13.6%	23.4%	5.0%	1.1%	1.0K	33.3K	-1.3K	130.50	97.32	2	261	2,168	257
2020-01-08	$20.45	$20.00	21.4%	6.6%	23.5%	18.0%	21.8%	7.0%	1.7%	-21.5K	146.0K	-2.0K	0.75	93.12	4	3	2,170	510
2020-01-09	$20.22	$20.00	20.2%	6.9%	23.5%	15.9%	22.9%	5.9%	-0.5%	-22.9K	237.3K	-1.9K	0.73	99.03	11	8	2,172	512
2020-01-10	$20.41	$20.00	18.7%	6.6%	23.7%	13.2%	0.0%	6.0%	0.7%	-23.3K	148.1K	-1.9K	0.09	93.81	11	1	2,182	518
2020-01-13	$20.72	$20.00	33.3%	6.9%	23.3%	38.7%	73.8%	3.8%	0.8%	-19.2K	61.6K	-1.9K	0.00	96.26	48	0	2,176	519
2020-01-14	$20.66	$20.00	36.1%	7.0%	21.6%	43.5%	24.3%	10.1%	-0.6%	-18.4K	45.7K	-2.0K	0.02	96.41	98	2	2,215	519
2020-01-15	$21.09	$20.00	23.9%	6.9%	21.5%	22.4%	21.5%	2.2%	1.3%	-5.4K	-243.1K	-2.2K	0.02	93.85	46	1	2,310	519
2020-01-16	$21.30	$20.00	21.2%	6.1%	21.5%	17.6%	20.9%	1.6%	0.1%	-677	-323.9K	-2.3K	0.00	102.34	18	0	2,341	520
2020-01-17	$21.31	$20.00	20.1%	5.8%	20.9%	15.8%	23.7%	2.4%	0.5%	-1.1K	-316.6K	-2.2K	0.67	96.87	6	4	2,335	520
2020-01-21	$21.89	$20.00	23.1%	6.6%	22.7%	20.9%	23.0%	3.9%	-0.6%	6.9K	-312.8K	-2.2K	0.04	88.56	74	3	458	395
2020-01-22	$21.76	$20.00	22.5%	6.4%	22.7%	19.8%	23.0%	3.8%	-0.4%	6.3K	-284.5K	-2.3K	0.86	99.56	14	12	482	396
2020-01-23	$22.03	$20.00	22.6%	6.5%	22.1%	20.0%	23.1%	-1.2%	-1.0%	9.2K	-339.3K	-2.3K	0.00	93.50	99	0	493	408
2020-01-24	$21.85	$20.00	20.9%	6.0%	22.5%	17.1%	23.5%	0.1%	0.6%	5.9K	-309.9K	-2.3K	0.00	93.13	5	0	480	408
2020-01-27	$21.91	$20.00	23.1%	6.6%	22.0%	20.9%	22.4%	4.0%	1.8%	8.8K	-343.2K	-2.1K	0.05	97.19	22	1	480	408
2020-01-28	$22.05	$20.00	21.7%	6.2%	22.0%	18.4%	0.0%	0.3%	-0.6%	7.7K	-336.3K	-2.1K	0.17	96.78	66	11	471	409
2020-01-29	$22.14	$20.00	25.0%	7.2%	21.8%	24.3%	0.0%	-5.9%	-2.1%	11.8K	-448.0K	-2.3K	0.00	98.03	0	0	527	407
2020-01-30	$22.26	$20.00	24.7%	7.1%	21.5%	23.8%	0.0%	2.9%	-1.1%	14.0K	-480.8K	-2.2K	0.63	108.47	8	5	527	407
2020-01-31	$22.15	$20.00	26.8%	7.7%	19.4%	27.4%	0.0%	-2.9%	-2.6%	11.8K	-455.0K	-2.3K	0.00	102.08	2	0	533	412