CTRE Options History — February 2020

In February 2020, CTRE traded between $20.78 and $23.32. ATM implied volatility averaged 36.4%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 21.3% (HV 20d: 15.1%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.11.

Notable Days

2020-02-06: Highest Volume — 218 contracts
2020-02-28: Largest IV spike — 230.2% change
2020-02-28: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 36.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.72	$20.78	$23.32	$22.22	$20.78
Max Pain	$22.37	$20.00	$25.00	$20.00	$22.50
ATM IV	36.4%	22.7%	126.2%	27.3%	126.2%
Expected Move	10.4%	5.2%	36.2%	7.8%	36.2%
HV 20d	15.1%	11.8%	28.9%	18.6%	28.9%
HV 60d	20.6%	18.5%	25.7%	25.7%	23.8%
IV Rank	38.8%	20.3%	100.0%	28.2%	100.0%
IV Percentile	89.7%	60.3%	100.0%	87.7%	100.0%
Term Structure	-12.9%	-39.2%	5.4%	-3.0%	-39.2%
VWIV	34.1%	12.1%	134.7%	25.8%	134.7%
Skew 25d	15.4%	-6.1%	141.7%	8.8%	141.7%
Skew 10d	15.0%	-12.1%	115.0%	13.3%	115.0%
Call IV 25d	23.1%	12.5%	47.8%	27.0%	47.8%
Put IV 25d	38.4%	18.5%	189.5%	35.8%	189.5%
Bid-Ask Spread %	114.37	82.19	160.02	93.77	160.02
Gamma HHI	0.52	0.38	0.66	0.38	0.58
Net GEX	31.0K	13.3K	43.9K	13.3K	14.9K
Net DEX	-653.2K	-913.8K	-454.0K	-462.3K	-477.4K
Net VEX	-2.6K	-3.0K	-2.1K	-2.2K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.00	0.73	0.00	0.02
Total Volume	36.421	0	218	0	7
Total OI	1,092.474	911	1,356	945	911

Daily Data (19 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
2020-02-03	$22.22	$20.00	27.3%	7.8%	18.6%	28.2%	0.0%	8.8%	-3.0%	13.3K	-462.3K	-2.2K	0.00	93.77	0	0	533	412
2020-02-04	$22.40	$20.00	25.8%	7.4%	18.6%	25.5%	25.8%	0.1%	-2.0%	16.8K	-509.1K	-2.2K	0.00	98.23	13	0	533	412
2020-02-05	$22.43	$20.00	27.2%	7.8%	15.4%	28.1%	27.2%	7.4%	-3.5%	16.7K	-516.1K	-2.2K	0.00	82.19	1	0	541	412
2020-02-06	$22.69	$22.50	27.5%	6.8%	15.2%	28.6%	0.0%	11.6%	-0.7%	19.2K	-563.6K	-2.1K	0.00	94.10	218	0	541	412
2020-02-07	$22.76	$22.50	27.9%	5.2%	13.9%	29.2%	13.2%	22.8%	5.4%	32.8K	-663.8K	-2.5K	0.50	110.95	2	1	746	412
2020-02-10	$22.90	$22.50	31.3%	9.4%	13.9%	35.1%	23.9%	-6.1%	-28.0%	35.5K	-714.7K	-2.5K	0.32	114.14	34	11	745	412
2020-02-11	$22.87	$22.50	22.8%	9.7%	13.6%	20.3%	28.7%	-2.7%	-18.1%	28.2K	-610.6K	-2.7K	0.02	117.10	55	1	770	405
2020-02-12	$22.80	$22.50	34.7%	9.9%	13.6%	41.1%	0.0%	10.1%	-14.7%	29.3K	-640.1K	-2.8K	0.00	113.69	14	0	810	405
2020-02-13	$22.77	$22.50	35.1%	10.1%	12.5%	41.8%	0.0%	7.6%	-16.2%	32.3K	-687.8K	-2.8K	0.00	113.92	2	0	824	405
2020-02-14	$23.27	$22.50	35.3%	10.1%	13.8%	42.1%	0.0%	13.0%	-16.2%	38.3K	-807.8K	-2.8K	0.00	117.03	17	0	825	405
2020-02-18	$23.05	$22.50	22.7%	6.5%	14.6%	20.3%	20.9%	3.0%	0.3%	43.9K	-811.2K	-2.7K	0.00	111.81	5	0	837	405
2020-02-19	$22.85	$22.50	35.3%	10.1%	12.6%	42.1%	36.6%	12.5%	-11.5%	38.1K	-778.1K	-2.7K	0.73	120.06	11	8	840	405
2020-02-20	$23.19	$25.00	37.1%	10.6%	12.9%	45.2%	18.4%	1.7%	-28.6%	36.3K	-801.5K	-2.7K	0.01	129.71	107	1	841	413
2020-02-21	$23.30	$25.00	25.7%	7.4%	12.5%	25.4%	16.8%	25.2%	-0.3%	40.7K	-913.8K	-2.8K	0.08	109.92	39	3	941	415
2020-02-24	$23.32	$22.50	44.5%	12.7%	11.8%	58.1%	51.3%	-0.6%	-30.4%	43.8K	-663.5K	-2.8K	0.25	120.13	32	8	822	143
2020-02-25	$23.07	$22.50	35.0%	10.0%	12.8%	41.6%	12.1%	22.5%	-0.9%	42.9K	-783.1K	-3.0K	0.00	113.53	35	0	827	139
2020-02-26	$22.93	$22.50	32.8%	9.4%	13.1%	37.8%	0.0%	18.2%	-15.3%	39.0K	-551.8K	-2.6K	0.00	122.55	25	0	800	139
2020-02-27	$22.12	$22.50	38.2%	11.0%	18.7%	47.2%	0.0%	-5.0%	-21.6%	27.7K	-454.0K	-2.7K	0.02	130.16	41	1	780	139
2020-02-28	$20.78	$22.50	126.2%	36.2%	28.9%	100.0%	134.7%	141.7%	-39.2%	14.9K	-477.4K	-2.8K	0.00	160.02	0	7	773	138