CTRE Options History — March 2020

In March 2020, CTRE traded between $7.61 and $22.70. ATM implied volatility averaged 119.1%, placing in the 68.0% IV rank vs the trailing year. The 30-day expected move averaged 32.8%. IV traded below realized volatility by 38.8% (HV 20d: 158.0%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 5.93.

Notable Days

  • 2020-03-26: Highest Volume — 2,156 contracts
  • 2020-03-12: Largest IV spike — 173.9% change
  • 2020-03-12: Highest IV Rank — 100.0%
  • 2020-03-25: Largest Expected Move — 63.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.97$7.61$22.70$21.00$14.33
Max Pain$19.77$15.00$22.50$22.50$15.00
ATM IV119.1%43.0%219.8%68.0%100.4%
Expected Move32.8%9.7%63.0%19.5%28.8%
HV 20d158.0%29.3%271.5%29.3%271.0%
HV 60d94.2%23.7%156.3%23.7%156.3%
IV Rank68.0%27.7%100.0%49.4%42.5%
IV Percentile98.6%94.0%100.0%99.2%94.0%
Term Structure-36.5%-106.3%13.9%-40.7%-8.2%
VWIV108.5%30.2%199.3%30.2%89.6%
Skew 25d22.4%-111.7%107.2%32.9%9.7%
Skew 10d25.4%-164.1%129.9%13.6%15.0%
Call IV 25d82.4%17.6%184.7%25.9%90.4%
Put IV 25d104.9%38.6%200.6%58.8%100.1%
Bid-Ask Spread %122.14104.33147.87128.64121.50
Gamma HHI0.410.200.750.600.75
Net GEX16.0K88749.4K19.1K47.0K
Net DEX-304.5K-1.5M129.0K-246.6K-966.5K
Net VEX-2.0K-4.8K-681-2.1K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.930.0038.001.0030.00
Total Volume14822,15642
Total OI1,363.5459073,3119093,311

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$21.00$22.5068.0%19.5%29.3%49.4%0.0%32.9%-40.7%19.1K-246.6K-2.1K1.00128.6422773136
2020-03-03$21.89$22.5048.6%13.9%33.2%32.6%0.0%31.7%-15.8%26.6K-376.3K-2.3K0.00127.5830773136
2020-03-04$22.69$22.5043.0%12.3%35.6%27.7%0.0%21.0%-19.8%37.3K-494.6K-2.3K1.00119.1311771136
2020-03-05$22.70$22.5050.6%9.7%35.6%34.4%30.2%11.8%13.9%33.2K-501.0K-2.4K0.06128.6216910771136
2020-03-06$22.28$22.50109.5%18.0%36.0%85.5%44.6%61.7%-5.1%26.6K-541.1K-2.6K0.00124.06250820139
2020-03-09$19.38$22.5086.6%19.7%60.8%65.6%61.8%21.2%-18.6%15.3K-301.2K-2.2K3.73119.111141810139
2020-03-10$19.27$22.5082.8%17.5%60.6%62.3%66.9%29.6%-20.0%11.6K-159.9K-2.0K7.75129.36862821178
2020-03-11$16.82$22.5058.3%16.7%75.5%41.1%52.2%21.3%4.8%2.8K129.0K-1.2K38.00112.95276823220
2020-03-12$13.56$22.50159.8%45.8%103.4%100.0%117.0%36.2%-43.1%2.2K35.5K-1.6K3.25147.872478823295
2020-03-13$14.62$22.50108.9%31.2%109.2%65.7%0.0%20.7%-41.4%3.1K107.4K-1.3K3.50127.1427845235
2020-03-16$10.48$22.50128.1%36.7%153.8%78.6%133.5%10.1%6.4%1.0K127.6K-75831.00104.88131847239
2020-03-17$9.89$22.50136.9%39.3%153.5%84.5%138.4%1.4%-73.3%970128.4K-6810.16108.97193848232
2020-03-18$7.61$22.50141.9%40.7%171.4%87.9%53.2%-111.7%-70.2%88748.0K-6921.50116.9723848232
2020-03-19$12.69$22.50183.8%52.7%263.9%100.0%182.1%107.2%-102.3%2.4K43.2K-1.2K0.14136.7431744849228
2020-03-20$12.50$15.00140.0%40.1%263.6%74.5%166.5%-17.0%-80.5%3.8K2.5K-1.2K0.63131.9524151,166269
2020-03-23$13.09$15.00188.1%53.9%264.9%100.0%123.9%16.0%-10.7%4.4K-9.5K-1.2K2.00123.7336890251
2020-03-24$14.44$15.00189.3%54.3%268.6%100.0%199.3%14.9%-85.7%5.7K-152.6K-1.6K0.15130.32416888247
2020-03-25$15.77$15.00219.8%63.0%271.5%100.0%184.8%21.5%-106.3%6.5K-408.8K-2.1K0.45119.13115894250
2020-03-26$15.28$15.00118.6%34.0%271.5%51.3%106.2%36.3%-19.2%5.9K-188.4K-1.7K0.03109.112,10353888256
2020-03-27$15.59$15.00118.4%34.0%271.3%51.2%94.3%53.5%-29.8%49.4K-1.5M-4.8K0.20114.961022,986308
2020-03-30$15.43$15.00139.1%39.9%271.1%61.2%0.0%63.7%-38.1%45.9K-1.5M-4.6K30.00104.331302,982309
2020-03-31$14.33$15.00100.4%28.8%271.0%42.5%89.6%9.7%-8.2%47.0K-966.5K-3.7K0.00121.50022,982329