CTRE Options History — April 2020

In April 2020, CTRE traded between $12.86 and $18.83. ATM implied volatility averaged 87.7%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 25.6%. IV traded below realized volatility by 93.2% (HV 20d: 181.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 3.23.

Notable Days

  • 2020-04-07: Highest Volume — 2,278 contracts
  • 2020-04-28: Largest IV spike — 88.7% change
  • 2020-04-02: Highest IV Rank — 57.6%
  • 2020-04-01: Largest Expected Move — 37.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.05$12.86$18.83$12.99$16.48
Max Pain$14.88$12.50$15.00$12.50$15.00
ATM IV87.7%57.0%131.8%130.9%57.0%
Expected Move25.6%16.3%37.5%37.5%16.3%
HV 20d181.0%88.5%276.7%271.4%88.5%
HV 60d162.6%157.4%165.5%157.4%165.5%
IV Rank36.0%21.1%57.6%57.2%21.1%
IV Percentile90.5%83.7%96.4%96.4%83.7%
Term Structure-11.4%-70.7%49.5%-64.1%7.2%
VWIV92.4%54.1%188.5%188.5%54.1%
Skew 25d13.6%-19.9%38.0%32.9%19.1%
Skew 10d26.1%-26.4%72.4%10.0%38.6%
Call IV 25d82.0%45.3%131.0%85.2%53.7%
Put IV 25d95.6%63.8%143.2%118.1%72.8%
Bid-Ask Spread %106.6888.68127.79127.79111.21
Gamma HHI0.790.530.960.650.83
Net GEX86.7K20.7K219.1K28.2K74.5K
Net DEX-1.8M-6.7M-170.5K-746.6K-898.0K
Net VEX-4.0K-8.6K-1.7K-3.1K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.230.0022.200.100.00
Total Volume207.85712,278231
Total OI3,294.5241,9405,6363,2522,058

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$12.99$12.50130.9%37.5%271.4%57.2%188.5%32.9%-64.1%28.2K-746.6K-3.1K0.10127.792122,982270
2020-04-02$13.14$15.00131.8%28.9%271.6%57.6%111.6%12.3%-10.2%28.1K-560.6K-2.8K21.00108.792422,998270
2020-04-03$12.86$15.00103.3%35.1%271.6%43.5%111.2%10.8%-67.1%20.7K-170.5K-1.7K22.2093.5551112,996270
2020-04-06$14.37$15.0071.4%30.7%272.5%28.1%114.0%10.8%-28.0%32.5K-308.2K-2.1K2.81104.8216452,997369
2020-04-07$16.20$15.0084.0%26.5%276.7%34.2%83.0%-5.7%-38.1%98.7K-1.1M-3.1K0.00107.572,27623,000350
2020-04-08$17.22$15.0090.6%26.0%273.5%37.4%66.2%25.8%-7.1%175.5K-4.2M-8.6K0.13104.5279105,238351
2020-04-09$18.83$15.0099.4%28.5%262.6%41.6%98.1%8.0%-27.2%159.5K-6.7M-7.9K0.05116.101,068575,277359
2020-04-13$18.09$15.0084.1%24.1%262.4%34.2%0.0%28.8%-5.0%184.9K-4.3M-5.7K0.00100.971404,318321
2020-04-14$18.45$15.0085.2%24.4%228.9%34.7%109.2%-19.9%-7.1%178.3K-4.7M-5.3K4.73106.22261234,321321
2020-04-15$17.62$15.0081.5%23.4%228.3%33.0%0.0%21.7%-12.0%218.7K-3.7M-5.1K7.0091.42174,329280
2020-04-16$16.74$15.0080.2%23.0%203.6%32.3%90.3%38.0%-8.8%219.1K-2.0M-4.3K0.1288.68250304,330280
2020-04-17$17.30$15.0079.4%22.8%102.0%31.9%84.7%19.3%-15.3%45.0K-1.5M-4.3K0.5097.92424,399300
2020-04-20$16.34$15.0083.1%23.8%104.7%33.7%81.7%-2.8%35.7%40.6K-1.1M-4.0K0.0689.679051,776164
2020-04-21$15.64$15.0079.7%22.9%105.8%32.1%90.5%27.3%49.5%39.9K-951.4K-3.8K1.00112.66441,855169
2020-04-22$15.58$15.0096.7%27.7%100.5%40.3%98.0%25.0%-7.1%36.5K-916.7K-3.7K0.67116.31641,859173
2020-04-23$15.31$15.0073.6%21.1%95.6%29.1%77.0%-2.8%-2.8%39.5K-611.1K-3.1K1.00111.41441,862177
2020-04-24$15.33$15.0076.8%22.0%94.9%30.7%77.9%5.3%4.0%40.1K-669.4K-3.2K0.00103.87031,860178
2020-04-27$15.33$15.0068.0%19.5%94.6%26.4%68.3%31.6%2.8%42.8K-511.8K-2.8K1.00118.75221,860179
2020-04-28$15.94$15.00128.4%36.8%95.6%55.7%89.8%16.5%-70.7%34.4K-988.3K-3.4K0.77118.8313101,860180
2020-04-29$17.23$15.0057.0%16.3%94.9%21.1%61.0%-16.2%31.5%82.4K-1.3M-3.7K1.50109.218121,869180
2020-04-30$16.48$15.0057.0%16.3%88.5%21.1%54.1%19.1%7.2%74.5K-898.0K-3.2K0.00111.21101,876182