CTRE Options History — May 2020

In May 2020, CTRE traded between $15.55 and $19.77. ATM implied volatility averaged 57.1%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 19.7% (HV 20d: 76.8%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.86.

Notable Days

2020-05-26: Highest Volume — 751 contracts
2020-05-26: Largest IV drop — 36.5% change
2020-05-04: Highest IV Rank — 31.7%
2020-05-04: Largest Expected Move — 25.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.50	$15.55	$19.77	$15.55	$18.81
Max Pain	$16.63	$12.50	$20.00	$15.00	$17.50
ATM IV	57.1%	38.4%	79.0%	78.2%	38.4%
Expected Move	16.7%	11.0%	25.4%	22.4%	11.0%
HV 20d	76.8%	66.9%	91.9%	91.9%	74.5%
HV 60d	168.4%	165.8%	170.4%	165.8%	169.8%
IV Rank	21.1%	12.0%	31.7%	31.4%	12.0%
IV Percentile	80.8%	73.4%	86.9%	86.9%	73.4%
Term Structure	9.4%	-16.8%	44.1%	-8.2%	15.9%
VWIV	54.6%	39.2%	83.5%	83.5%	41.9%
Skew 25d	22.1%	-3.8%	60.9%	25.5%	27.7%
Skew 10d	21.4%	-23.1%	88.0%	-23.1%	4.4%
Call IV 25d	55.3%	31.7%	80.7%	57.5%	57.7%
Put IV 25d	77.3%	53.0%	127.0%	83.0%	85.3%
Bid-Ask Spread %	110.65	90.53	122.70	109.76	118.25
Gamma HHI	0.64	0.28	0.90	0.79	0.68
Net GEX	70.8K	9.8K	189.6K	48.7K	95.9K
Net DEX	-972.4K	-2.1M	-265.9K	-598.2K	-1.5M
Net VEX	-3.2K	-5.7K	-2.0K	-2.7K	-5.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	0.00	29.57	0.67	29.57
Total Volume	112.25	0	751	5	0
Total OI	1,887.25	1,069	2,359	2,058	2,350

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
2020-05-01	$15.55	$15.00	78.2%	22.4%	91.9%	31.4%	83.5%	25.5%	-8.2%	48.7K	-598.2K	-2.7K	0.67	109.76	3	2	1,876	182
2020-05-04	$15.84	$12.50	79.0%	25.4%	91.3%	31.7%	0.0%	46.3%	-16.8%	52.8K	-534.4K	-2.4K	0.01	105.56	97	1	1,873	184
2020-05-05	$16.38	$12.50	64.4%	18.8%	83.8%	24.6%	0.0%	44.4%	8.5%	73.2K	-765.6K	-3.0K	0.00	122.70	0	1	1,930	184
2020-05-06	$15.84	$12.50	75.1%	19.2%	73.3%	29.8%	0.0%	16.8%	7.3%	56.6K	-497.6K	-2.4K	0.50	90.53	6	3	1,930	184
2020-05-07	$15.79	$12.50	67.7%	20.9%	69.5%	26.3%	0.0%	11.2%	5.7%	57.0K	-469.9K	-2.4K	0.00	106.20	10	0	1,931	187
2020-05-08	$17.45	$12.50	49.2%	14.1%	71.5%	17.3%	55.7%	4.6%	3.4%	152.1K	-1.3M	-3.2K	0.03	117.07	94	3	1,941	187
2020-05-11	$17.64	$20.00	50.4%	12.5%	70.4%	17.9%	70.7%	8.9%	21.4%	189.6K	-1.7M	-3.4K	0.17	108.09	6	1	2,022	187
2020-05-12	$16.97	$20.00	53.3%	20.4%	71.1%	19.3%	0.0%	10.4%	-1.8%	166.8K	-1.1M	-3.0K	0.00	119.11	9	0	2,026	188
2020-05-13	$16.37	$20.00	70.5%	20.2%	70.4%	27.6%	0.0%	-3.8%	8.7%	79.3K	-535.1K	-2.5K	0.00	108.34	0	3	2,028	188
2020-05-14	$16.26	$20.00	59.4%	17.0%	68.2%	22.2%	59.5%	58.1%	6.8%	9.8K	-265.9K	-2.0K	0.01	112.26	529	3	2,028	190
2020-05-15	$16.19	$17.50	66.1%	19.0%	66.9%	25.5%	59.9%	10.9%	-3.0%	18.6K	-430.7K	-2.5K	0.25	101.33	12	3	2,168	191
2020-05-18	$18.64	$17.50	57.1%	16.4%	81.2%	21.1%	51.1%	21.7%	0.3%	26.2K	-835.2K	-2.9K	0.04	105.72	54	2	977	92
2020-05-19	$18.64	$17.50	47.4%	13.6%	79.1%	16.4%	53.7%	4.8%	32.9%	26.2K	-904.3K	-3.1K	0.36	110.00	14	5	1,005	94
2020-05-20	$18.19	$17.50	48.8%	14.0%	79.8%	17.1%	48.8%	16.3%	19.3%	27.3K	-795.3K	-3.0K	0.07	107.61	44	3	1,016	98
2020-05-21	$18.32	$17.50	53.3%	15.3%	79.3%	19.3%	44.1%	6.2%	44.1%	26.3K	-840.9K	-3.1K	0.01	111.67	300	2	1,022	101
2020-05-22	$18.70	$17.50	63.2%	18.1%	79.3%	24.1%	60.8%	30.8%	1.6%	40.0K	-1.1M	-3.6K	0.00	112.38	12	0	1,322	103
2020-05-26	$19.32	$17.50	40.1%	11.5%	79.6%	12.9%	40.5%	60.9%	19.0%	53.4K	-1.3M	-3.5K	0.00	116.59	751	0	1,358	103
2020-05-27	$19.77	$17.50	39.2%	11.2%	79.1%	12.4%	39.2%	37.9%	15.1%	111.3K	-2.1M	-4.9K	0.00	114.76	58	0	2,059	103
2020-05-28	$19.38	$17.50	41.7%	12.0%	75.7%	13.6%	41.9%	1.7%	8.5%	104.7K	-1.9M	-4.8K	29.57	115.01	7	207	2,034	103
2020-05-29	$18.81	$17.50	38.4%	11.0%	74.5%	12.0%	0.0%	27.7%	15.9%	95.9K	-1.5M	-5.7K	0.00	118.25	0	0	2,040	310