CTRE Options History — June 2020

In June 2020, CTRE traded between $16.93 and $20.88. ATM implied volatility averaged 57.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 2.1% (HV 20d: 59.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2020-06-23: Highest Volume — 1,345 contracts
  • 2020-06-24: Largest IV spike — 72.5% change
  • 2020-06-25: Highest IV Rank — 37.6%
  • 2020-06-25: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.79$16.93$20.88$19.06$17.19
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV57.6%39.6%91.1%50.9%65.5%
Expected Move16.7%11.4%26.1%14.6%18.8%
HV 20d59.7%48.2%70.8%70.5%54.1%
HV 60d113.4%73.2%169.8%169.8%73.2%
IV Rank21.4%12.6%37.6%18.1%25.2%
IV Percentile79.4%72.2%91.3%78.6%80.2%
Term Structure10.8%-41.7%53.5%-0.1%33.4%
VWIV60.8%40.0%89.7%51.2%65.6%
Skew 25d21.8%-11.0%76.0%10.4%20.7%
Skew 10d20.6%-21.8%82.9%16.7%48.2%
Call IV 25d52.2%40.3%74.8%44.7%44.6%
Put IV 25d74.0%39.3%135.8%55.1%65.3%
Bid-Ask Spread %112.6063.91144.5263.91144.52
Gamma HHI0.580.430.810.640.43
Net GEX96.1K30.9K195.0K94.1K39.2K
Net DEX-1.7M-3.3M-776.3K-1.5M-847.0K
Net VEX-7.8K-10.7K-5.2K-5.4K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.001.350.540.00
Total Volume164.72711,345916
Total OI2,876.2732,3503,7442,3502,445

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$19.06$17.5050.9%14.6%70.5%18.1%51.2%10.4%-0.1%94.1K-1.5M-5.4K0.5463.9159322,040310
2020-06-02$18.97$17.5039.6%11.4%70.6%12.6%45.9%22.9%8.2%90.5K-1.5M-5.5K0.09113.28128112,063332
2020-06-03$19.68$17.5042.3%12.1%70.8%13.9%0.0%-9.1%2.5%119.5K-2.0M-5.5K0.00101.81102,085343
2020-06-04$19.81$17.5044.7%15.4%69.0%15.1%54.5%-2.8%7.5%117.3K-2.0M-5.6K1.19106.592853402,085343
2020-06-05$19.99$17.5040.0%14.2%68.8%12.8%40.0%4.3%1.8%131.5K-2.2M-5.4K0.01102.2813622,084343
2020-06-08$20.88$17.5049.5%14.6%61.7%17.4%48.3%11.9%2.4%119.8K-3.0M-5.2K0.02103.7024162,186344
2020-06-09$20.31$17.5055.3%15.2%63.1%20.2%66.3%-11.0%-4.9%139.5K-3.3M-10.7K0.89100.59983,107343
2020-06-10$19.86$17.5052.1%14.9%61.8%18.7%52.1%-6.6%-4.7%142.8K-2.8M-10.1K1.00118.1127273,108351
2020-06-11$18.14$17.5058.1%16.7%69.5%21.6%80.8%7.9%0.1%86.0K-1.8M-9.5K0.19112.183263,100358
2020-06-12$18.55$17.5072.0%20.6%69.6%28.3%84.7%51.9%-41.7%110.6K-1.7M-9.2K0.60111.401593,083362
2020-06-15$18.99$17.5054.0%15.5%69.7%19.6%54.0%20.3%4.3%117.5K-2.1M-9.2K0.0894.612623,094362
2020-06-16$19.37$17.5059.0%16.9%49.4%22.1%57.1%24.7%-1.1%165.2K-2.2M-9.2K0.42118.811253,095362
2020-06-17$19.39$17.5054.3%15.6%49.3%19.8%53.7%4.6%-6.8%195.0K-1.9M-8.8K0.0299.58724123,096367
2020-06-18$19.07$17.5055.1%15.8%48.9%20.1%0.0%23.9%49.8%157.1K-2.0M-9.3K0.00106.90103,373370
2020-06-19$18.46$17.5055.7%16.0%50.4%20.4%58.3%5.2%37.2%49.4K-1.4M-8.7K1.3599.9917233,374370
2020-06-22$18.36$17.5047.8%13.7%49.8%16.6%46.5%8.9%53.5%50.9K-951.7K-7.9K0.14118.512842,057344
2020-06-23$18.31$17.5050.4%14.5%48.2%17.9%60.8%29.9%16.1%49.6K-1.1M-8.4K0.31115.541,0253202,080348
2020-06-24$16.93$17.5087.0%24.9%54.1%35.6%87.5%75.3%24.6%30.9K-776.3K-7.3K0.75133.941292,090349
2020-06-25$17.37$17.5091.1%26.1%55.2%37.6%0.0%37.6%13.4%35.6K-870.1K-7.8K0.00137.46502,091353
2020-06-26$17.36$17.5069.1%19.8%54.4%26.9%57.5%76.0%35.3%37.1K-812.2K-7.5K0.07131.971512,091353
2020-06-29$17.23$17.5073.7%21.1%54.1%29.2%89.7%72.4%7.8%36.0K-873.3K-7.5K0.00141.43302,090354
2020-06-30$17.19$17.5065.5%18.8%54.1%25.2%65.6%20.7%33.4%39.2K-847.0K-7.5K0.00144.52602,091354