CTRE Options History — July 2020

In July 2020, CTRE traded between $16.27 and $18.07. ATM implied volatility averaged 66.0%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 26.3% (HV 20d: 39.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.47.

Notable Days

  • 2020-07-06: Highest Volume — 1,136 contracts
  • 2020-07-02: Largest IV spike — 79.5% change
  • 2020-07-02: Highest IV Rank — 53.1%
  • 2020-07-02: Largest Expected Move — 35.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.07$16.27$18.07$17.34$17.88
Max Pain$15.57$15.00$17.50$17.50$17.50
ATM IV66.0%35.5%123.1%68.6%43.7%
Expected Move19.4%10.2%35.3%19.7%12.5%
HV 20d39.7%30.1%52.7%52.1%31.6%
HV 60d59.2%53.6%69.8%69.8%53.6%
IV Rank24.9%9.8%53.1%26.7%13.8%
IV Percentile75.1%56.7%94.4%82.1%61.1%
Term Structure6.6%-50.2%61.2%29.5%1.1%
VWIV57.9%31.9%120.9%31.9%49.5%
Skew 25d36.2%-0.2%99.1%29.5%5.4%
Skew 10d55.2%-9.5%141.0%75.0%4.3%
Call IV 25d46.1%32.2%72.5%39.0%46.8%
Put IV 25d82.3%32.0%160.6%68.5%52.3%
Bid-Ask Spread %122.9245.82146.28116.34106.25
Gamma HHI0.410.350.510.430.41
Net GEX33.2K13.3K44.7K41.1K43.9K
Net DEX-616.8K-902.5K-298.1K-825.6K-710.1K
Net VEX-6.4K-7.3K-5.7K-7.3K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.0013.007.330.00
Total Volume130.59101,136251
Total OI2,342.2731,9492,8782,4492,068

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$17.34$17.5068.6%19.7%52.1%26.7%31.9%29.5%29.5%41.1K-825.6K-7.3K7.33116.343222,095354
2020-07-02$17.04$17.50123.1%35.3%52.0%53.1%120.9%57.6%24.8%32.7K-764.8K-7.2K0.00146.28062,095376
2020-07-06$17.40$15.00113.9%29.7%52.7%48.7%90.5%87.4%-50.2%35.8K-712.7K-7.0K0.13142.821,0011352,095376
2020-07-07$16.95$15.0095.7%19.8%49.5%39.8%44.9%65.5%-39.7%31.2K-533.9K-6.4K0.83141.9512102,095369
2020-07-08$16.49$15.0050.9%25.2%49.5%18.1%63.1%21.3%-36.2%24.2K-407.3K-6.2K0.93135.5627252,095365
2020-07-09$16.27$15.0082.0%20.2%49.3%32.5%0.0%58.9%-13.6%25.9K-516.4K-6.0K0.00134.77002,088389
2020-07-10$16.62$15.0046.2%20.1%40.2%15.0%0.0%93.2%-1.3%28.3K-361.8K-5.7K0.47126.621572,088389
2020-07-13$16.44$15.0054.0%22.5%39.0%18.8%64.5%16.7%-9.8%13.3K-298.1K-5.8K0.00125.4772712,104396
2020-07-14$16.35$15.0074.5%21.8%37.4%28.9%86.0%42.1%13.8%26.5K-420.4K-5.8K0.25127.34822,482396
2020-07-15$16.77$15.0078.1%22.4%38.0%30.7%84.1%99.1%-14.9%24.1K-558.5K-6.6K0.32126.154681502,477397
2020-07-16$16.69$15.0078.2%22.4%37.9%30.7%65.0%31.6%29.5%26.1K-643.3K-6.7K0.00114.191402,480395
2020-07-17$17.09$15.0076.6%22.0%39.3%29.9%0.0%74.5%49.1%32.0K-686.2K-6.8K13.00139.091132,485386
2020-07-20$16.69$15.0078.1%22.4%38.6%30.7%45.7%29.2%4.9%34.3K-437.1K-5.7K0.56127.2436201,600349
2020-07-21$16.70$15.0076.3%21.9%38.6%29.8%37.7%21.4%61.2%35.7K-589.2K-6.3K0.07141.411411,611369
2020-07-22$17.32$15.0035.5%10.2%41.3%9.8%33.3%-0.2%43.2%38.6K-795.4K-6.9K0.09142.684441,621370
2020-07-23$17.45$15.0050.0%14.3%30.2%16.9%50.9%16.6%12.3%36.1K-633.9K-6.4K1.60130.59581,656374
2020-07-24$17.04$15.0050.3%14.4%30.1%17.1%50.2%10.7%35.4%34.4K-718.6K-6.9K0.00110.22021,658382
2020-07-27$17.31$15.0043.9%12.6%30.7%13.9%43.9%4.4%-4.7%38.6K-512.1K-5.7K0.44109.5425111,658383
2020-07-28$17.62$15.0042.4%12.1%31.2%13.2%42.4%12.3%6.3%41.8K-717.3K-6.5K1.8945.829171,658382
2020-07-29$18.05$17.5040.5%11.6%32.2%12.2%40.5%11.8%9.0%44.7K-825.2K-6.4K0.07101.421411,663398
2020-07-30$18.07$17.5049.6%14.2%32.1%16.7%55.3%7.7%-4.6%41.9K-902.5K-6.5K0.00112.601401,665398
2020-07-31$17.88$17.5043.7%12.5%31.6%13.8%49.5%5.4%1.1%43.9K-710.1K-6.0K0.00106.25101,670398