CTRE Options History — August 2020

In August 2020, CTRE traded between $17.97 and $19.45. ATM implied volatility averaged 40.7%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 15.3% (HV 20d: 25.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2020-08-18: Highest Volume — 381 contracts
  • 2020-08-04: Largest IV spike — 56.3% change
  • 2020-08-19: Highest IV Rank — 19.2%
  • 2020-08-19: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.83$17.97$19.45$17.97$19.45
Max Pain$19.40$17.50$20.00$17.50$20.00
ATM IV40.7%30.7%54.8%33.7%36.6%
Expected Move12.3%9.1%15.7%9.7%10.5%
HV 20d25.4%22.4%30.9%30.9%24.0%
HV 60d42.3%38.0%53.6%53.6%38.0%
IV Rank12.4%7.4%19.2%8.9%10.3%
IV Percentile56.3%44.8%70.6%51.2%50.4%
Term Structure-1.9%-25.2%17.8%8.0%2.0%
VWIV45.4%27.8%57.8%27.8%57.8%
Skew 25d10.8%-3.6%40.0%23.2%17.0%
Skew 10d10.1%-22.3%43.8%12.7%26.3%
Call IV 25d34.0%22.4%48.1%28.4%33.8%
Put IV 25d44.9%34.3%62.4%51.6%50.8%
Bid-Ask Spread %112.7277.26124.66124.66117.95
Gamma HHI0.420.380.490.400.46
Net GEX36.9K22.5K51.5K38.2K25.7K
Net DEX-935.7K-1.4M-437.4K-818.3K-679.5K
Net VEX-6.0K-6.8K-5.2K-6.4K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.0010.000.000.24
Total Volume38.1903813147
Total OI2,011.2861,6902,1582,0681,772

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$17.97$17.5033.7%9.7%30.9%8.9%27.8%23.2%8.0%38.2K-818.3K-6.4K0.00124.663101,670398
2020-08-04$18.01$17.5052.6%15.1%29.1%18.2%52.6%13.7%2.8%45.4K-812.2K-6.0K0.30114.091031,678398
2020-08-05$18.12$17.5045.8%13.1%26.8%14.8%49.9%10.6%-4.9%44.4K-859.4K-6.2K0.75119.32431,687400
2020-08-06$18.66$17.5038.0%12.9%27.2%11.0%43.0%11.8%-2.6%51.5K-1.1M-6.2K0.13112.45811,690403
2020-08-07$18.83$17.5030.7%14.2%26.7%7.4%51.6%7.3%-8.1%47.4K-1.2M-6.5K4.67109.633141,693405
2020-08-10$19.12$20.0034.5%11.5%26.1%9.3%41.8%16.1%2.4%41.6K-1.2M-6.8K2.31113.3113301,695415
2020-08-11$19.01$20.0035.5%13.4%26.1%9.8%45.1%13.8%-7.5%39.1K-1.1M-6.7K0.18109.551121,708425
2020-08-12$19.23$20.0046.2%13.3%25.3%15.1%40.2%14.6%-6.9%38.6K-1.4M-6.6K0.23109.311331,713424
2020-08-13$18.85$20.0044.6%12.8%26.8%14.3%42.1%5.7%-3.1%46.4K-1.2M-6.4K0.04110.682711,706422
2020-08-14$18.85$20.0041.6%11.9%26.0%12.8%0.0%9.9%0.2%47.9K-1.2M-6.3K0.00114.22051,713423
2020-08-17$18.87$20.0034.6%9.9%23.8%9.4%53.7%40.0%17.8%48.6K-1.2M-6.2K10.00110.333301,713423
2020-08-18$18.80$20.0040.6%11.6%24.0%12.3%0.0%5.3%-2.1%47.6K-1.1M-6.0K0.02103.5837561,716438
2020-08-19$18.26$20.0054.8%15.7%24.2%19.2%55.5%9.1%-14.0%44.9K-818.6K-5.5K0.00116.33011,716440
2020-08-20$18.73$20.0052.4%15.0%25.5%18.1%0.0%2.7%-25.2%23.3K-1.2M-5.5K1.00116.73331,716439
2020-08-21$18.94$20.0044.2%12.7%23.4%14.1%0.0%-3.6%-10.6%22.5K-1.2M-5.2K0.00119.551401,716442
2020-08-24$19.12$20.0034.2%9.8%23.2%9.2%40.4%7.7%-0.2%24.3K-502.7K-5.5K0.0777.261411,298392
2020-08-25$19.07$20.0031.6%9.1%22.8%7.9%39.7%6.2%5.0%25.7K-524.3K-5.6K3.50116.046211,308393
2020-08-26$18.79$20.0043.2%12.4%22.4%13.6%41.1%9.2%0.7%22.9K-437.4K-5.2K1.25118.0716201,309414
2020-08-27$19.37$20.0040.4%11.6%24.6%12.2%44.0%6.2%1.8%24.9K-650.0K-5.8K0.50112.8540201,318436
2020-08-28$19.38$20.0039.1%11.2%24.0%11.5%0.0%1.3%4.4%24.3K-608.5K-5.7K0.00121.16001,316456
2020-08-31$19.45$20.0036.6%10.5%24.0%10.3%57.8%17.0%2.0%25.7K-679.5K-5.8K0.24117.953891,316456