CTRE Options History — September 2020

In September 2020, CTRE traded between $17.02 and $20.07. ATM implied volatility averaged 40.8%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 8.1% (HV 20d: 32.6%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.60.

Notable Days

2020-09-18: Highest Volume — 70 contracts
2020-09-09: Largest IV drop — 40.9% change
2020-09-04: Highest IV Rank — 22.6%
2020-09-01: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.69	$17.02	$20.07	$19.18	$17.72
Max Pain	$17.26	$15.00	$20.00	$20.00	$17.50
ATM IV	40.8%	30.2%	61.7%	46.2%	42.1%
Expected Move	10.9%	8.7%	13.2%	13.2%	12.1%
HV 20d	32.6%	24.9%	44.3%	24.9%	44.3%
HV 60d	32.5%	27.7%	37.7%	36.9%	33.6%
IV Rank	12.4%	7.2%	22.6%	15.0%	13.0%
IV Percentile	51.8%	39.3%	74.6%	60.7%	54.0%
Term Structure	9.5%	-11.8%	51.1%	-11.8%	11.0%
VWIV	38.5%	26.0%	51.6%	51.6%	29.7%
Skew 25d	7.6%	-6.8%	22.4%	5.9%	11.6%
Skew 10d	6.7%	-4.6%	20.2%	13.1%	16.9%
Call IV 25d	36.4%	26.9%	44.5%	41.2%	30.0%
Put IV 25d	44.0%	33.1%	52.5%	47.0%	41.6%
Bid-Ask Spread %	104.22	97.07	122.14	122.14	112.11
Gamma HHI	0.40	0.36	0.47	0.42	0.39
Net GEX	21.2K	2.4K	32.7K	24.3K	12.1K
Net DEX	-398.2K	-877.4K	183.3K	-523.0K	-77.2K
Net VEX	-4.8K	-6.4K	-2.5K	-5.4K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.00	12.33	0.00	0.00
Total Volume	18.476	0	70	4	2
Total OI	1,862.238	1,806	1,932	1,806	1,885

Daily Data (21 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
2020-09-01	$19.18	$20.00	46.2%	13.2%	24.9%	15.0%	51.6%	5.9%	-11.8%	24.3K	-523.0K	-5.4K	0.00	122.14	4	0	1,342	464
2020-09-02	$20.05	$20.00	37.3%	10.7%	28.9%	10.7%	37.3%	10.1%	5.1%	32.7K	-873.7K	-6.4K	0.65	107.54	31	20	1,344	464
2020-09-03	$20.07	$15.00	46.2%	10.9%	27.4%	15.0%	38.9%	7.1%	1.7%	32.0K	-877.4K	-6.3K	0.00	99.40	3	0	1,371	474
2020-09-04	$19.43	$15.00	61.7%	9.5%	30.1%	22.6%	49.8%	10.2%	6.9%	29.3K	-788.8K	-6.3K	0.00	102.76	0	1	1,373	474
2020-09-08	$19.23	$15.00	60.9%	12.1%	30.0%	22.2%	0.0%	9.7%	1.9%	26.0K	-639.8K	-5.9K	0.00	99.51	0	9	1,373	475
2020-09-09	$19.26	$15.00	35.9%	10.3%	29.9%	10.0%	49.5%	22.4%	5.9%	26.1K	-597.1K	-5.5K	12.33	102.45	3	37	1,370	475
2020-09-10	$19.19	$17.50	34.4%	9.9%	29.6%	9.3%	37.8%	13.9%	5.7%	25.3K	-596.7K	-5.7K	0.50	101.89	4	2	1,370	512
2020-09-11	$18.69	$17.50	45.7%	13.1%	30.3%	14.8%	44.4%	3.9%	0.6%	19.8K	-453.5K	-5.4K	0.00	97.07	6	0	1,371	510
2020-09-14	$19.19	$17.50	30.2%	8.7%	31.8%	7.2%	26.0%	9.5%	2.0%	24.9K	-529.9K	-5.3K	3.00	104.50	1	3	1,371	510
2020-09-15	$19.23	$17.50	35.4%	10.2%	31.8%	9.8%	34.8%	6.7%	3.9%	28.9K	-530.2K	-5.0K	0.00	98.68	0	1	1,370	512
2020-09-16	$19.05	$17.50	32.9%	9.4%	31.9%	8.5%	37.0%	8.8%	4.2%	24.3K	-489.9K	-5.0K	1.00	101.70	1	1	1,370	512
2020-09-17	$18.68	$17.50	41.3%	11.8%	30.9%	12.6%	37.0%	4.4%	33.4%	23.4K	-394.6K	-5.0K	0.07	103.47	60	4	1,370	511
2020-09-18	$18.72	$17.50	31.6%	9.1%	29.6%	7.9%	28.9%	8.7%	51.1%	22.6K	-311.2K	-4.5K	0.40	102.73	50	20	1,417	515
2020-09-21	$18.57	$17.50	44.4%	12.7%	29.4%	14.2%	38.2%	6.8%	2.8%	22.0K	-302.4K	-4.3K	1.52	103.16	21	32	1,414	416
2020-09-22	$18.61	$17.50	35.2%	10.1%	29.2%	9.7%	0.0%	7.5%	22.1%	22.0K	-334.2K	-4.7K	0.00	98.36	0	0	1,401	446
2020-09-23	$17.51	$17.50	36.9%	10.6%	36.0%	10.5%	38.2%	3.2%	20.2%	14.2K	-110.5K	-3.9K	1.00	98.13	7	7	1,401	446
2020-09-24	$17.02	$17.50	42.0%	12.1%	36.9%	13.0%	40.1%	-3.6%	7.9%	10.9K	53.0K	-3.4K	1.86	108.81	7	13	1,398	453
2020-09-25	$17.13	$17.50	38.2%	10.9%	34.7%	11.1%	34.3%	-6.8%	8.3%	2.4K	183.3K	-2.5K	3.25	106.65	4	13	1,399	466
2020-09-28	$18.28	$17.50	35.4%	10.2%	42.9%	9.8%	29.7%	14.2%	9.7%	11.8K	-150.0K	-3.9K	0.06	105.87	18	1	1,397	479
2020-09-29	$17.65	$17.50	41.9%	12.0%	44.3%	12.9%	0.0%	5.1%	6.5%	9.6K	-18.0K	-3.4K	0.00	111.72	2	0	1,408	478
2020-09-30	$17.72	$17.50	42.1%	12.1%	44.3%	13.0%	0.0%	11.6%	11.0%	12.1K	-77.2K	-3.7K	0.00	112.11	0	2	1,410	475