CTRE Options History — October 2020

In October 2020, CTRE traded between $16.84 and $18.93. ATM implied volatility averaged 51.0%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 11.4% (HV 20d: 39.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.01.

Notable Days

  • 2020-10-02: Highest Volume — 87 contracts
  • 2020-10-12: Largest IV spike — 146.5% change
  • 2020-10-12: Highest IV Rank — 47.5%
  • 2020-10-30: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.05$16.84$18.93$18.11$17.00
Max Pain$17.61$17.50$20.00$17.50$17.50
ATM IV51.0%32.3%112.6%44.4%61.1%
Expected Move13.4%9.3%17.5%12.7%17.5%
HV 20d39.6%26.0%45.2%41.7%26.0%
HV 60d33.7%33.0%34.5%33.4%34.0%
IV Rank17.4%8.2%47.5%14.2%22.3%
IV Percentile58.7%35.7%92.9%56.7%73.4%
Term Structure-1.1%-13.4%49.0%5.2%-9.3%
VWIV42.3%29.9%61.0%44.6%61.0%
Skew 25d13.2%-0.7%36.4%18.6%22.6%
Skew 10d17.2%-3.1%37.3%16.2%29.8%
Call IV 25d35.6%20.7%41.8%26.3%40.2%
Put IV 25d48.7%39.8%62.8%44.9%62.8%
Bid-Ask Spread %105.2791.97112.00110.98109.85
Gamma HHI0.340.320.380.380.33
Net GEX17.0K3.7K31.2K16.5K5.1K
Net DEX-132.2K-478.2K168.7K-219.2K136.2K
Net VEX-3.9K-4.9K-2.8K-4.2K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0013.750.751.00
Total Volume20.27308772
Total OI1,878.51,7002,0491,8871,790

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$18.11$17.5044.4%12.7%41.7%14.2%44.6%18.6%5.2%16.5K-219.2K-4.2K0.75110.98431,410477
2020-10-02$18.93$17.5032.3%9.3%45.2%8.2%37.4%12.3%5.9%26.5K-478.2K-4.9K0.10112.007981,414480
2020-10-05$18.69$17.5043.1%12.9%44.0%13.5%36.4%5.1%-3.1%27.3K-313.2K-4.6K0.41108.8827111,430478
2020-10-06$18.81$17.5034.7%11.6%44.0%9.4%40.3%7.7%-2.9%30.7K-354.5K-4.7K0.00109.975001,457490
2020-10-07$18.66$17.5044.5%13.3%44.1%14.2%37.2%11.1%-10.6%31.2K-376.6K-4.8K0.00110.10201,507490
2020-10-08$18.71$17.5040.9%14.3%44.1%12.5%34.9%16.7%-7.8%29.8K-321.9K-4.6K0.00106.50011,515510
2020-10-09$18.56$17.5045.7%14.3%43.2%14.8%35.4%13.2%-8.9%26.9K-270.4K-4.6K0.00104.801101,515511
2020-10-12$18.70$17.50112.6%14.1%42.1%47.5%44.7%10.5%-13.0%29.6K-324.4K-4.5K0.20107.67511,513511
2020-10-13$18.28$17.50103.0%14.1%42.8%42.8%48.1%6.8%-11.6%19.6K-168.1K-4.1K10.33105.593311,514512
2020-10-14$18.16$17.5045.8%13.1%42.7%14.8%42.5%-0.7%-5.8%20.1K-208.3K-4.2K13.75107.854551,524500
2020-10-15$18.47$17.5035.8%10.3%42.7%9.9%39.8%3.8%49.0%19.5K-296.3K-4.4K5.00108.452101,523524
2020-10-16$18.01$20.0040.6%11.6%43.6%12.3%41.7%8.8%1.4%11.9K-102.0K-3.6K0.1398.932331,523526
2020-10-19$17.51$17.5055.1%15.8%44.6%19.4%39.3%6.9%-13.4%8.1K59.1K-3.3K0.16103.452541,283417
2020-10-20$17.66$17.5055.3%15.9%44.7%19.5%43.6%12.8%-10.4%8.8K38.7K-3.3K0.00100.322201,304421
2020-10-21$17.62$17.5051.7%14.8%39.0%17.7%48.8%14.8%-1.1%9.8K22.4K-3.3K0.0096.50021,318423
2020-10-22$17.89$17.5042.0%12.1%37.8%13.0%0.0%10.9%2.3%10.9K-780-3.5K0.0091.97011,318425
2020-10-23$17.99$17.5043.5%12.5%37.8%13.7%45.0%10.8%0.9%12.7K-44.8K-3.5K0.0095.49701,318426
2020-10-26$17.72$17.5049.8%14.3%30.2%16.8%29.9%36.4%6.7%11.1K-10.1K-3.4K1.00102.30551,325426
2020-10-27$17.56$17.5048.4%13.9%27.7%16.1%0.0%20.4%-4.8%9.0K38.2K-3.2K0.00105.89001,320431
2020-10-28$16.84$17.5042.9%12.3%31.3%13.4%46.6%16.3%2.5%3.7K168.7K-2.8K0.04107.982611,320431
2020-10-29$17.20$17.5048.6%13.9%31.2%16.2%49.3%23.6%4.0%5.5K117.2K-2.8K3.33110.533101,346431
2020-10-30$17.00$17.5061.1%17.5%26.0%22.3%61.0%22.6%-9.3%5.1K136.2K-2.9K1.00109.85111,349441