CTRE Options History — November 2020

In November 2020, CTRE traded between $17.45 and $20.09. ATM implied volatility averaged 43.6%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 6.2% (HV 20d: 37.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.35.

Notable Days

2020-11-17: Highest Volume — 493 contracts
2020-11-10: Largest IV spike — 80.5% change
2020-11-02: Highest IV Rank — 23.1%
2020-11-02: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.98	$17.45	$20.09	$17.45	$19.44
Max Pain	$19.00	$17.50	$20.00	$17.50	$20.00
ATM IV	43.6%	25.1%	62.6%	62.6%	38.6%
Expected Move	12.0%	7.2%	17.9%	17.9%	11.1%
HV 20d	37.4%	28.1%	41.7%	28.1%	38.7%
HV 60d	37.2%	34.4%	38.7%	34.4%	37.8%
IV Rank	13.8%	4.7%	23.1%	23.1%	11.3%
IV Percentile	47.0%	16.7%	73.8%	73.8%	36.1%
Term Structure	-5.1%	-22.7%	15.6%	-15.6%	2.7%
VWIV	38.4%	26.2%	45.9%	45.9%	36.4%
Skew 25d	11.2%	-5.0%	35.7%	24.8%	-1.8%
Skew 10d	7.2%	-33.9%	41.9%	27.3%	2.0%
Call IV 25d	32.7%	25.6%	43.9%	37.4%	37.1%
Put IV 25d	43.8%	24.6%	64.7%	62.2%	35.3%
Bid-Ask Spread %	112.36	103.94	121.61	103.94	117.20
Gamma HHI	0.37	0.33	0.41	0.33	0.39
Net GEX	38.3K	7.7K	66.4K	9.3K	58.0K
Net DEX	-495.5K	-1.2M	43.9K	26.1K	-946.3K
Net VEX	-3.9K	-5.2K	-2.7K	-3.2K	-4.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.02	7.00	2.20	4.00
Total Volume	44.75	0	493	16	20
Total OI	1,961.35	1,779	2,322	1,790	2,142

Daily Data (20 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
2020-11-02	$17.45	$17.50	62.6%	17.9%	28.1%	23.1%	0.0%	24.8%	-15.6%	9.3K	26.1K	-3.2K	2.20	103.94	5	11	1,350	440
2020-11-03	$17.88	$17.50	53.7%	15.4%	29.6%	18.7%	0.0%	35.7%	-6.5%	12.0K	-57.4K	-3.4K	0.00	105.47	0	0	1,350	440
2020-11-04	$17.61	$17.50	58.4%	16.7%	29.9%	21.0%	0.0%	32.7%	-18.6%	8.5K	27.3K	-2.8K	0.00	106.39	0	0	1,351	429
2020-11-05	$17.58	$17.50	55.2%	10.8%	29.8%	19.4%	0.0%	21.5%	1.3%	7.7K	43.9K	-2.9K	0.00	107.30	0	1	1,351	429
2020-11-06	$17.69	$17.50	55.7%	12.0%	29.9%	19.7%	45.9%	12.5%	-8.8%	7.7K	33.3K	-2.7K	0.26	111.56	50	13	1,351	428
2020-11-09	$19.05	$17.50	28.0%	11.4%	40.4%	6.1%	43.5%	12.4%	-6.4%	28.0K	-370.6K	-3.9K	0.06	113.42	36	2	1,374	437
2020-11-10	$19.20	$17.50	50.5%	11.0%	39.4%	17.1%	0.0%	10.6%	-2.5%	27.8K	-307.6K	-3.1K	0.00	120.07	0	53	1,388	437
2020-11-11	$19.37	$17.50	33.2%	9.5%	39.3%	8.7%	31.8%	5.6%	-2.5%	33.1K	-344.3K	-3.3K	0.83	107.55	12	10	1,388	437
2020-11-12	$19.00	$20.00	46.1%	13.2%	39.8%	15.0%	0.0%	4.3%	-3.0%	27.6K	-361.1K	-3.8K	1.71	115.09	7	12	1,388	447
2020-11-13	$19.82	$20.00	51.4%	14.7%	41.0%	17.6%	0.0%	-3.3%	-22.7%	43.6K	-539.0K	-3.6K	0.10	121.61	10	1	1,387	434
2020-11-16	$19.69	$20.00	45.8%	13.1%	39.3%	14.9%	40.8%	18.2%	-16.1%	49.2K	-538.5K	-3.7K	0.00	107.12	0	21	1,387	434
2020-11-17	$19.32	$20.00	40.6%	11.6%	40.3%	12.3%	40.2%	8.4%	-3.8%	39.5K	-484.9K	-3.6K	0.02	110.84	485	8	1,387	439
2020-11-18	$18.98	$20.00	44.0%	12.6%	41.0%	14.0%	0.0%	26.6%	-15.4%	55.9K	-710.4K	-4.6K	0.10	116.54	20	2	1,871	437
2020-11-19	$19.29	$20.00	33.5%	9.6%	41.1%	8.8%	0.0%	-4.5%	4.9%	61.3K	-831.2K	-4.9K	1.00	115.39	2	2	1,884	438
2020-11-20	$19.15	$20.00	29.4%	8.4%	41.2%	6.8%	26.2%	-5.0%	0.1%	46.9K	-524.5K	-3.9K	0.00	118.09	0	1	1,882	438
2020-11-23	$19.44	$20.00	36.0%	10.3%	40.8%	10.1%	34.9%	-0.5%	-0.2%	53.5K	-669.3K	-4.3K	0.10	108.13	29	3	1,718	368
2020-11-24	$20.09	$20.00	40.7%	11.7%	41.7%	12.3%	40.8%	14.9%	-2.0%	66.4K	-1.2M	-5.2K	0.12	112.67	49	6	1,743	365
2020-11-25	$19.98	$20.00	43.2%	12.4%	37.9%	13.6%	43.2%	11.3%	-3.5%	64.9K	-1.1M	-5.2K	7.00	113.28	3	21	1,748	369
2020-11-27	$19.57	$20.00	25.1%	7.2%	38.9%	4.7%	0.0%	-1.4%	15.6%	64.4K	-1.1M	-5.0K	0.00	115.55	0	0	1,751	390
2020-11-30	$19.44	$20.00	38.6%	11.1%	38.7%	11.3%	36.4%	-1.8%	2.7%	58.0K	-946.3K	-4.8K	4.00	117.20	4	16	1,752	390