CTRE Options History — December 2020

In December 2020, CTRE traded between $20.23 and $23.46. ATM implied volatility averaged 31.6%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.0% (HV 20d: 32.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2020-12-29: Highest Volume — 979 contracts
  • 2020-12-28: Largest IV spike — 54.6% change
  • 2020-12-01: Highest IV Rank — 15.9%
  • 2020-12-01: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.92$20.23$23.46$20.23$22.19
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV31.6%22.0%47.9%47.9%27.4%
Expected Move9.4%6.3%13.7%13.7%7.9%
HV 20d32.7%27.2%40.1%39.9%27.2%
HV 60d36.5%32.5%39.2%38.1%32.5%
IV Rank7.7%3.2%15.9%15.9%5.3%
IV Percentile21.7%7.9%55.6%55.6%11.5%
Term Structure5.5%-25.0%33.5%-8.7%10.9%
VWIV33.9%16.6%66.0%35.0%27.5%
Skew 25d5.4%-5.6%18.7%12.0%1.6%
Skew 10d8.5%-4.0%26.8%-1.7%3.9%
Call IV 25d28.3%17.3%40.4%26.2%23.9%
Put IV 25d33.7%23.6%42.2%38.2%25.5%
Bid-Ask Spread %94.3085.63100.35100.3591.30
Gamma HHI0.610.400.930.400.91
Net GEX127.8K69.9K187.7K69.9K183.7K
Net DEX-2.2M-3.4M-1.2M-1.2M-1.7M
Net VEX-4.2K-5.0K-3.2K-4.9K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.0012.500.330.00
Total Volume76.18229796122
Total OI2,293.3642,1582,4112,1582,297

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$20.23$20.0047.9%13.7%39.9%15.9%0.0%12.0%-8.7%69.9K-1.2M-4.9K0.33100.3546151,752406
2020-12-02$20.35$20.0039.1%11.2%39.4%11.6%35.0%17.7%-0.2%74.3K-1.2M-5.0K0.6598.1717111,784413
2020-12-03$20.85$20.0028.1%9.4%39.0%6.2%40.9%-5.6%-4.4%84.3K-1.4M-5.0K0.8898.9916141,793421
2020-12-04$20.45$20.0031.9%9.0%40.1%8.0%31.6%-5.3%7.2%87.4K-1.2M-4.4K0.0396.743111,801427
2020-12-07$20.73$20.0030.1%11.6%40.1%7.2%41.1%14.2%-7.8%84.0K-1.6M-5.0K1.2996.73791,822427
2020-12-08$20.80$20.0030.8%11.2%31.6%7.5%35.0%14.3%1.1%86.8K-1.5M-4.9K0.1494.68711,827435
2020-12-09$21.11$20.0039.1%11.2%31.8%11.5%36.4%5.1%-5.3%91.2K-1.6M-4.7K0.0086.462601,827435
2020-12-10$21.07$20.0030.0%8.6%31.9%7.1%33.3%1.2%8.1%108.0K-1.6M-4.4K0.7589.77431,854436
2020-12-11$22.13$20.0028.1%8.1%34.3%6.2%37.6%2.1%9.1%136.2K-2.4M-4.3K0.0097.95801,856438
2020-12-14$22.25$20.0022.0%6.3%31.8%3.2%16.6%18.7%19.8%175.6K-2.9M-3.3K0.3093.8147141,855438
2020-12-15$22.88$20.0031.4%9.0%32.4%7.8%33.0%6.4%3.0%131.6K-2.9M-3.9K0.0085.637401,871438
2020-12-16$23.24$20.0032.4%9.3%30.9%7.8%31.8%4.4%-3.9%125.7K-3.2M-3.6K0.0391.437221,878438
2020-12-17$23.46$20.0029.3%8.4%29.2%6.3%28.7%2.3%25.8%121.8K-3.4M-3.2K0.5093.38421,915440
2020-12-18$23.12$20.0030.9%8.9%30.5%7.1%29.7%-0.4%33.5%128.2K-3.2M-3.5K0.0496.487931,917442
2020-12-21$22.78$20.0032.9%9.4%31.1%8.1%32.9%8.8%17.2%150.1K-2.8M-3.9K0.2297.76921,931384
2020-12-22$22.81$20.0029.3%8.4%31.1%6.3%0.0%12.5%7.4%148.9K-2.9M-3.6K0.0095.662001,933386
2020-12-23$22.45$20.0030.3%8.7%30.8%6.8%30.8%-0.9%9.6%157.5K-2.6M-3.8K3.3392.306201,954386
2020-12-24$22.40$20.0029.6%8.5%30.6%6.4%0.0%6.9%4.0%161.9K-2.6M-3.8K0.0096.68201,954400
2020-12-28$22.51$20.0045.8%13.1%29.0%14.4%66.0%2.9%-25.0%130.5K-2.5M-4.0K4.8598.0813631,956400
2020-12-29$22.40$20.0023.7%6.8%28.9%3.5%31.8%-0.3%6.3%186.1K-2.5M-3.3K0.0086.9097721,963448
2020-12-30$22.06$20.0025.5%7.3%27.2%4.4%25.3%0.6%12.3%187.7K-1.7M-4.9K12.5095.372251,826450
2020-12-31$22.19$20.0027.4%7.9%27.2%5.3%27.5%1.6%10.9%183.7K-1.7M-4.8K0.0091.302201,826471