LMNR Options History — August 2013

In August 2013, LMNR traded between $20.12 and $22.67. ATM implied volatility averaged 48.7%. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 21.0% (HV 20d: 27.7%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days.

Notable Days

  • 2013-08-13: Largest IV spike — 88.0% change
  • 2013-08-29: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.78$20.12$22.67$22.52$21.70
ATM IV48.7%33.3%68.7%47.4%44.0%
Expected Move12.5%9.9%14.5%13.6%12.6%
HV 20d27.7%22.0%37.7%22.7%37.7%
Term Structure-5.8%-30.5%10.2%-6.2%-1.8%
Skew 25d5.4%-7.4%22.6%6.9%-0.8%
Skew 10d12.0%-0.3%40.9%8.1%7.4%
Call IV 25d40.2%27.1%74.3%44.0%44.4%
Put IV 25d45.6%29.9%92.4%50.9%43.6%
Bid-Ask Spread %139.93107.86151.08145.50136.54
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$22.52$0.0047.4%13.6%22.7%0.0%0.0%6.9%-6.2%0000.00145.500000
2013-08-02$22.27$0.0047.6%13.6%22.6%0.0%0.0%18.0%-10.2%0000.00144.040000
2013-08-05$22.38$0.0052.4%11.7%22.0%0.0%0.0%5.0%-4.5%0000.00140.860000
2013-08-06$22.30$0.0047.4%11.0%22.0%0.0%0.0%3.8%-1.3%0000.00132.530000
2013-08-08$21.88$0.0055.9%11.4%23.0%0.0%0.0%5.6%-3.9%0000.00137.530000
2013-08-09$22.39$0.0062.2%11.5%24.1%0.0%0.0%4.9%-3.2%0000.00144.820000
2013-08-12$22.40$0.0033.3%9.9%23.1%0.0%0.0%2.8%-0.2%0000.00107.860000
2013-08-13$22.34$0.0062.6%12.1%22.5%0.0%0.0%7.8%-5.1%0000.00130.490000
2013-08-14$22.02$0.0068.7%11.4%22.6%0.0%0.0%5.5%-4.8%0000.00130.720000
2013-08-15$21.15$0.0044.2%12.7%25.3%0.0%0.0%-5.9%-20.7%0000.00142.190000
2013-08-16$21.00$0.0044.2%12.7%25.5%0.0%0.0%-1.4%-14.7%0000.00145.850000
2013-08-19$20.12$0.0050.4%14.4%29.5%0.0%0.0%-7.4%-30.5%0000.00144.710000
2013-08-20$20.56$0.0044.4%12.7%30.7%0.0%0.0%4.2%-9.8%0000.00146.120000
2013-08-21$20.78$0.0044.6%12.8%29.5%0.0%0.0%12.6%-11.4%0000.00146.820000
2013-08-22$21.67$0.0040.2%11.5%33.4%0.0%0.0%1.1%1.0%0000.00134.240000
2013-08-23$21.91$0.0042.6%12.2%33.6%0.0%0.0%3.6%-0.1%0000.00140.910000
2013-08-26$21.77$0.0046.3%13.3%33.0%0.0%0.0%12.6%-5.3%0000.00140.800000
2013-08-27$21.74$0.0046.1%13.2%32.6%0.0%0.0%5.7%0.5%0000.00151.030000
2013-08-28$21.79$0.0047.1%13.5%31.6%0.0%0.0%7.2%0.3%0000.00151.080000
2013-08-29$22.67$0.0050.7%14.5%34.3%0.0%0.0%22.6%10.2%0000.00143.890000
2013-08-30$21.70$0.0044.0%12.6%37.7%0.0%0.0%-0.8%-1.8%0000.00136.540000