LMNR Options History — September 2013

Name: LMNR Options Analytics - September 2013
Creator: Options Analysis Suite

In September 2013, LMNR traded between $21.24 and $26.54. ATM implied volatility averaged 44.2%. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.3% (HV 20d: 36.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days.

Notable Days

2013-09-26: Highest Volume — 2 contracts
2013-09-12: Largest IV drop — 25.8% change
2013-09-03: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.13	$21.24	$26.54	$21.24	$25.68
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	44.2%	35.4%	62.1%	55.9%	43.0%
Expected Move	11.8%	10.2%	16.0%	16.0%	12.3%
HV 20d	36.9%	31.5%	40.0%	38.2%	31.5%
HV 60d	31.4%	30.1%	32.2%	30.5%	31.7%
Term Structure	-3.4%	-15.7%	4.8%	-15.7%	-2.3%
VWIV	35.8%	35.8%	35.8%	35.8%	35.8%
Skew 25d	3.0%	-5.9%	9.3%	-5.9%	-1.0%
Skew 10d	6.0%	-2.3%	22.5%	5.0%	0.9%
Call IV 25d	39.4%	32.5%	50.2%	50.2%	45.1%
Put IV 25d	42.4%	36.5%	53.2%	44.3%	44.1%
Bid-Ask Spread %	133.37	117.50	147.68	144.73	134.73
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	-24	-271	0	0	-205
Net DEX	196	0	2.0K	0	2.0K
Net VEX	-0	-4	0	0	-4
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	0.1	0	2	0	0
Total OI	0.2	0	2	0	2

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	Spread %	Put Vol	Put OI
2013-09-03	$21.24	$0.00	55.9%	16.0%	38.2%	0.0%	0.0%	-5.9%	-15.7%	0	0	0	144.73	0	0
2013-09-04	$21.74	$0.00	48.6%	13.9%	39.2%	0.0%	0.0%	2.1%	-3.3%	0	0	0	147.68	0	0
2013-09-05	$22.08	$0.00	46.2%	13.2%	39.6%	0.0%	0.0%	6.3%	-0.2%	0	0	0	143.50	0	0
2013-09-06	$22.63	$0.00	54.9%	11.8%	40.0%	0.0%	0.0%	7.6%	-2.6%	0	0	0	146.90	0	0
2013-09-09	$22.60	$0.00	62.1%	12.0%	39.2%	0.0%	0.0%	7.3%	-4.4%	0	0	0	144.59	0	0
2013-09-10	$22.49	$0.00	53.0%	12.0%	39.2%	0.0%	0.0%	3.3%	-4.0%	0	0	0	138.33	0	0
2013-09-11	$22.71	$0.00	53.3%	11.7%	39.3%	0.0%	0.0%	7.4%	-3.6%	0	0	0	131.45	0	0
2013-09-12	$23.01	$0.00	39.5%	11.3%	39.1%	0.0%	0.0%	3.4%	0.0%	0	0	0	132.19	0	0
2013-09-13	$23.52	$0.00	40.1%	11.5%	36.3%	0.0%	0.0%	4.9%	-1.1%	0	0	0	133.09	0	0
2013-09-16	$23.80	$0.00	38.3%	11.0%	36.0%	0.0%	0.0%	1.7%	-3.9%	0	0	0	130.93	0	0
2013-09-17	$24.99	$0.00	41.1%	11.8%	34.1%	0.0%	0.0%	-3.2%	-3.1%	0	0	0	119.41	0	0
2013-09-18	$25.43	$0.00	37.0%	10.6%	34.0%	0.0%	0.0%	2.2%	2.7%	0	0	0	132.75	0	0
2013-09-19	$24.96	$0.00	42.0%	12.0%	35.5%	0.0%	0.0%	-4.9%	-6.7%	0	0	0	131.92	0	0
2013-09-20	$25.90	$0.00	35.4%	10.2%	35.0%	0.0%	0.0%	9.2%	4.2%	0	0	0	124.50	0	0
2013-09-23	$26.15	$0.00	38.9%	11.2%	35.0%	0.0%	0.0%	5.2%	-11.3%	0	0	0	126.88	0	0
2013-09-24	$26.54	$0.00	40.1%	11.5%	34.5%	0.0%	0.0%	1.2%	-7.3%	0	0	0	128.30	0	0
2013-09-25	$25.71	$0.00	36.5%	10.5%	37.4%	0.0%	0.0%	5.3%	4.8%	0	0	0	117.50	0	0
2013-09-26	$25.49	$0.00	36.4%	10.4%	37.9%	0.0%	35.8%	-1.4%	1.2%	0	0	0	123.70	2	0
2013-09-27	$25.90	$25.00	41.4%	11.9%	36.1%	0.0%	0.0%	9.3%	-12.3%	-271	2.0K	-4	134.26	0	2
2013-09-30	$25.68	$25.00	43.0%	12.3%	31.5%	0.0%	0.0%	-1.0%	-2.3%	-205	2.0K	-4	134.73	0	2