LMNR Options History — October 2013

In October 2013, LMNR traded between $24.76 and $27.13. ATM implied volatility averaged 45.5%. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 15.1% (HV 20d: 30.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-10-04: Highest Volume — 2 contracts
  • 2013-10-18: Largest IV spike — 105.1% change
  • 2013-10-14: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.19$24.76$27.13$25.75$26.34
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV45.5%31.9%72.0%43.4%49.1%
Expected Move12.8%9.2%20.6%12.4%14.1%
HV 20d30.4%25.2%36.0%29.5%25.2%
HV 60d32.3%31.4%33.1%31.4%32.4%
Term Structure-7.1%-21.3%6.0%-3.3%-21.3%
VWIV45.5%45.5%45.5%45.5%45.5%
Skew 25d1.9%-9.6%18.3%-2.1%-7.7%
Skew 10d4.1%-7.3%21.3%-0.4%3.2%
Call IV 25d43.2%27.7%95.1%46.4%48.2%
Put IV 25d45.1%29.7%97.2%44.3%40.5%
Bid-Ask Spread %132.01101.65160.48135.53136.15
Gamma HHI1.001.001.001.001.00
Net GEX5-263188-219175
Net DEX-2.1K-4.4K2.5K2.0K-3.8K
Net VEX-6-10-3-4-4
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.0870200
Total OI2.872422

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$25.75$25.0043.4%12.4%29.5%0.0%0.0%-2.1%-3.3%-2192.0K-40.00135.530002
2013-10-02$25.33$25.0039.1%11.2%30.5%0.0%0.0%-0.4%-0.8%-2312.0K-40.00114.090002
2013-10-03$24.86$25.0038.9%11.1%31.7%0.0%0.0%-9.6%-7.2%-2452.5K-40.00113.550002
2013-10-04$25.47$0.0046.4%13.0%31.6%0.0%45.5%4.6%-8.1%-2632.3K-40.00125.472002
2013-10-07$25.02$25.0051.7%11.1%32.7%0.0%0.0%0.2%-0.7%-37-365-100.00135.360022
2013-10-08$24.94$25.0047.0%11.1%32.6%0.0%0.0%-0.4%-0.5%-86-256-100.00131.910022
2013-10-09$24.76$25.0035.5%11.0%32.9%0.0%0.0%7.9%-0.8%-155-142-100.00101.650022
2013-10-10$25.43$25.0037.1%10.6%33.7%0.0%0.0%-1.0%1.7%-70-741-90.00134.630022
2013-10-11$26.46$25.0041.9%12.0%35.4%0.0%0.0%18.3%6.0%-104-2.4K-80.00131.520022
2013-10-14$27.13$25.0072.0%20.6%36.0%0.0%0.0%2.2%-11.1%58-3.7K-60.00153.490022
2013-10-15$26.88$25.0042.1%12.1%32.7%0.0%0.0%8.5%-8.7%-28-3.1K-70.00126.460022
2013-10-16$26.42$25.0038.6%11.1%33.1%0.0%0.0%-2.1%-6.1%-50-2.6K-70.00129.830022
2013-10-17$26.63$25.0031.9%9.2%32.2%0.0%0.0%6.5%5.1%36-3.6K-50.00114.990022
2013-10-18$26.70$25.0065.5%18.8%29.7%0.0%0.0%6.5%-15.3%104-3.6K-50.00160.480022
2013-10-21$26.56$25.0045.1%12.9%29.6%0.0%0.0%8.2%-6.0%149-3.8K-50.00146.960020
2013-10-22$27.05$25.0042.0%12.0%29.9%0.0%0.0%8.7%-4.1%145-4.2K-40.00134.840020
2013-10-23$27.02$25.0045.5%13.0%27.3%0.0%0.0%6.5%-11.4%144-4.2K-40.00134.690020
2013-10-24$26.77$25.0047.3%13.6%27.3%0.0%0.0%2.7%-13.7%148-4.0K-40.00136.030020
2013-10-25$26.72$25.0054.1%15.5%26.9%0.0%0.0%-6.6%-20.3%139-3.8K-40.00146.070020
2013-10-28$26.76$25.0048.2%13.8%26.6%0.0%0.0%2.9%-12.5%157-4.0K-40.00135.790020
2013-10-29$26.70$25.0033.3%9.5%26.6%0.0%0.0%-3.3%-2.5%188-4.4K-30.00121.470020
2013-10-30$26.66$25.0050.0%14.3%25.8%0.0%0.0%-6.6%-20.8%162-4.0K-40.00135.260020
2013-10-31$26.34$25.0049.1%14.1%25.2%0.0%0.0%-7.7%-21.3%175-3.8K-40.00136.150020