LMNR Options History — November 2013 In November 2013, LMNR traded between $23.51 and $26.35. ATM implied volatility averaged 50.4%. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 26.6% (HV 20d: 23.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 7 of 20 days.
Notable Days 2013-11-21 : Highest Volume — 2 contracts2013-11-14 : Largest IV drop — 54.1% change2013-11-01 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $24.69 $23.51 $26.35 $25.67 $26.35 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 50.4% 33.1% 89.8% 57.7% 34.7% Expected Move 12.1% 9.5% 16.5% 16.5% 9.9% HV 20d 23.9% 20.3% 29.8% 25.8% 29.8% HV 60d 30.9% 27.8% 33.4% 32.6% 28.8% Term Structure -4.4% -33.6% 5.8% -33.6% 4.2% Skew 25d 2.5% -17.5% 31.9% -17.5% 2.9% Skew 10d 8.4% -1.0% 30.3% 0.7% 29.4% Call IV 25d 40.2% 28.5% 60.4% 60.4% 34.2% Put IV 25d 42.7% 36.6% 67.0% 42.9% 37.1% Bid-Ask Spread % 133.06 106.11 151.19 144.49 114.39 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 85 -115 299 168 -115 Net DEX -599 -3.2K 2.6K -3.1K 2.1K Net VEX -4 -11 0 -4 -11 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.1 0 2 0 0 Total OI 1.6 0 2 2 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 P/C Spread % Call Vol Put Vol Call OI Put OI 2013-11-01 $25.67 $25.00 57.7% 16.5% 25.8% 0.0% 0.0% -17.5% -33.6% 168 -3.1K -4 0.00 144.49 0 0 2 0 2013-11-04 $25.33 $0.00 52.1% 11.3% 25.4% 0.0% 0.0% 3.0% -1.2% 210 -2.9K -4 0.00 136.30 0 0 2 0 2013-11-05 $25.49 $0.00 39.2% 11.0% 25.5% 0.0% 0.0% 7.3% -0.2% 299 -3.1K -3 0.00 107.07 0 0 2 0 2013-11-06 $25.65 $0.00 57.0% 11.0% 25.3% 0.0% 0.0% 7.2% 1.4% 207 -3.2K -3 0.00 140.35 0 0 2 0 2013-11-07 $24.70 $0.00 69.0% 12.4% 27.2% 0.0% 0.0% 0.3% -5.6% 181 -2.4K -3 0.00 151.19 0 0 2 0 2013-11-08 $24.92 $0.00 45.5% 11.9% 22.8% 0.0% 0.0% -2.2% -6.0% 212 -2.5K -3 0.00 121.54 0 0 2 0 2013-11-11 $24.82 $0.00 67.6% 11.4% 20.3% 0.0% 0.0% 1.5% -2.1% 251 -2.4K -2 0.00 139.36 0 0 2 0 2013-11-12 $24.16 $0.00 89.8% 13.8% 21.8% 0.0% 0.0% -7.1% -16.5% 193 -1.8K -2 0.00 150.23 0 0 2 0 2013-11-13 $23.85 $0.00 74.7% 11.8% 21.5% 0.0% 0.0% 8.8% -6.0% 210 -1.4K -1 0.00 128.69 0 0 2 0 2013-11-14 $24.04 $0.00 34.3% 9.8% 21.5% 0.0% 0.0% 11.8% 1.4% 265 -1.3K -1 0.00 111.12 0 0 2 0 2013-11-15 $23.69 $0.00 46.1% 13.2% 21.6% 0.0% 0.0% -0.1% -11.2% 0 0 0 0.00 146.99 0 0 2 0 2013-11-18 $23.51 $0.00 44.8% 12.9% 21.6% 0.0% 0.0% -5.1% -10.6% 0 0 0 0.00 139.57 0 0 0 0 2013-11-19 $24.13 $0.00 33.1% 9.5% 22.9% 0.0% 0.0% 31.9% 2.1% 0 0 0 0.00 120.74 0 0 0 0 2013-11-20 $24.10 $0.00 44.3% 12.7% 22.9% 0.0% 0.0% 3.6% 5.8% 0 0 0 0.00 150.10 0 0 0 0 2013-11-21 $24.28 $0.00 44.6% 12.8% 23.3% 0.0% 0.0% 0.3% 2.4% 0 0 0 0.00 145.09 0 2 0 0 2013-11-22 $24.40 $0.00 36.5% 10.5% 23.5% 0.0% 0.0% 3.5% -0.0% -92 2.6K -11 0.00 106.11 0 0 0 2 2013-11-25 $24.53 $0.00 44.2% 12.7% 23.7% 0.0% 0.0% -1.9% 0.1% -96 2.6K -11 0.00 134.57 0 0 0 2 2013-11-26 $24.66 $0.00 46.3% 13.3% 23.9% 0.0% 0.0% 0.5% -6.3% -93 2.4K -11 0.00 139.38 0 0 0 2 2013-11-27 $25.44 $0.00 47.1% 13.5% 27.0% 0.0% 0.0% 0.9% -6.3% -104 2.4K -11 0.00 133.92 0 0 0 2 2013-11-29 $26.35 $0.00 34.7% 9.9% 29.8% 0.0% 0.0% 2.9% 4.2% -115 2.1K -11 0.00 114.39 0 0 0 2
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