LMNR Options History — December 2013

In December 2013, LMNR traded between $23.26 and $27.21. ATM implied volatility averaged 46.4%. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 5.9% (HV 20d: 40.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days.

Notable Days

  • 2013-12-23: Highest Volume — 20 contracts
  • 2013-12-26: Largest IV spike — 57.4% change
  • 2013-12-31: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.05$23.26$27.21$25.40$26.59
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV46.4%30.2%60.7%57.8%58.0%
Expected Move12.8%8.7%16.6%16.6%16.6%
HV 20d40.5%28.5%61.2%31.3%57.6%
HV 60d32.8%27.1%40.7%29.5%40.0%
Term Structure-7.8%-39.2%10.5%-39.2%-20.0%
VWIV66.4%48.6%84.1%84.1%48.6%
Skew 25d3.0%-14.1%48.6%-12.4%8.3%
Skew 10d6.4%-3.6%36.9%9.6%7.2%
Call IV 25d40.5%24.8%53.9%53.9%46.7%
Put IV 25d43.5%28.2%76.1%41.5%54.9%
Bid-Ask Spread %129.40103.19147.84133.09134.53
Gamma HHI1.001.001.001.001.00
Net GEX-704-2.7K-67-89-2.5K
Net DEX7.2K1.7K25.3K1.7K25.3K
Net VEX-25-74-9-10-68
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume1.42902000
Total OI9.619232232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$25.40$0.0057.8%16.6%31.3%0.0%0.0%-12.4%-39.2%-891.7K-100.00133.090002
2013-12-03$25.19$0.0052.7%15.1%31.0%0.0%0.0%-3.0%-12.6%-952.3K-110.00135.170002
2013-12-04$25.15$0.0053.2%15.3%30.9%0.0%0.0%-3.2%-13.4%-962.3K-110.00137.660002
2013-12-05$25.16$0.0036.9%10.6%30.8%0.0%0.0%-2.4%0.8%-952.3K-110.00112.010002
2013-12-06$24.69$0.0052.2%11.7%28.5%0.0%0.0%-1.8%-8.3%-932.0K-100.00136.710002
2013-12-09$23.80$0.0060.7%12.0%31.1%0.0%0.0%-9.5%-10.1%-832.2K-100.00147.840002
2013-12-10$23.75$0.0051.5%12.6%31.1%0.0%0.0%1.5%-0.9%-952.8K-100.00129.220002
2013-12-11$23.26$0.0035.8%11.3%30.5%0.0%0.0%0.7%-0.1%-912.8K-100.00103.190002
2013-12-12$23.42$0.0034.7%9.9%30.4%0.0%0.0%8.8%0.6%-1012.9K-90.00109.090002
2013-12-13$23.43$0.0046.4%13.3%30.2%0.0%0.0%3.7%-3.5%-922.7K-100.00138.000002
2013-12-16$23.97$0.0040.3%11.5%30.9%0.0%0.0%4.2%-8.3%-1022.9K-90.00146.370002
2013-12-17$23.49$0.0048.0%13.8%31.7%0.0%0.0%3.2%-10.0%-952.7K-90.00144.940002
2013-12-18$23.67$0.0034.5%9.9%30.3%0.0%0.0%7.0%10.5%-972.9K-90.00109.580002
2013-12-19$23.49$0.0037.5%10.7%30.4%0.0%0.0%2.4%5.0%-982.7K-90.00104.910002
2013-12-20$27.21$0.0055.0%15.8%60.8%0.0%84.1%48.6%-4.4%-671.8K-100.00142.8901002
2013-12-23$26.91$25.0048.2%13.8%61.1%0.0%48.6%10.8%-13.0%-1.0K8.9K-320.00125.61020012
2013-12-24$26.89$25.0030.2%8.7%61.2%0.0%0.0%-1.0%3.4%-2.7K15.6K-610.00115.3800032
2013-12-26$27.00$25.0047.6%13.6%61.2%0.0%0.0%7.6%-9.8%-2.2K21.2K-720.00138.2500032
2013-12-27$26.82$25.0048.7%14.0%60.4%0.0%0.0%4.5%-13.5%-2.3K22.1K-740.00135.8700032
2013-12-30$26.68$25.0043.8%12.5%59.3%0.0%0.0%-14.1%-16.9%-2.6K21.2K-660.00137.1700032
2013-12-31$26.59$25.0058.0%16.6%57.6%0.0%0.0%8.3%-20.0%-2.5K25.3K-680.00134.5300032