LMNR Options History — January 2014

In January 2014, LMNR traded between $20.77 and $27.41. ATM implied volatility averaged 48.3%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 2.5% (HV 20d: 50.9%). 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 8 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2014-01-15: Highest Volume — 40 contracts
2014-01-09: Largest IV spike — 71.1% change
2014-01-15: Highest IV Rank — 87.1%
2014-01-31: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.04	$20.77	$27.41	$26.50	$20.77
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	48.3%	35.3%	82.0%	54.7%	61.1%
Expected Move	12.0%	9.4%	17.5%	15.7%	17.5%
HV 20d	50.9%	33.9%	65.0%	57.5%	41.5%
HV 60d	41.8%	38.4%	45.1%	39.8%	45.1%
IV Rank	32.1%	11.1%	87.1%	18.7%	53.2%
IV Percentile	50.7%	9.0%	99.2%	27.0%	90.2%
Term Structure	-2.9%	-21.5%	8.6%	-21.5%	-17.4%
Skew 25d	0.9%	-14.5%	9.5%	5.1%	-12.2%
Skew 10d	-0.4%	-14.5%	9.9%	3.9%	-13.0%
Call IV 25d	36.9%	26.9%	51.2%	35.0%	51.2%
Put IV 25d	37.8%	27.0%	50.4%	40.1%	39.0%
Bid-Ask Spread %	130.94	102.23	153.52	138.99	150.38
Gamma HHI	0.88	0.52	1.00	1.00	0.52
Net GEX	-2.0K	-5.7K	-573	-2.7K	-592
Net DEX	31.1K	7.7K	84.1K	22.4K	26.2K
Net VEX	-64	-98	-28	-65	-94
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.50	2.00	0.50	2.00
Total Volume	4	0	40	5	0
Total OI	33.143	12	50	32	26

Daily Data (21 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
2014-01-02	$26.50	$25.00	54.7%	15.7%	57.5%	0.0%	0.0%	5.1%	-21.5%	-2.7K	22.4K	-65	0.00	138.99	0	5	0	32
2014-01-03	$26.47	$25.00	36.3%	10.4%	57.5%	0.0%	0.0%	-5.6%	-5.0%	-3.5K	18.7K	-66	0.00	120.44	0	0	0	35
2014-01-06	$26.39	$0.00	57.2%	11.3%	57.6%	0.0%	0.0%	4.3%	-4.7%	-3.2K	24.1K	-67	0.00	125.30	0	5	0	35
2014-01-07	$26.50	$0.00	39.9%	11.3%	57.0%	18.7%	0.0%	2.6%	3.2%	-3.5K	16.3K	-52	0.00	102.23	0	0	0	35
2014-01-08	$26.45	$0.00	36.6%	11.6%	55.1%	13.2%	0.0%	9.5%	0.4%	-3.5K	14.4K	-48	0.00	104.27	0	0	0	35
2014-01-09	$26.90	$0.00	62.6%	12.4%	55.1%	55.6%	0.0%	6.4%	-6.9%	-2.8K	17.2K	-53	0.50	131.27	10	5	0	35
2014-01-10	$27.41	$0.00	41.1%	9.4%	54.3%	20.7%	0.0%	6.5%	-4.9%	-1.8K	7.7K	-33	0.00	111.43	0	0	10	40
2014-01-13	$25.53	$0.00	59.7%	11.5%	61.2%	50.8%	0.0%	-5.5%	-3.0%	-5.7K	37.0K	-60	0.00	146.00	0	0	10	40
2014-01-14	$24.36	$0.00	65.0%	10.2%	63.8%	59.5%	0.0%	-5.9%	8.6%	-4.2K	58.0K	-55	0.00	126.83	0	0	10	40
2014-01-15	$23.45	$0.00	82.0%	9.7%	64.9%	87.1%	0.0%	-0.5%	1.2%	-2.8K	84.1K	-28	0.00	131.04	0	40	10	40
2014-01-16	$22.94	$0.00	43.3%	12.4%	64.9%	24.2%	0.0%	-1.7%	-7.1%	-1.8K	72.7K	-42	0.00	153.52	0	0	10	37
2014-01-17	$22.66	$0.00	35.3%	10.1%	65.0%	11.1%	0.0%	4.6%	0.1%	-604	78.0K	-30	0.00	108.84	0	5	10	37
2014-01-21	$22.79	$0.00	45.4%	13.0%	65.0%	27.6%	0.0%	1.4%	-8.2%	-573	18.4K	-40	2.00	153.45	3	6	0	12
2014-01-22	$22.90	$0.00	37.5%	10.7%	34.2%	14.7%	0.0%	5.6%	-0.4%	-785	22.1K	-82	0.00	108.06	0	0	3	18
2014-01-23	$22.81	$0.00	37.3%	10.7%	34.2%	14.4%	0.0%	5.3%	-0.0%	-815	21.3K	-83	0.00	108.82	0	0	3	18
2014-01-24	$22.42	$0.00	39.0%	11.2%	34.2%	17.2%	0.0%	3.9%	6.3%	-624	20.4K	-85	0.00	141.89	0	0	3	18
2014-01-27	$22.32	$0.00	40.9%	11.7%	33.9%	20.2%	0.0%	-0.8%	7.3%	-573	19.6K	-85	0.00	149.68	0	0	3	18
2014-01-28	$22.30	$0.00	40.1%	11.5%	34.0%	18.9%	0.0%	2.1%	5.1%	-626	20.6K	-84	0.00	148.16	0	5	3	18
2014-01-29	$21.15	$0.00	45.5%	13.0%	37.4%	27.7%	0.0%	-14.5%	-6.3%	-605	25.3K	-92	0.00	137.31	0	0	3	23
2014-01-30	$21.73	$0.00	55.0%	15.8%	39.7%	43.3%	0.0%	8.2%	-7.7%	-701	27.6K	-98	0.00	151.81	0	0	3	23
2014-01-31	$20.77	$0.00	61.1%	17.5%	41.5%	53.2%	0.0%	-12.2%	-17.4%	-592	26.2K	-94	0.00	150.38	0	0	3	23