LMNR Options History — April 2014 In April 2014, LMNR traded between $21.51 and $23.23. ATM implied volatility averaged 28.7%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.5% (HV 20d: 29.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-04-03 : Highest Volume — 13 contracts2014-04-10 : Largest IV spike — 45.2% change2014-04-21 : Highest IV Rank — 23.3%2014-04-21 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $22.42 $21.51 $23.23 $22.67 $22.97 Max Pain $22.50 $22.50 $22.50 $22.50 $22.50 ATM IV 28.7% 17.0% 34.0% 26.1% 33.0% Expected Move 8.9% 6.2% 9.8% 7.5% 9.5% HV 20d 29.2% 25.5% 33.9% 33.1% 25.8% HV 60d 31.5% 26.9% 35.0% 34.4% 27.0% IV Rank 14.5% 0.0% 23.3% 0.0% 22.0% IV Percentile 7.5% 0.0% 16.3% 0.0% 13.7% Term Structure 2.8% 0.5% 10.0% 6.2% 0.7% VWIV 26.1% 26.1% 26.1% 26.1% 26.1% Skew 25d 6.2% 0.1% 9.7% 3.3% 6.0% Skew 10d 8.0% 1.0% 12.6% 5.2% 8.8% Call IV 25d 25.7% 23.0% 28.8% 24.2% 27.4% Put IV 25d 31.8% 25.2% 36.2% 27.5% 33.5% Bid-Ask Spread % 95.10 83.78 103.61 89.13 99.85 Gamma HHI 0.63 0.50 0.86 0.80 0.60 Net GEX 710 -745 4.2K -341 530 Net DEX -7.6K -16.4K 8.3K 4.2K -14.6K Net VEX -97 -118 -56 -56 -91 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.524 0 13 2 0 Total OI 30.714 15 41 15 29
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 2014-04-01 $22.67 $0.00 26.1% 7.5% 33.1% 0.0% 26.1% 3.3% 6.2% -341 4.2K -56 0.00 89.13 0 2 3 12 2014-04-02 $22.59 $22.50 23.7% 6.8% 33.1% 0.0% 0.0% 3.0% 8.3% -695 6.5K -61 0.00 91.85 0 0 3 14 2014-04-03 $22.16 $22.50 21.5% 6.2% 33.9% 0.0% 0.0% 1.5% 10.0% -745 8.3K -60 0.00 100.58 13 0 3 14 2014-04-04 $21.51 $0.00 18.5% 8.8% 32.4% 0.0% 0.0% 6.6% 2.6% 86 -441 -110 0.00 88.00 0 0 16 14 2014-04-07 $21.53 $0.00 20.0% 8.9% 31.9% 2.0% 0.0% 6.2% 2.9% 81 -954 -108 0.00 90.70 3 0 16 14 2014-04-08 $21.92 $0.00 17.0% 9.2% 29.7% 0.0% 0.0% 8.8% 1.4% -47 -3.7K -109 0.00 89.47 0 0 16 14 2014-04-09 $22.60 $0.00 22.2% 9.0% 31.7% 7.1% 0.0% 3.4% 2.9% -79 -10.1K -108 0.00 94.37 10 0 16 14 2014-04-10 $22.13 $0.00 32.3% 9.3% 31.9% 20.9% 0.0% 9.7% 2.0% 2.4K -12.1K -118 0.00 92.26 0 0 26 14 2014-04-11 $21.60 $0.00 31.8% 9.1% 33.0% 20.3% 0.0% 5.9% 0.9% 1.3K -3.7K -110 0.00 89.97 0 1 26 14 2014-04-14 $21.55 $0.00 31.4% 9.0% 31.9% 19.7% 0.0% 5.8% 1.8% 1.2K -2.4K -109 0.00 93.11 0 0 26 15 2014-04-15 $21.60 $0.00 30.4% 8.7% 25.5% 18.3% 0.0% 7.7% 2.6% 1.4K -2.4K -109 0.00 83.78 0 0 26 15 2014-04-16 $21.96 $0.00 31.9% 9.1% 26.6% 20.4% 0.0% 7.6% 2.3% 2.1K -7.3K -112 0.00 93.71 0 0 26 15 2014-04-17 $22.33 $0.00 32.0% 9.2% 27.2% 20.5% 0.0% 0.1% 0.5% 4.2K -14.2K -111 0.00 97.02 0 0 26 15 2014-04-21 $22.87 $0.00 34.0% 9.8% 27.3% 23.3% 0.0% 6.1% 1.0% 447 -13.5K -99 0.00 96.30 0 0 16 13 2014-04-22 $23.23 $0.00 33.3% 9.6% 27.8% 22.4% 0.0% 9.1% 1.9% 465 -15.8K -96 0.00 97.64 0 3 16 13 2014-04-23 $23.12 $0.00 32.4% 9.3% 26.8% 21.1% 0.0% 8.3% 1.8% 482 -15.3K -96 0.00 101.26 0 0 16 13 2014-04-24 $23.12 $0.00 31.9% 9.2% 25.9% 20.4% 0.0% 7.0% 2.6% 485 -15.3K -96 0.00 101.49 0 0 16 13 2014-04-25 $23.12 $0.00 32.6% 9.4% 25.9% 21.4% 0.0% 7.2% 1.9% 492 -15.4K -95 0.00 102.65 0 0 16 13 2014-04-28 $23.09 $0.00 33.5% 9.6% 25.8% 22.6% 0.0% 7.7% 1.7% 497 -15.4K -92 0.00 100.29 0 0 16 13 2014-04-29 $23.16 $0.00 32.5% 9.3% 25.6% 21.2% 0.0% 8.1% 2.3% 520 -16.4K -88 0.00 103.61 0 0 16 13 2014-04-30 $22.97 $0.00 33.0% 9.5% 25.8% 22.0% 0.0% 6.0% 0.7% 530 -14.6K -91 0.00 99.85 0 0 16 13
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