LMNR Options History — May 2014 In May 2014, LMNR traded between $21.26 and $23.40. ATM implied volatility averaged 30.0%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.7% (HV 20d: 24.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 19 of 21 days.
Notable Days 2014-05-08 : Highest Volume — 27 contracts2014-05-14 : Largest IV spike — 47.7% change2014-05-29 : Highest IV Rank — 31.5%2014-05-29 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $22.20 $21.26 $23.40 $22.57 $23.40 Max Pain $22.50 $22.50 $22.50 $22.50 $22.50 ATM IV 30.0% 23.9% 40.0% 31.6% 30.3% Expected Move 8.7% 8.1% 11.5% 9.1% 8.7% HV 20d 24.2% 19.9% 28.5% 26.6% 27.8% HV 60d 27.8% 26.8% 29.2% 27.1% 28.8% IV Rank 17.8% 9.4% 31.5% 20.0% 18.3% IV Percentile 10.4% 2.8% 45.1% 7.3% 11.1% Term Structure 1.3% -0.5% 5.7% 1.3% 5.7% VWIV 29.7% 29.7% 29.7% 29.7% 29.7% Skew 25d 6.0% -2.0% 12.6% 2.4% 8.6% Skew 10d 7.7% 3.8% 11.7% 3.8% 4.2% Call IV 25d 26.7% 23.1% 37.4% 29.3% 26.8% Put IV 25d 32.7% 24.3% 49.1% 31.7% 35.4% Bid-Ask Spread % 99.29 89.57 142.53 98.97 113.78 Gamma HHI 0.43 0.39 0.57 0.57 0.46 Net GEX -1.8K -2.8K 502 502 -2.5K Net DEX 23.1K -10.7K 57.4K -10.7K 4.0K Net VEX -189 -236 -90 -90 -156 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 2.714 0 27 15 0 Total OI 72.571 29 86 29 86
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 2014-05-01 $22.57 $0.00 31.6% 9.1% 26.6% 20.0% 0.0% 2.4% 1.3% 502 -10.7K -90 0.00 98.97 0 15 16 13 2014-05-02 $22.70 $0.00 31.1% 8.9% 25.7% 19.3% 0.0% 4.6% 2.8% 174 -6.8K -140 0.00 102.72 0 0 16 28 2014-05-05 $22.27 $22.50 30.0% 9.2% 24.2% 17.8% 0.0% 12.6% -0.5% 233 -4.1K -133 0.00 89.57 0 0 16 28 2014-05-06 $22.08 $22.50 30.4% 8.4% 24.5% 18.4% 0.0% 8.9% 1.3% 298 -2.2K -130 0.00 91.45 0 10 16 28 2014-05-07 $22.12 $22.50 30.9% 8.6% 23.7% 19.0% 0.0% 8.9% 1.0% -55 2.5K -164 0.00 92.10 0 0 16 38 2014-05-08 $21.70 $22.50 24.4% 8.5% 21.8% 10.1% 29.7% 5.8% 1.4% -101 6.9K -164 0.00 94.64 0 27 16 38 2014-05-09 $21.48 $22.50 23.9% 8.3% 20.9% 9.4% 0.0% 4.9% 2.2% -2.4K 48.8K -236 0.00 93.14 0 0 16 65 2014-05-12 $22.15 $22.50 25.2% 8.6% 22.0% 11.2% 0.0% 8.5% 0.6% -2.4K 36.7K -236 0.00 90.86 0 0 16 65 2014-05-13 $21.95 $22.50 27.1% 8.5% 22.3% 13.7% 0.0% 9.0% 0.8% -2.4K 36.5K -230 0.00 93.51 0 0 16 65 2014-05-14 $21.66 $22.50 40.0% 8.6% 22.8% 31.5% 0.0% 5.1% 0.7% -2.4K 41.2K -230 0.00 100.60 0 0 16 65 2014-05-15 $21.26 $22.50 28.1% 8.1% 22.9% 15.2% 0.0% 5.2% 2.2% -2.5K 54.8K -217 0.00 92.67 0 0 16 65 2014-05-16 $21.26 $22.50 29.1% 8.4% 21.9% 16.6% 0.0% 1.7% 0.7% -2.6K 57.4K -207 0.00 95.45 0 0 16 65 2014-05-19 $21.65 $22.50 28.8% 8.3% 21.0% 16.1% 0.0% 5.2% 1.0% -2.5K 43.9K -210 0.00 97.76 0 5 16 65 2014-05-20 $21.54 $22.50 28.9% 8.3% 19.9% 16.3% 0.0% 5.5% 1.4% -2.8K 49.6K -218 0.00 94.82 0 0 16 70 2014-05-21 $21.83 $22.50 28.7% 8.2% 20.8% 16.0% 0.0% -2.0% 1.3% -2.7K 41.7K -220 0.00 101.69 0 0 16 70 2014-05-22 $22.93 $22.50 30.7% 8.8% 27.8% 18.7% 0.0% 5.4% -0.1% -2.7K 18.2K -199 0.00 100.52 0 0 16 70 2014-05-23 $22.79 $22.50 29.8% 8.6% 27.9% 17.6% 0.0% 5.0% 0.7% -2.5K 17.1K -200 0.00 97.97 0 0 16 70 2014-05-27 $22.92 $22.50 30.1% 8.6% 28.0% 18.0% 0.0% 4.8% 0.6% -2.6K 14.5K -189 0.00 100.14 0 0 16 70 2014-05-28 $22.82 $22.50 30.1% 8.6% 28.0% 18.0% 0.0% 4.7% 0.3% -2.7K 17.3K -188 0.00 100.13 0 0 16 70 2014-05-29 $23.20 $22.50 40.0% 11.5% 28.5% 31.5% 0.0% 11.7% 1.7% -2.2K 18.4K -216 0.00 142.53 0 0 16 70 2014-05-30 $23.40 $22.50 30.3% 8.7% 27.8% 18.3% 0.0% 8.6% 5.7% -2.5K 4.0K -156 0.00 113.78 0 0 16 70
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