LMNR Options History — June 2014

In June 2014, LMNR traded between $21.97 and $23.30. ATM implied volatility averaged 35.1%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 7.6% (HV 20d: 27.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.36.

Notable Days

2014-06-18: Highest Volume — 47 contracts
2014-06-11: Largest IV spike — 433.8% change
2014-06-11: Highest IV Rank — 100.0%
2014-06-11: Largest Expected Move — 21.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.78	$21.97	$23.30	$22.92	$21.97
Max Pain	$21.43	$20.00	$22.50	$22.50	$22.50
ATM IV	35.1%	26.8%	147.3%	31.3%	26.8%
Expected Move	9.1%	7.7%	21.7%	9.0%	7.7%
HV 20d	27.5%	21.5%	32.6%	28.9%	21.5%
HV 60d	26.7%	25.2%	29.1%	29.1%	25.2%
IV Rank	16.5%	7.5%	100.0%	19.6%	7.5%
IV Percentile	14.3%	4.1%	100.0%	14.2%	4.1%
Term Structure	-0.1%	-27.4%	3.6%	0.0%	3.5%
VWIV	38.9%	25.9%	80.2%	30.6%	28.7%
Skew 25d	2.5%	-3.0%	22.1%	5.8%	-2.5%
Skew 10d	6.6%	-3.4%	67.1%	8.4%	1.4%
Call IV 25d	29.5%	22.5%	87.2%	25.9%	27.2%
Put IV 25d	32.0%	24.7%	109.4%	31.7%	24.7%
Bid-Ask Spread %	101.35	88.06	169.50	100.27	99.29
Gamma HHI	0.54	0.25	0.79	0.51	0.28
Net GEX	-2.1K	-5.4K	-48	-2.7K	-321
Net DEX	-13.2K	-56.0K	30.5K	12.1K	21.7K
Net VEX	-172	-280	-118	-167	-172
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	1.36	0.00	0.81
Total Volume	6.238	0	47	0	0
Total OI	111.048	86	163	86	103

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
2014-06-02	$22.92	$22.50	31.3%	9.0%	28.9%	19.6%	0.0%	5.8%	0.0%	-2.7K	12.1K	-167	0.00	100.27	0	0	16	70
2014-06-03	$22.46	$22.50	30.5%	8.7%	29.0%	18.5%	0.0%	3.4%	-0.7%	-2.9K	22.3K	-170	0.00	98.92	0	0	16	70
2014-06-04	$22.26	$22.50	30.1%	8.6%	29.0%	17.9%	0.0%	1.3%	0.1%	-3.1K	30.5K	-170	0.00	99.51	0	0	16	70
2014-06-05	$23.23	$22.50	31.8%	9.1%	32.6%	20.3%	0.0%	11.3%	-1.1%	-2.8K	3.5K	-135	0.00	100.77	15	0	16	70
2014-06-06	$22.94	$20.00	30.8%	9.0%	32.1%	18.9%	0.0%	-3.0%	-0.2%	-2.3K	-19.5K	-172	0.00	93.55	0	0	31	70
2014-06-09	$23.18	$20.00	29.0%	8.8%	31.9%	16.4%	30.6%	-0.8%	0.8%	-2.3K	-28.2K	-150	1.36	96.25	11	15	31	70
2014-06-10	$23.30	$20.00	27.6%	8.0%	30.2%	14.5%	29.0%	-2.6%	2.6%	-2.0K	-42.5K	-184	0.00	88.06	1	0	42	85
2014-06-11	$23.06	$20.00	147.3%	21.7%	30.3%	100.0%	80.2%	22.1%	-27.4%	-1.2K	1.3K	-280	0.00	169.50	0	15	41	85
2014-06-12	$22.98	$20.00	31.1%	8.9%	29.8%	10.8%	0.0%	4.3%	0.2%	-2.3K	-25.9K	-196	0.00	97.96	0	0	41	85
2014-06-13	$22.96	$20.00	30.9%	8.9%	28.8%	10.6%	0.0%	-2.2%	0.6%	-2.3K	-27.4K	-191	0.00	94.63	10	0	41	85
2014-06-16	$23.24	$20.00	31.2%	8.9%	28.9%	10.8%	0.0%	0.1%	0.4%	-2.3K	-56.0K	-142	0.00	95.61	0	0	41	85
2014-06-17	$22.98	$20.00	31.5%	9.0%	28.9%	11.1%	0.0%	5.0%	0.3%	-2.6K	-43.4K	-152	0.00	99.05	2	0	41	85
2014-06-18	$23.03	$20.00	28.0%	8.0%	28.8%	8.4%	25.9%	2.7%	2.6%	-3.1K	-49.6K	-118	0.81	95.38	26	21	39	85
2014-06-19	$22.90	$22.50	28.7%	8.2%	28.7%	9.0%	0.0%	4.2%	2.7%	-5.4K	-39.1K	-200	0.00	100.29	0	0	57	106
2014-06-20	$23.00	$22.50	28.7%	8.2%	22.8%	8.9%	0.0%	5.2%	2.1%	-4.5K	-51.6K	-179	0.00	102.17	0	1	57	106
2014-06-23	$22.93	$22.50	28.2%	8.1%	22.7%	8.6%	0.0%	1.7%	2.8%	-379	-12.8K	-149	0.00	101.68	0	0	33	58
2014-06-24	$22.50	$22.50	28.7%	8.2%	23.6%	9.0%	0.0%	-1.1%	0.6%	-135	-2.9K	-158	0.00	95.99	0	0	33	58
2014-06-25	$22.31	$22.50	28.4%	8.2%	23.7%	8.8%	0.0%	-0.5%	3.0%	-48	4.1K	-160	0.00	97.43	0	10	33	58
2014-06-26	$22.20	$22.50	28.7%	8.2%	22.8%	8.9%	28.7%	-1.4%	1.6%	-384	11.2K	-186	0.00	101.16	0	4	33	67
2014-06-27	$22.11	$22.50	27.7%	7.9%	22.5%	8.2%	0.0%	-0.1%	3.6%	-501	14.5K	-186	0.00	100.83	0	0	33	70
2014-06-30	$21.97	$22.50	26.8%	7.7%	21.5%	7.5%	0.0%	-2.5%	3.5%	-321	21.7K	-172	0.00	99.29	0	0	33	70