LMNR Options History — July 2014 In July 2014, LMNR traded between $21.11 and $22.84. ATM implied volatility averaged 28.6%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.2% (HV 20d: 23.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2014-07-09 : Highest Volume — 14 contracts2014-07-29 : Largest IV spike — 14.2% change2014-07-17 : Highest IV Rank — 10.8%2014-07-17 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $21.99 $21.11 $22.84 $22.84 $22.05 Max Pain $24.42 $22.50 $25.00 $22.50 $25.00 ATM IV 28.6% 25.1% 31.1% 28.4% 27.5% Expected Move 8.6% 8.1% 8.9% 8.1% 8.8% HV 20d 23.4% 19.4% 27.3% 24.9% 23.2% HV 60d 25.1% 24.1% 25.7% 25.7% 25.4% IV Rank 8.9% 6.2% 10.8% 8.7% 8.0% IV Percentile 10.8% 3.2% 22.2% 7.3% 5.6% Term Structure 1.5% 0.5% 3.1% 2.0% 3.1% VWIV 31.7% 28.3% 36.0% 28.3% 36.0% Skew 25d -0.5% -9.5% 9.2% 4.0% 1.5% Skew 10d 5.1% 0.6% 12.8% 6.3% 1.9% Call IV 25d 27.2% 23.7% 30.9% 25.2% 27.9% Put IV 25d 26.8% 18.1% 32.9% 29.2% 29.4% Bid-Ask Spread % 77.11 44.54 108.12 101.91 48.69 Gamma HHI 0.45 0.26 0.60 0.27 0.60 Net GEX -1.7K -2.3K -748 -818 -1.9K Net DEX 41.3K -2.3K 103.0K -2.3K 29.3K Net VEX -165 -215 -138 -163 -141 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 1.545 0 14 5 0 Total OI 87 58 117 103 58
Daily Data (22 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 2014-07-01 $22.84 $22.50 28.4% 8.1% 24.9% 8.7% 28.3% 4.0% 2.0% -818 -2.3K -163 0.00 101.91 0 5 33 70 2014-07-02 $22.64 $22.50 28.8% 8.2% 24.8% 9.0% 30.9% 2.6% 2.4% -1.3K 6.7K -164 0.00 99.62 5 0 33 75 2014-07-03 $22.75 $22.50 28.5% 8.2% 19.4% 8.8% 36.0% 3.5% 1.6% -1.6K 13.4K -154 0.00 104.64 10 0 28 75 2014-07-07 $22.24 $25.00 28.5% 8.8% 20.5% 8.8% 0.0% -0.5% 1.5% -1.3K 30.1K -147 0.00 94.62 0 0 28 75 2014-07-08 $22.46 $25.00 27.9% 8.8% 20.5% 8.3% 0.0% 9.2% 1.0% -1.5K 21.5K -148 0.00 90.19 0 0 28 75 2014-07-09 $22.32 $25.00 26.5% 8.5% 20.4% 7.2% 0.0% -0.2% 1.5% -1.5K 27.1K -138 0.00 96.60 0 14 28 75 2014-07-10 $21.77 $25.00 29.4% 8.4% 21.8% 9.5% 0.0% 4.9% 1.3% -1.8K 60.7K -194 0.00 93.27 0 0 28 89 2014-07-11 $21.81 $25.00 29.7% 8.5% 21.8% 9.7% 0.0% -4.8% 1.2% -1.8K 62.9K -215 0.00 98.87 0 0 28 89 2014-07-14 $21.95 $25.00 29.8% 8.5% 22.1% 9.8% 0.0% -4.5% 1.5% -2.0K 60.0K -202 0.00 98.57 0 0 28 89 2014-07-15 $21.63 $25.00 29.5% 8.5% 21.8% 9.6% 0.0% 3.5% 1.2% -2.3K 90.0K -195 0.00 94.70 0 0 18 89 2014-07-16 $21.51 $25.00 29.5% 8.5% 21.6% 9.6% 0.0% -6.3% 0.5% -2.2K 87.3K -192 0.00 108.12 0 0 18 89 2014-07-17 $21.11 $25.00 31.1% 8.9% 22.2% 10.8% 0.0% 0.1% 1.2% -2.0K 103.0K -176 0.00 92.84 0 0 18 89 2014-07-18 $21.75 $25.00 28.8% 8.3% 25.3% 9.1% 0.0% 4.6% 0.9% -748 67.7K -175 0.00 96.56 0 0 18 79 2014-07-21 $21.55 $0.00 28.5% 8.8% 25.3% 8.8% 0.0% -5.4% 1.5% -2.0K 33.4K -163 0.00 48.05 0 0 0 58 2014-07-22 $21.87 $0.00 28.9% 8.6% 26.1% 9.1% 0.0% -3.6% 0.5% -2.0K 31.1K -155 0.00 44.54 0 0 0 58 2014-07-23 $22.14 $0.00 28.6% 8.7% 25.8% 8.9% 0.0% -1.3% 1.8% -2.0K 31.1K -152 0.00 48.85 0 0 0 58 2014-07-24 $21.94 $0.00 30.0% 8.8% 25.8% 9.9% 0.0% -2.9% 0.5% -1.9K 30.9K -151 0.00 49.66 0 0 0 58 2014-07-25 $21.72 $0.00 27.6% 8.7% 26.0% 8.1% 0.0% -9.5% 3.0% -2.0K 32.5K -158 0.00 45.89 0 0 0 58 2014-07-28 $21.55 $0.00 25.1% 8.4% 26.1% 6.2% 0.0% -3.9% 2.1% -2.0K 32.7K -152 0.00 46.68 0 0 0 58 2014-07-29 $22.03 $0.00 28.6% 8.7% 27.3% 8.9% 0.0% -1.0% 1.4% -1.9K 29.5K -142 0.00 47.49 0 0 0 58 2014-07-30 $22.17 $0.00 28.3% 8.8% 23.3% 8.7% 0.0% -0.3% 2.2% -1.9K 30.2K -145 0.00 45.96 0 0 0 58 2014-07-31 $22.05 $0.00 27.5% 8.8% 23.2% 8.0% 0.0% 1.5% 3.1% -1.9K 29.3K -141 0.00 48.69 0 0 0 58
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