LMNR Options History — August 2014 In August 2014, LMNR traded between $21.14 and $24.23. ATM implied volatility averaged 28.2%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.8% (HV 20d: 24.4%). Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.03.
Notable Days 2014-08-28 : Highest Volume — 27 contracts2014-08-11 : Largest IV spike — 23.8% change2014-08-29 : Highest IV Rank — 13.1%2014-08-26 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $22.59 $21.14 $24.23 $21.87 $24.23 ATM IV 28.2% 20.7% 34.1% 27.4% 34.1% Expected Move 8.8% 8.6% 9.1% 8.7% 8.8% HV 20d 24.4% 22.3% 26.1% 23.2% 25.5% HV 60d 24.8% 23.0% 25.7% 25.4% 23.0% IV Rank 8.6% 2.8% 13.1% 8.0% 13.1% IV Percentile 18.2% 1.2% 45.2% 5.6% 45.2% Term Structure 0.5% -4.3% 8.5% 2.2% -4.3% Skew 25d 1.1% -10.6% 7.4% -1.0% -10.6% Skew 10d 3.8% -5.7% 6.8% 2.1% -2.1% Call IV 25d 26.5% 23.0% 35.0% 28.8% 34.8% Put IV 25d 27.6% 21.8% 33.0% 27.8% 24.2% Bid-Ask Spread % 46.86 42.17 53.29 48.48 53.29 Gamma HHI 0.59 0.34 0.87 0.61 0.34 Net GEX -1.8K -2.8K 153 -2.0K 153 Net DEX 19.7K -32.5K 33.6K 30.7K -32.5K Net VEX -112 -147 -82 -138 -147 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.03 0.00 0.08 0.00 0.00 Total Volume 2.952 0 27 0 18 Total OI 61.81 55 96 58 96
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 2014-08-01 $21.87 $0.00 27.4% 8.7% 23.2% 8.0% 0.0% -1.0% 2.2% -2.0K 30.7K -138 0.00 48.48 0 0 0 58 2014-08-04 $21.58 $0.00 23.1% 8.6% 22.3% 4.6% 0.0% 3.0% -0.7% -2.1K 32.5K -143 0.00 46.42 0 0 0 58 2014-08-05 $21.14 $0.00 28.0% 9.0% 22.9% 8.4% 0.0% -1.5% 2.9% -2.2K 33.6K -141 0.00 46.53 0 0 0 58 2014-08-06 $21.65 $0.00 22.8% 8.6% 24.7% 4.4% 0.0% 3.8% 0.1% -2.1K 31.5K -138 0.00 46.73 0 0 0 58 2014-08-07 $21.90 $0.00 20.7% 8.6% 23.5% 2.8% 0.0% 5.9% -0.2% -2.1K 29.2K -129 0.00 45.37 0 0 0 58 2014-08-08 $22.08 $0.00 21.9% 8.8% 23.6% 3.7% 0.0% -3.1% 0.2% -1.9K 28.6K -126 0.00 44.83 0 0 0 58 2014-08-11 $22.66 $0.00 27.1% 8.8% 25.2% 7.7% 0.0% 2.1% 0.4% -1.7K 23.1K -102 0.00 43.90 0 0 0 58 2014-08-12 $22.37 $0.00 25.9% 8.8% 25.1% 6.8% 0.0% 0.5% -0.3% -1.7K 24.8K -112 0.00 45.77 0 0 0 58 2014-08-13 $22.75 $0.00 26.7% 8.7% 25.5% 7.4% 0.0% 1.7% -0.7% -1.6K 21.6K -90 0.00 47.78 0 0 0 58 2014-08-14 $22.86 $0.00 31.2% 8.9% 24.2% 10.9% 0.0% 4.3% -0.6% -1.5K 21.5K -98 0.00 45.73 0 3 0 58 2014-08-15 $22.41 $0.00 30.6% 8.8% 23.6% 10.4% 0.0% -0.7% 0.1% -1.7K 17.7K -106 0.00 46.30 0 0 0 55 2014-08-18 $22.70 $0.00 30.1% 8.9% 23.5% 10.1% 0.0% 3.3% 0.9% -1.5K 13.9K -90 0.00 46.99 0 0 0 55 2014-08-19 $22.82 $0.00 30.5% 8.8% 23.1% 10.3% 0.0% 2.8% -0.1% -1.5K 13.0K -82 0.00 46.79 0 0 0 55 2014-08-20 $22.44 $0.00 29.1% 8.8% 23.7% 9.3% 0.0% 0.1% 1.3% -1.7K 15.9K -96 0.00 49.45 0 10 0 55 2014-08-21 $22.14 $0.00 30.9% 8.8% 24.0% 10.6% 0.0% -1.0% -0.8% -2.8K 30.0K -127 0.00 49.41 0 0 0 65 2014-08-22 $22.86 $0.00 30.9% 8.8% 26.1% 10.6% 0.0% 4.7% 0.1% -2.5K 22.1K -104 0.00 46.71 0 0 0 65 2014-08-25 $23.00 $0.00 30.4% 9.0% 25.8% 10.3% 0.0% 5.3% 1.2% -2.3K 19.3K -93 0.00 47.23 4 0 0 65 2014-08-26 $23.35 $0.00 31.5% 9.1% 25.3% 11.1% 0.0% 7.4% 0.7% -2.0K 13.4K -90 0.00 46.50 0 0 4 65 2014-08-27 $23.60 $0.00 28.1% 9.0% 25.4% 8.5% 0.0% -4.3% 8.5% -1.6K 13.4K -100 0.00 47.60 0 0 4 65 2014-08-28 $24.08 $0.00 30.8% 8.8% 25.9% 10.5% 0.0% 0.6% -0.7% -1.2K 10.8K -94 0.08 42.17 25 2 4 65 2014-08-29 $24.23 $0.00 34.1% 8.8% 25.5% 13.1% 0.0% -10.6% -4.3% 153 -32.5K -147 0.00 53.29 18 0 29 67
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