LMNR Options History — September 2014

In September 2014, LMNR traded between $23.69 and $24.97. ATM implied volatility averaged 31.9%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 10.5% (HV 20d: 21.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2014-09-09: Highest Volume — 78 contracts
2014-09-04: Largest IV spike — 29.0% change
2014-09-05: Highest IV Rank — 19.8%
2014-09-30: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.36	$23.69	$24.97	$24.23	$23.69
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	31.9%	27.7%	42.8%	32.7%	27.7%
Expected Move	8.7%	8.6%	9.0%	8.7%	9.0%
HV 20d	21.4%	17.2%	24.6%	24.6%	18.8%
HV 60d	23.3%	22.3%	24.1%	22.8%	22.3%
IV Rank	11.4%	8.2%	19.8%	12.0%	8.2%
IV Percentile	34.7%	10.3%	68.7%	41.7%	10.3%
Term Structure	-1.1%	-7.3%	1.3%	-3.4%	-2.1%
VWIV	31.0%	31.0%	31.0%	31.0%	31.0%
Skew 25d	0.5%	-10.5%	5.0%	-10.5%	-8.5%
Skew 10d	0.9%	-3.2%	4.9%	-3.1%	-3.2%
Call IV 25d	31.0%	27.2%	39.3%	34.7%	31.5%
Put IV 25d	31.5%	23.0%	40.4%	24.2%	23.0%
Bid-Ask Spread %	48.69	41.17	53.59	44.41	47.40
Gamma HHI	0.54	0.37	0.87	0.42	0.48
Net GEX	3.9K	499	9.7K	2.4K	499
Net DEX	-62.9K	-122.3K	-4.1K	-52.3K	-4.1K
Net VEX	-142	-242	-77	-167	-77
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	0.90	0.00	0.00
Total Volume	9.667	0	78	0	0
Total OI	119.429	28	204	114	28

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
2014-09-02	$24.23	$0.00	32.7%	8.7%	24.6%	12.0%	0.0%	-10.5%	-3.4%	2.4K	-52.3K	-167	0.00	44.41	0	0	47	67
2014-09-03	$24.04	$0.00	30.2%	8.7%	23.2%	10.1%	0.0%	1.3%	-6.7%	2.4K	-51.0K	-160	0.00	46.96	5	0	47	67
2014-09-04	$24.03	$0.00	39.0%	8.7%	22.3%	16.8%	0.0%	1.1%	-7.3%	2.9K	-54.6K	-168	0.00	48.69	42	0	52	67
2014-09-05	$24.22	$0.00	42.8%	8.8%	22.2%	19.8%	0.0%	3.0%	-0.3%	3.4K	-80.2K	-203	0.00	48.32	0	0	69	67
2014-09-08	$24.74	$0.00	35.8%	8.7%	23.0%	14.4%	0.0%	4.5%	-2.2%	5.7K	-105.5K	-137	0.00	53.59	1	0	69	67
2014-09-09	$24.28	$0.00	32.3%	8.9%	23.2%	11.7%	31.0%	3.0%	-1.6%	5.2K	-97.0K	-156	0.86	45.99	42	36	70	67
2014-09-10	$24.95	$25.00	31.9%	8.8%	23.8%	11.4%	0.0%	2.6%	0.9%	3.5K	-106.8K	-212	0.90	41.17	20	18	92	103
2014-09-11	$24.97	$25.00	31.8%	8.8%	23.5%	11.3%	0.0%	4.9%	-1.6%	4.5K	-122.3K	-202	0.00	46.63	8	0	99	102
2014-09-12	$24.60	$25.00	31.3%	8.8%	24.5%	10.9%	0.0%	1.8%	0.2%	4.8K	-97.2K	-242	0.00	49.57	0	0	102	102
2014-09-15	$24.62	$25.00	31.8%	8.8%	22.9%	11.3%	0.0%	-5.5%	-0.6%	4.9K	-89.7K	-190	0.00	51.12	0	20	102	102
2014-09-16	$24.65	$25.00	31.8%	8.7%	22.7%	11.4%	0.0%	4.0%	-1.3%	9.7K	-116.7K	-159	0.00	48.48	0	10	102	86
2014-09-17	$24.54	$25.00	30.0%	8.7%	22.9%	9.9%	0.0%	3.5%	0.7%	9.2K	-112.7K	-158	0.00	48.89	1	0	102	86
2014-09-18	$24.51	$25.00	31.3%	8.8%	21.7%	10.9%	0.0%	3.9%	-0.7%	9.4K	-98.1K	-133	0.00	46.49	0	0	102	86
2014-09-19	$24.51	$25.00	29.5%	8.7%	20.7%	9.6%	0.0%	4.2%	1.2%	9.6K	-89.8K	-111	0.00	50.26	0	0	102	86
2014-09-22	$24.42	$25.00	29.8%	8.8%	18.3%	9.8%	0.0%	5.0%	0.8%	561	-8.9K	-85	0.00	48.53	0	0	13	15
2014-09-23	$24.10	$25.00	30.4%	8.6%	19.2%	10.2%	0.0%	2.1%	-1.5%	553	-7.0K	-87	0.00	50.12	0	0	13	15
2014-09-24	$24.14	$25.00	30.1%	8.7%	18.6%	10.1%	0.0%	1.6%	0.0%	504	-6.9K	-86	0.00	52.74	0	0	13	15
2014-09-25	$23.95	$25.00	29.1%	8.6%	18.6%	9.3%	0.0%	3.0%	1.1%	533	-5.4K	-86	0.00	49.81	0	0	13	15
2014-09-26	$24.12	$25.00	29.6%	8.7%	17.3%	9.7%	0.0%	-7.0%	1.3%	532	-6.8K	-85	0.00	51.83	0	0	13	15
2014-09-29	$24.21	$25.00	30.9%	8.7%	17.2%	10.6%	0.0%	-7.4%	0.3%	563	-7.5K	-82	0.00	51.46	0	0	13	15
2014-09-30	$23.69	$25.00	27.7%	9.0%	18.8%	8.2%	0.0%	-8.5%	-2.1%	499	-4.1K	-77	0.00	47.40	0	0	13	15