LMNR Options History — October 2014

In October 2014, LMNR traded between $23.22 and $25.65. ATM implied volatility averaged 30.1%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.6% (HV 20d: 21.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.93.

Notable Days

2014-10-08: Highest Volume — 34 contracts
2014-10-29: Largest IV spike — 61.5% change
2014-10-15: Highest IV Rank — 32.2%
2014-10-28: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.27	$23.22	$25.65	$23.40	$25.65
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	30.1%	21.8%	59.0%	31.9%	27.8%
Expected Move	9.2%	8.4%	10.2%	9.1%	9.3%
HV 20d	21.5%	17.8%	23.3%	19.1%	22.7%
HV 60d	22.3%	20.9%	23.5%	22.4%	21.5%
IV Rank	10.0%	3.6%	32.2%	11.4%	8.3%
IV Percentile	26.8%	2.0%	93.3%	44.4%	15.1%
Term Structure	0.8%	-16.0%	20.9%	-9.2%	1.7%
VWIV	32.5%	29.6%	36.6%	29.9%	32.8%
Skew 25d	4.1%	-4.0%	15.3%	-1.8%	2.7%
Skew 10d	2.2%	-5.4%	11.9%	2.1%	6.7%
Call IV 25d	28.0%	21.7%	37.9%	27.7%	29.5%
Put IV 25d	32.1%	24.0%	41.7%	25.9%	32.2%
Bid-Ask Spread %	89.92	49.49	137.13	55.66	83.90
Gamma HHI	0.66	0.38	1.00	0.46	0.90
Net GEX	1.4K	152	2.9K	414	2.9K
Net DEX	-13.3K	-37.7K	-333	-2.7K	-37.7K
Net VEX	-76	-106	-44	-75	-76
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.00	1.56	0.79	1.56
Total Volume	14.391	0	34	0	23
Total OI	32.522	28	38	28	38

Daily Data (23 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
2014-10-01	$23.40	$25.00	31.9%	9.1%	19.1%	11.4%	0.0%	-1.8%	-9.2%	414	-2.7K	-75	0.00	55.66	0	0	13	15
2014-10-02	$23.53	$25.00	24.3%	9.1%	19.3%	5.6%	0.0%	1.2%	8.7%	380	-1.9K	-74	0.00	53.12	0	0	13	15
2014-10-03	$23.63	$25.00	28.5%	9.1%	19.1%	8.8%	0.0%	-0.1%	0.4%	468	-2.8K	-76	0.00	55.42	0	0	13	15
2014-10-06	$23.88	$25.00	22.6%	8.6%	17.8%	4.3%	0.0%	2.2%	0.9%	570	-4.0K	-67	0.00	49.49	0	0	13	15
2014-10-07	$23.22	$25.00	23.5%	9.0%	19.2%	5.0%	0.0%	-1.6%	-0.5%	152	-333	-67	0.00	51.75	0	0	13	15
2014-10-08	$24.08	$25.00	21.8%	8.6%	21.2%	3.6%	29.9%	4.9%	0.6%	785	-5.4K	-69	0.79	53.93	19	15	13	15
2014-10-09	$23.99	$25.00	24.2%	8.4%	21.2%	5.5%	0.0%	2.7%	1.3%	1.7K	-12.6K	-96	0.00	54.33	0	0	23	15
2014-10-10	$24.03	$25.00	25.8%	8.5%	20.7%	6.7%	29.6%	4.3%	1.2%	1.7K	-13.3K	-97	0.79	57.65	19	15	23	15
2014-10-13	$23.77	$0.00	29.9%	8.6%	20.9%	9.8%	0.0%	6.1%	2.1%	1.6K	-8.8K	-79	0.00	70.16	0	0	21	15
2014-10-14	$24.31	$25.00	44.3%	8.6%	22.6%	20.9%	30.1%	3.8%	3.3%	1.9K	-15.2K	-84	0.79	82.26	19	15	23	15
2014-10-15	$24.30	$25.00	59.0%	9.0%	22.6%	32.2%	31.5%	4.3%	-0.9%	2.0K	-16.3K	-88	0.79	89.79	19	15	23	15
2014-10-16	$24.36	$0.00	23.3%	9.7%	22.6%	4.8%	0.0%	-0.0%	1.0%	1.6K	-18.2K	-73	0.00	96.05	0	0	21	15
2014-10-17	$24.03	$0.00	27.2%	8.6%	23.1%	7.8%	0.0%	1.3%	1.3%	1.8K	-10.9K	-75	0.00	74.97	0	0	21	15
2014-10-20	$24.25	$0.00	30.4%	10.1%	23.3%	10.3%	0.0%	12.4%	-0.1%	881	-9.3K	-83	0.00	135.34	0	0	15	14
2014-10-21	$24.51	$25.00	27.2%	8.6%	23.1%	7.8%	30.0%	5.4%	11.3%	848	-17.1K	-67	0.82	90.39	17	14	17	14
2014-10-22	$24.50	$25.00	33.2%	10.2%	23.1%	12.4%	36.6%	-4.0%	-16.0%	1.3K	-14.1K	-74	0.82	122.83	17	14	17	14
2014-10-23	$24.62	$25.00	32.1%	10.2%	22.9%	11.6%	35.7%	9.7%	-6.2%	1.8K	-16.5K	-74	0.82	130.46	17	14	17	14
2014-10-24	$24.53	$25.00	26.1%	10.2%	22.9%	7.0%	35.1%	2.9%	3.1%	1.3K	-15.1K	-73	0.82	125.84	17	14	17	14
2014-10-27	$24.75	$0.00	29.3%	10.2%	23.1%	9.4%	0.0%	6.9%	-6.9%	1.9K	-15.3K	-60	0.00	132.22	0	0	15	14
2014-10-28	$24.98	$0.00	26.9%	10.2%	21.6%	7.5%	0.0%	11.0%	12.4%	1.9K	-18.4K	-44	0.00	136.26	2	0	15	14
2014-10-29	$24.91	$25.00	43.4%	9.7%	21.0%	20.2%	34.7%	3.8%	-12.8%	1.3K	-22.2K	-77	1.56	129.23	9	14	19	14
2014-10-30	$24.96	$25.00	29.5%	8.7%	20.9%	9.6%	31.4%	15.3%	20.9%	2.0K	-26.9K	-106	1.56	137.13	9	14	24	14
2014-10-31	$25.65	$25.00	27.8%	9.3%	22.7%	8.3%	32.8%	2.7%	1.7%	2.9K	-37.7K	-76	1.56	83.90	9	14	24	14