LMNR Options History — November 2014

In November 2014, LMNR traded between $25.11 and $25.81. ATM implied volatility averaged 33.6%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 15.4% (HV 20d: 18.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.29.

Notable Days

2014-11-21: Highest Volume — 31 contracts
2014-11-10: Largest IV spike — 46.0% change
2014-11-03: Highest IV Rank — 26.2%
2014-11-03: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.49	$25.11	$25.81	$25.45	$25.65
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	33.6%	25.7%	51.2%	51.2%	36.4%
Expected Move	8.0%	7.7%	8.7%	8.7%	7.9%
HV 20d	18.2%	16.3%	22.9%	22.9%	18.6%
HV 60d	20.3%	19.4%	21.6%	21.6%	19.5%
IV Rank	12.7%	6.7%	26.2%	26.2%	14.9%
IV Percentile	47.9%	7.9%	85.7%	85.7%	72.6%
Term Structure	-2.8%	-11.9%	4.8%	-9.6%	-4.7%
VWIV	28.3%	25.4%	32.7%	30.9%	25.7%
Skew 25d	-0.6%	-10.1%	7.6%	-0.2%	-3.5%
Skew 10d	2.3%	-4.5%	10.2%	8.8%	0.6%
Call IV 25d	36.0%	26.2%	56.7%	56.7%	45.8%
Put IV 25d	35.4%	23.5%	56.7%	56.5%	42.3%
Bid-Ask Spread %	114.08	88.59	147.54	128.98	117.71
Gamma HHI	0.92	0.70	1.00	0.70	0.96
Net GEX	2.8K	1.1K	3.7K	1.5K	3.4K
Net DEX	-35.0K	-48.7K	-15.1K	-33.2K	-48.7K
Net VEX	-59	-84	-29	-84	-72
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.00	1.56	1.56	0.00
Total Volume	18.579	0	31	23	0
Total OI	36.368	24	44	38	44

Daily Data (19 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
2014-11-03	$25.45	$25.00	51.2%	8.7%	22.9%	26.2%	30.9%	-0.2%	-9.6%	1.5K	-33.2K	-84	1.56	128.98	9	14	24	14
2014-11-04	$25.72	$25.00	48.0%	8.3%	19.8%	23.8%	29.7%	2.5%	-10.1%	1.9K	-36.6K	-84	1.56	147.54	9	14	24	14
2014-11-05	$25.11	$25.00	33.6%	7.8%	18.7%	12.7%	28.1%	-4.6%	-6.1%	2.6K	-32.1K	-80	1.56	117.45	9	14	24	14
2014-11-06	$25.25	$25.00	28.0%	8.0%	18.6%	8.4%	27.9%	0.4%	2.6%	2.9K	-34.4K	-80	1.56	96.07	9	14	24	14
2014-11-07	$25.11	$25.00	25.7%	8.5%	18.9%	6.7%	30.5%	-7.3%	4.8%	3.6K	-31.7K	-70	1.56	103.25	9	14	24	14
2014-11-10	$25.36	$25.00	37.6%	8.2%	18.4%	15.8%	29.3%	7.6%	1.3%	2.7K	-34.7K	-71	1.56	111.30	9	14	24	14
2014-11-11	$25.52	$25.00	33.8%	8.1%	17.0%	12.8%	28.8%	-1.7%	3.4%	2.4K	-27.3K	-47	1.56	105.69	9	14	17	14
2014-11-12	$25.81	$25.00	40.6%	7.8%	17.2%	18.1%	25.8%	1.7%	0.3%	2.9K	-41.9K	-63	1.56	119.28	9	14	24	14
2014-11-13	$25.70	$25.00	26.0%	7.8%	17.4%	6.9%	27.3%	-3.5%	-1.1%	3.2K	-41.5K	-61	1.56	115.41	9	14	24	14
2014-11-14	$25.75	$0.00	28.3%	7.8%	16.3%	8.7%	0.0%	0.8%	0.5%	2.9K	-38.3K	-48	0.00	120.71	0	0	22	14
2014-11-17	$25.55	$25.00	28.7%	7.8%	16.7%	8.9%	27.1%	-0.4%	-2.4%	3.4K	-39.0K	-54	1.56	115.00	9	14	24	14
2014-11-18	$25.73	$25.00	29.8%	8.6%	16.5%	9.8%	32.7%	4.2%	2.9%	3.6K	-44.4K	-51	1.56	99.73	9	14	24	14
2014-11-19	$25.35	$0.00	29.8%	7.9%	17.6%	9.8%	0.0%	-10.1%	-11.9%	3.5K	-32.2K	-50	0.00	109.16	0	0	22	14
2014-11-20	$25.60	$0.00	32.9%	7.8%	17.8%	12.1%	27.0%	1.7%	-4.0%	3.7K	-37.2K	-35	1.56	111.59	9	14	22	14
2014-11-21	$25.24	$0.00	33.9%	7.7%	18.6%	13.0%	25.4%	-0.6%	-8.6%	3.5K	-31.9K	-39	0.82	114.06	17	14	22	14
2014-11-24	$25.49	$0.00	33.3%	7.8%	18.6%	12.5%	0.0%	1.6%	-6.3%	1.1K	-15.1K	-29	0.00	125.30	10	0	10	14
2014-11-25	$25.54	$0.00	34.0%	7.7%	18.4%	13.0%	25.7%	0.8%	-5.5%	2.4K	-31.6K	-52	1.17	120.67	12	14	20	14
2014-11-26	$25.45	$0.00	27.4%	8.5%	18.4%	8.0%	0.0%	-1.1%	1.7%	2.7K	-32.6K	-50	0.00	88.59	10	0	20	14
2014-11-28	$25.65	$0.00	36.4%	7.9%	18.6%	14.9%	0.0%	-3.5%	-4.7%	3.4K	-48.7K	-72	0.00	117.71	0	0	30	14