LMNR Options History — December 2014

Name: LMNR Options Analytics - December 2014
Creator: Options Analysis Suite

In December 2014, LMNR traded between $24.29 and $25.66. ATM implied volatility averaged 36.3%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 17.2% (HV 20d: 19.1%). Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.84.

Notable Days

2014-12-01: Highest Volume — 26 contracts
2014-12-09: Largest IV spike — 89.5% change
2014-12-09: Highest IV Rank — 24.2%
2014-12-02: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.06	$24.29	$25.66	$24.93	$24.98
ATM IV	36.3%	25.7%	48.6%	43.9%	38.4%
Expected Move	8.1%	6.2%	9.6%	7.9%	7.8%
HV 20d	19.1%	16.4%	21.9%	18.8%	19.9%
HV 60d	19.8%	18.6%	20.6%	20.3%	20.6%
IV Rank	14.8%	6.6%	24.2%	20.6%	16.4%
IV Percentile	64.4%	7.9%	88.5%	81.3%	78.2%
Term Structure	-6.5%	-20.4%	7.3%	-20.4%	-11.4%
VWIV	30.0%	18.0%	39.8%	28.4%	35.4%
Skew 25d	-1.3%	-14.0%	10.8%	-5.8%	-1.5%
Skew 10d	4.8%	-2.1%	12.7%	5.4%	5.3%
Call IV 25d	41.7%	26.3%	53.8%	53.7%	51.0%
Put IV 25d	40.5%	21.8%	51.9%	48.0%	49.5%
Bid-Ask Spread %	129.30	99.15	142.89	114.61	137.44
Gamma HHI	0.95	0.80	1.00	0.90	1.00
Net GEX	3.1K	0	7.7K	2.6K	2.4K
Net DEX	-33.2K	-48.4K	0	-43.7K	-25.6K
Net VEX	-43	-71	0	-71	-43
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.00	1.17	1.17	0.00
Total Volume	19.455	0	26	26	0
Total OI	34.545	0	44	44	20

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
2014-12-01	$24.93	$0.00	43.9%	7.9%	18.8%	20.6%	28.4%	-5.8%	-20.4%	2.6K	-43.7K	-71	1.17	114.61	12	14	30	14
2014-12-02	$25.20	$0.00	41.0%	9.6%	19.1%	18.4%	34.3%	-3.0%	-4.5%	3.3K	-40.9K	-67	1.17	122.30	12	14	30	14
2014-12-03	$25.26	$0.00	27.1%	8.9%	18.7%	7.7%	30.9%	-1.0%	4.6%	5.2K	-44.1K	-65	1.17	99.73	12	14	30	14
2014-12-04	$25.26	$0.00	39.8%	7.6%	16.6%	17.5%	0.0%	-1.8%	-9.4%	3.6K	-42.7K	-64	0.00	137.98	0	0	30	14
2014-12-05	$25.30	$0.00	44.6%	7.9%	16.5%	21.1%	28.4%	1.3%	-3.2%	3.4K	-42.2K	-60	1.17	136.08	12	14	30	14
2014-12-08	$25.48	$0.00	25.7%	6.2%	16.5%	6.6%	18.0%	-0.7%	-11.2%	7.7K	-48.4K	-49	1.17	99.15	12	14	30	14
2014-12-09	$25.66	$0.00	48.6%	6.6%	16.4%	24.2%	20.4%	-0.2%	-10.8%	3.2K	-48.3K	-52	1.17	128.11	12	14	30	14
2014-12-10	$25.00	$0.00	37.1%	8.4%	18.7%	15.4%	39.8%	-14.0%	-3.7%	3.1K	-37.7K	-54	1.17	123.51	12	14	30	14
2014-12-11	$24.87	$0.00	37.8%	8.2%	18.2%	15.9%	30.1%	-3.4%	-14.5%	3.0K	-36.0K	-51	1.17	141.91	12	14	30	14
2014-12-12	$24.74	$0.00	38.2%	9.0%	18.2%	16.3%	35.4%	-1.6%	-2.8%	3.5K	-35.7K	-46	1.17	126.23	12	14	30	14
2014-12-15	$24.29	$0.00	36.3%	8.4%	19.1%	14.7%	30.9%	-1.2%	-8.6%	3.6K	-35.0K	-36	1.17	135.58	12	14	30	14
2014-12-16	$24.37	$0.00	34.0%	8.1%	19.1%	13.0%	27.8%	0.7%	-5.9%	2.3K	-28.6K	-35	1.17	142.89	12	14	30	14
2014-12-17	$24.40	$0.00	32.4%	8.4%	18.8%	11.8%	29.9%	0.3%	-3.3%	3.1K	-28.5K	-28	1.17	135.04	12	14	30	14
2014-12-18	$25.00	$0.00	33.9%	9.0%	20.5%	12.9%	35.4%	-0.2%	0.8%	4.4K	-37.6K	-24	1.17	127.17	12	14	30	14
2014-12-19	$24.89	$0.00	33.9%	8.0%	20.2%	12.9%	0.0%	1.0%	-6.0%	4.0K	-35.3K	-17	0.00	142.55	0	0	30	14
2014-12-22	$24.78	$0.00	40.7%	9.1%	19.6%	18.2%	0.0%	-0.2%	-7.4%	0	0	0	0.00	128.80	2	0	0	0
2014-12-23	$25.30	$0.00	25.8%	7.5%	20.8%	6.7%	0.0%	10.8%	7.3%	0	0	0	0.00	130.83	22	0	0	0
2014-12-24	$25.50	$0.00	33.0%	7.8%	21.0%	12.3%	0.0%	-3.0%	-6.9%	2.6K	-30.2K	-50	0.00	133.80	22	0	20	0
2014-12-26	$25.20	$0.00	35.5%	7.7%	21.3%	14.2%	0.0%	-1.3%	-9.2%	2.3K	-27.9K	-49	0.00	135.36	22	0	20	0
2014-12-29	$25.60	$0.00	32.1%	7.6%	21.9%	11.6%	0.0%	-2.7%	-6.1%	2.8K	-33.2K	-43	0.00	127.00	22	0	20	0
2014-12-30	$25.31	$0.00	38.6%	7.9%	19.7%	16.5%	0.0%	-0.3%	-10.3%	2.4K	-29.1K	-44	0.00	138.58	0	0	20	0
2014-12-31	$24.98	$0.00	38.4%	7.8%	19.9%	16.4%	0.0%	-1.5%	-11.4%	2.4K	-25.6K	-43	0.00	137.44	0	0	20	0