LMNR Options History — January 2015

In January 2015, LMNR traded between $20.02 and $24.87. ATM implied volatility averaged 27.9%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 6.5% (HV 20d: 34.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.20.

Notable Days

2015-01-23: Highest Volume — 659 contracts
2015-01-09: Largest IV spike — 82.1% change
2015-01-13: Highest IV Rank — 28.2%
2015-01-09: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.20	$20.02	$24.87	$24.87	$20.84
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	27.9%	17.8%	53.8%	20.2%	27.1%
Expected Move	8.1%	5.7%	9.0%	8.3%	7.8%
HV 20d	34.4%	20.0%	45.2%	20.0%	45.2%
HV 60d	25.5%	18.3%	30.8%	19.7%	30.8%
IV Rank	8.3%	0.6%	28.2%	2.4%	7.8%
IV Percentile	29.0%	0.4%	93.3%	1.2%	17.5%
Term Structure	2.8%	-2.0%	10.2%	9.1%	8.7%
VWIV	27.4%	21.9%	33.3%	31.8%	23.6%
Skew 25d	3.1%	-4.7%	13.9%	-2.8%	0.3%
Skew 10d	3.7%	-15.8%	11.4%	-5.7%	2.2%
Call IV 25d	26.6%	20.7%	33.5%	27.7%	31.5%
Put IV 25d	29.8%	24.2%	34.5%	24.9%	31.9%
Bid-Ask Spread %	97.70	76.23	110.67	90.07	103.65
Gamma HHI	0.77	0.38	1.00	1.00	0.48
Net GEX	-4.2K	-17.5K	4.8K	4.8K	-17.5K
Net DEX	109.5K	-22.9K	346.4K	-22.9K	346.4K
Net VEX	-678	-2.7K	-22	-40	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.20	0.00	5.40	0.00	3.08
Total Volume	139.1	0	659	22	420
Total OI	258.2	20	785	20	785

Daily Data (20 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
2015-01-02	$24.87	$0.00	20.2%	8.3%	20.0%	2.4%	0.0%	-2.8%	9.1%	4.8K	-22.9K	-40	0.00	90.07	22	0	20	0
2015-01-05	$24.83	$0.00	19.4%	8.1%	20.0%	1.8%	0.0%	5.5%	-0.1%	4.8K	-22.0K	-36	0.00	90.87	0	0	20	0
2015-01-06	$24.27	$0.00	17.8%	7.9%	21.4%	0.6%	0.0%	5.4%	0.8%	4.0K	-9.0K	-22	0.00	90.44	0	5	20	0
2015-01-07	$24.22	$0.00	18.3%	7.8%	21.1%	1.0%	0.0%	5.4%	0.7%	3.4K	-848	-42	0.00	90.66	0	0	20	5
2015-01-08	$24.34	$0.00	19.0%	8.2%	21.0%	1.5%	0.0%	5.6%	0.6%	3.2K	-7.1K	-47	3.64	90.12	22	80	20	5
2015-01-09	$23.65	$0.00	34.6%	9.0%	21.4%	13.5%	0.0%	3.3%	-0.1%	-6.2K	40.2K	-107	5.35	94.12	17	91	20	80
2015-01-12	$23.11	$0.00	42.4%	9.0%	22.6%	19.4%	31.8%	0.6%	0.8%	-11.5K	73.5K	-150	3.80	98.87	5	19	20	91
2015-01-13	$21.36	$20.00	53.8%	8.3%	35.0%	28.2%	26.2%	0.4%	2.4%	-7.6K	146.1K	-119	2.88	76.23	8	23	22	93
2015-01-14	$21.90	$20.00	28.2%	8.1%	36.5%	8.5%	23.0%	6.5%	0.8%	-14.6K	153.0K	-127	0.20	95.02	106	21	24	94
2015-01-15	$21.10	$20.00	26.6%	7.6%	38.1%	7.3%	21.9%	4.1%	9.4%	2.2K	168.2K	-208	0.20	100.54	106	21	124	94
2015-01-16	$20.02	$20.00	29.3%	8.4%	41.1%	9.4%	0.0%	4.8%	0.7%	403	178.4K	-70	0.00	100.23	0	75	124	94
2015-01-20	$20.63	$20.00	30.2%	8.7%	41.8%	10.1%	30.2%	6.8%	0.3%	1.8K	14.5K	-169	0.00	102.54	1	0	103	19
2015-01-21	$20.39	$20.00	30.0%	8.6%	41.8%	10.0%	0.0%	5.3%	0.1%	664	25.1K	-86	0.00	100.68	1	0	104	19
2015-01-22	$20.73	$20.00	30.1%	8.6%	42.8%	10.0%	30.1%	6.7%	0.4%	945	22.0K	-107	0.18	103.68	103	19	105	19
2015-01-23	$21.39	$20.00	19.9%	5.7%	43.9%	2.2%	33.3%	13.9%	8.5%	2.1K	12.7K	-168	5.40	104.48	103	556	105	19
2015-01-26	$21.60	$20.00	31.4%	9.0%	44.0%	11.0%	0.0%	-4.7%	-2.0%	-12.0K	237.2K	-2.2K	0.00	100.06	0	0	105	559
2015-01-27	$21.59	$20.00	25.5%	7.3%	44.1%	6.5%	0.0%	3.5%	10.2%	-12.9K	259.2K	-2.2K	0.00	110.67	0	120	105	559
2015-01-28	$21.42	$20.00	25.1%	7.2%	43.2%	6.2%	26.6%	-4.1%	2.4%	-15.9K	292.0K	-2.5K	3.07	107.51	103	316	105	679
2015-01-29	$21.68	$20.00	28.9%	8.3%	43.8%	9.1%	27.0%	-3.8%	2.5%	-14.3K	283.0K	-2.5K	3.07	103.48	103	316	105	679
2015-01-30	$20.84	$20.00	27.1%	7.8%	45.2%	7.8%	23.6%	0.3%	8.7%	-17.5K	346.4K	-2.7K	3.08	103.65	103	317	105	680