LMNR Options History — February 2015

In February 2015, LMNR traded between $19.90 and $22.15. ATM implied volatility averaged 32.4%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 10.7% (HV 20d: 43.1%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.98.

Notable Days

2015-02-18: Highest Volume — 394 contracts
2015-02-09: Largest IV spike — 29.5% change
2015-02-23: Highest IV Rank — 13.8%
2015-02-23: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.72	$19.90	$22.15	$20.90	$20.75
Max Pain	$21.18	$20.00	$25.00	$20.00	$20.00
ATM IV	32.4%	24.3%	35.1%	32.6%	33.3%
Expected Move	9.5%	8.4%	10.1%	9.3%	9.5%
HV 20d	43.1%	31.9%	48.3%	45.4%	44.0%
HV 60d	33.9%	30.4%	37.8%	30.7%	37.4%
IV Rank	11.8%	5.6%	13.8%	11.9%	12.5%
IV Percentile	65.3%	8.7%	83.3%	66.7%	73.4%
Term Structure	0.9%	-1.9%	7.6%	1.1%	0.4%
VWIV	33.5%	24.4%	50.1%	26.0%	34.5%
Skew 25d	1.0%	-5.5%	9.7%	8.0%	-0.8%
Skew 10d	0.3%	-14.1%	14.2%	12.5%	1.4%
Call IV 25d	31.9%	23.3%	37.4%	25.6%	34.5%
Put IV 25d	32.8%	29.8%	36.5%	33.7%	33.7%
Bid-Ask Spread %	92.93	82.81	108.10	106.82	100.22
Gamma HHI	0.43	0.30	0.51	0.50	0.42
Net GEX	-19.4K	-22.1K	-10.6K	-18.1K	-20.4K
Net DEX	380.6K	170.2K	467.7K	362.3K	381.1K
Net VEX	-2.8K	-3.0K	-2.5K	-2.7K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.98	0.00	3.44	1.91	3.44
Total Volume	270.526	0	394	0	280
Total OI	872.474	783	919	783	886

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
2015-02-02	$20.90	$20.00	32.6%	9.3%	45.4%	11.9%	0.0%	8.0%	1.1%	-18.1K	362.3K	-2.7K	0.00	106.82	0	0	104	679
2015-02-03	$20.92	$20.00	29.4%	8.4%	45.5%	9.5%	26.0%	9.6%	7.6%	-18.7K	361.8K	-2.6K	1.91	108.10	103	197	104	680
2015-02-04	$20.28	$20.00	32.3%	9.3%	45.9%	11.7%	32.4%	5.1%	0.2%	-22.1K	436.3K	-3.0K	1.91	103.34	103	197	104	740
2015-02-05	$20.97	$25.00	31.1%	9.7%	48.3%	10.8%	24.4%	1.2%	0.8%	-20.1K	397.2K	-2.9K	1.91	93.24	103	197	104	740
2015-02-06	$20.55	$25.00	24.3%	9.9%	48.3%	5.6%	29.4%	-0.4%	-1.9%	-21.8K	421.6K	-2.9K	1.38	89.41	143	197	104	740
2015-02-09	$20.17	$22.50	31.5%	9.5%	47.8%	11.1%	32.7%	-3.6%	0.6%	-21.1K	444.0K	-3.0K	1.38	88.04	143	197	144	740
2015-02-10	$20.08	$22.50	31.6%	9.6%	47.5%	11.2%	33.7%	-4.1%	-0.3%	-21.2K	452.8K	-2.9K	1.38	86.08	143	197	144	740
2015-02-11	$19.90	$22.50	33.8%	9.7%	39.3%	12.8%	35.1%	-5.5%	-0.5%	-21.7K	467.7K	-3.0K	1.38	87.48	143	197	144	740
2015-02-12	$20.30	$22.50	33.9%	9.7%	38.8%	12.9%	35.5%	-3.3%	2.0%	-21.9K	452.8K	-2.9K	1.38	84.29	143	197	144	740
2015-02-13	$20.30	$22.50	33.8%	9.7%	36.8%	12.9%	34.2%	-4.2%	0.3%	-21.3K	445.7K	-2.9K	1.33	89.21	148	197	144	740
2015-02-17	$20.60	$20.00	34.3%	9.8%	31.9%	13.3%	33.6%	-0.2%	-0.1%	-19.6K	398.6K	-2.8K	1.30	91.14	167	217	149	740
2015-02-18	$22.15	$20.00	32.8%	9.4%	39.6%	12.1%	27.7%	9.7%	-0.1%	-10.6K	170.2K	-2.5K	1.23	92.26	177	217	179	740
2015-02-19	$21.91	$20.00	32.0%	9.2%	39.6%	11.5%	0.0%	7.5%	-0.5%	-11.9K	214.6K	-2.5K	0.00	92.75	0	0	171	739
2015-02-20	$20.66	$20.00	33.0%	9.5%	45.0%	12.2%	50.1%	-1.4%	1.5%	-19.1K	326.4K	-2.7K	0.00	82.81	17	0	171	739
2015-02-23	$20.74	$20.00	35.1%	10.1%	43.4%	13.8%	35.6%	2.3%	0.1%	-19.5K	378.0K	-2.7K	3.44	86.36	63	217	146	740
2015-02-24	$20.53	$20.00	34.9%	10.0%	43.3%	13.7%	37.6%	-1.9%	-0.3%	-20.9K	398.7K	-2.7K	3.44	87.82	63	217	146	740
2015-02-25	$21.01	$20.00	31.7%	9.1%	44.3%	11.3%	32.5%	1.1%	4.5%	-18.7K	350.4K	-2.6K	3.44	99.95	63	217	146	740
2015-02-26	$20.94	$20.00	33.7%	9.6%	44.2%	12.8%	35.1%	-0.5%	0.7%	-20.6K	371.7K	-2.6K	3.44	96.28	63	217	146	740
2015-02-27	$20.75	$20.00	33.3%	9.5%	44.0%	12.5%	34.5%	-0.8%	0.4%	-20.4K	381.1K	-2.5K	3.44	100.22	63	217	146	740