LMNR Options History — March 2015

In March 2015, LMNR traded between $21.27 and $23.07. ATM implied volatility averaged 31.5%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 1.7% (HV 20d: 33.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 16.12.

Notable Days

  • 2015-03-26: Highest Volume — 357 contracts
  • 2015-03-06: Largest IV spike — 37.2% change
  • 2015-03-03: Highest IV Rank — 13.4%
  • 2015-03-03: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.02$21.27$23.07$21.27$21.66
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV31.5%23.6%34.5%32.7%28.4%
Expected Move9.1%6.8%9.9%9.4%8.1%
HV 20d33.2%20.7%42.7%42.7%27.3%
HV 60d38.1%37.4%39.3%37.7%39.3%
IV Rank11.1%5.1%13.4%12.0%8.7%
IV Percentile61.8%7.5%82.9%69.8%27.4%
Term Structure0.3%-4.6%8.4%-3.9%-0.2%
VWIV31.7%24.1%35.1%33.7%30.0%
Skew 25d2.7%-6.5%14.5%4.9%-5.4%
Skew 10d7.6%2.3%14.4%5.9%6.1%
Call IV 25d28.4%23.7%35.3%34.3%32.5%
Put IV 25d31.1%25.8%39.2%39.2%27.1%
Bid-Ask Spread %98.9192.42108.0592.97103.12
Gamma HHI0.370.330.430.370.40
Net GEX-12.5K-21.9K5.0K-17.6K-21.9K
Net DEX246.4K40.1K336.9K326.8K336.9K
Net VEX-2.3K-2.6K-1.9K-2.4K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.120.0058.503.4458.50
Total Volume127.2270357280357
Total OI940.2738861,081886910

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$21.27$20.0032.7%9.4%42.7%12.0%33.7%4.9%-3.9%-17.6K326.8K-2.4K3.4492.9763217146740
2015-03-03$21.33$20.0034.5%9.9%42.7%13.4%34.3%-6.5%-4.6%-17.1K319.5K-2.4K3.44102.6163217146740
2015-03-04$21.40$20.0023.6%6.8%42.7%5.1%24.1%14.5%8.4%-16.9K312.8K-2.4K3.44108.0563217146740
2015-03-05$21.33$0.0024.0%8.9%41.0%5.3%0.0%4.1%1.1%-18.1K328.7K-2.4K3.4495.0863217146740
2015-03-06$21.39$0.0032.9%9.1%39.4%12.2%33.5%4.0%0.5%-16.3K298.0K-2.4K3.5692.4263224146740
2015-03-09$21.50$20.0031.8%9.9%38.6%11.3%35.1%3.8%-2.4%-17.3K303.1K-2.2K0.0092.91690146746
2015-03-10$21.55$20.0034.4%9.3%37.8%13.3%0.0%5.3%0.1%-9.2K230.5K-2.3K0.0693.91493215746
2015-03-11$21.52$20.0031.6%9.1%37.7%11.2%0.0%5.6%0.6%-9.9K241.3K-2.3K0.0097.7800212749
2015-03-12$22.37$20.0032.0%9.2%39.4%11.5%0.0%10.8%-0.0%-3.7K150.2K-2.0K0.0094.8300212749
2015-03-13$22.37$20.0032.2%9.2%39.1%11.6%0.0%-0.4%0.3%-2.2K139.0K-2.0K0.0097.1900212749
2015-03-16$22.15$20.0032.6%9.4%39.4%12.0%0.0%-0.8%0.1%4157.2K-2.0K0.0099.0100212749
2015-03-17$22.38$20.0032.5%9.3%39.3%11.8%0.0%2.6%1.0%1.3K120.8K-1.9K0.00100.160120212749
2015-03-18$22.17$20.0031.1%8.9%30.0%10.8%0.0%-1.9%1.5%-1.9K243.7K-2.6K0.0099.5000212869
2015-03-19$22.29$20.0031.9%9.2%29.8%11.4%0.0%0.7%1.0%5.0K217.4K-2.5K0.00100.0300212864
2015-03-20$22.86$20.0032.5%9.3%21.2%11.9%32.5%5.8%0.8%-18.8K40.1K-2.2K0.5099.485025212864
2015-03-23$22.81$20.0033.4%9.6%21.3%12.5%33.4%5.0%-0.3%-17.2K238.3K-2.1K0.00101.105031874
2015-03-24$23.07$20.0032.7%9.4%20.7%12.0%0.0%6.3%0.3%-17.2K221.7K-2.0K0.0099.450036874
2015-03-25$22.16$20.0032.4%9.3%25.4%11.8%0.0%-0.8%0.3%-19.1K282.5K-2.3K0.0099.210036874
2015-03-26$22.30$20.0031.3%9.0%25.3%11.0%30.2%1.3%0.4%-19.6K322.0K-2.5K58.50102.02635136874
2015-03-27$22.20$20.0031.9%9.2%25.0%11.4%0.0%0.8%0.7%-19.8K312.5K-2.4K0.00102.900036874
2015-03-30$22.42$20.0032.6%9.3%23.9%11.9%29.7%-1.2%0.5%-18.1K276.8K-2.3K58.50102.38635136874
2015-03-31$21.66$20.0028.4%8.1%27.3%8.7%30.0%-5.4%-0.2%-21.9K336.9K-2.4K58.50103.12635136874