LMNR Options History — April 2015

In April 2015, LMNR traded between $21.85 and $23.92. ATM implied volatility averaged 29.1%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.1% (HV 20d: 29.0%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 42.30.

Notable Days

  • 2015-04-16: Highest Volume — 370 contracts
  • 2015-04-16: Largest IV drop — 25.7% change
  • 2015-04-15: Highest IV Rank — 12.8%
  • 2015-04-15: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.98$21.85$23.92$22.17$23.03
Max Pain$24.55$20.00$25.00$20.00$25.00
ATM IV29.1%19.7%34.3%30.7%26.5%
Expected Move8.5%5.6%9.8%8.8%7.6%
HV 20d29.0%24.1%32.6%28.4%25.4%
HV 60d35.2%31.8%39.6%39.6%32.5%
IV Rank8.9%1.5%12.8%10.5%6.8%
IV Percentile41.1%1.6%86.1%52.0%14.7%
Term Structure3.4%-0.4%12.4%1.6%9.1%
VWIV24.7%17.6%30.6%30.6%23.0%
Skew 25d7.2%-0.6%28.0%0.0%28.0%
Skew 10d11.4%-0.8%57.2%11.8%57.2%
Call IV 25d25.2%18.4%30.6%30.6%23.0%
Put IV 25d32.4%25.3%51.0%30.6%51.0%
Bid-Ask Spread %97.0792.09104.20104.2098.69
Gamma HHI0.520.340.950.380.93
Net GEX-15.6K-20.3K-11.7K-19.9K-15.3K
Net DEX211.5K111.3K335.8K319.7K164.1K
Net VEX-1.5K-2.3K-912-2.3K-912
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio42.3018.4758.5058.5031.27
Total Volume340.3330370357355
Total OI896.857878914910879

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$22.17$20.0030.7%8.8%28.4%10.5%30.6%0.0%1.6%-19.9K319.7K-2.3K58.50104.20635136874
2015-04-02$21.86$0.0028.3%9.4%28.9%8.6%0.0%8.6%0.4%-19.9K317.0K-2.3K58.5095.04635136874
2015-04-06$21.98$0.0027.7%9.3%29.0%8.2%0.0%7.4%0.2%-20.3K335.8K-2.3K58.5097.57635136874
2015-04-07$21.85$0.0029.1%9.3%29.0%9.3%0.0%7.0%0.3%-19.7K318.9K-2.2K58.5097.09635136874
2015-04-08$22.19$0.0032.7%9.4%29.5%12.0%0.0%5.9%1.2%-17.3K287.6K-2.0K0.0094.940036874
2015-04-09$22.46$0.0031.6%9.0%29.7%11.1%0.0%10.1%1.4%-17.3K252.6K-1.8K58.5096.15635136874
2015-04-10$22.84$0.0033.8%9.7%27.0%12.3%0.0%9.7%0.1%-13.5K205.8K-1.8K58.5098.71635136874
2015-04-13$22.19$0.0032.8%9.4%29.0%11.6%0.0%-0.6%0.2%-15.1K259.4K-1.9K58.5098.67635136874
2015-04-14$22.42$0.0033.0%9.5%29.1%11.8%0.0%3.7%0.3%-11.9K248.8K-1.8K58.5099.24635136874
2015-04-15$23.26$0.0034.3%9.8%31.6%12.8%0.0%11.3%-0.4%-14.8K139.9K-1.3K58.5097.58635136874
2015-04-16$23.79$0.0025.5%7.3%32.1%5.9%25.3%6.1%5.1%-15.3K111.3K-1.4K18.4796.611935136874
2015-04-17$23.51$25.0029.3%8.4%32.6%8.9%25.9%2.0%2.8%-14.6K114.2K-1.3K19.5097.951835140874
2015-04-20$23.60$25.0030.4%8.7%31.5%9.7%26.7%3.3%2.4%-15.8K174.8K-1.1K31.2798.261134411867
2015-04-21$23.39$25.0029.4%8.4%31.7%9.0%27.5%1.7%3.9%-14.7K181.0K-1.3K31.27100.731134412867
2015-04-22$23.50$25.0029.7%8.5%31.5%9.2%28.4%4.8%3.0%-14.5K174.0K-1.2K31.2792.731134412867
2015-04-23$23.50$25.0030.3%8.7%27.5%9.7%18.0%10.0%2.6%-15.5K173.6K-1.1K31.2796.881134412867
2015-04-24$23.68$25.0025.5%7.3%27.5%6.0%17.6%10.8%11.3%-11.7K149.8K-95731.2797.811134412867
2015-04-27$23.79$25.0019.7%5.6%27.4%1.5%18.4%13.7%12.4%-12.7K157.8K-1.1K31.2794.171134412867
2015-04-28$23.92$25.0023.6%6.8%27.3%4.5%26.8%4.3%3.9%-12.7K159.9K-1.1K31.2792.091134412867
2015-04-29$23.65$25.0027.3%7.8%24.1%7.4%28.3%4.3%10.8%-15.3K196.0K-1.3K31.2793.411134412867
2015-04-30$23.03$25.0026.5%7.6%25.4%6.8%23.0%28.0%9.1%-15.3K164.1K-91231.2798.691134412867