LMNR Options History — May 2015

In May 2015, LMNR traded between $21.70 and $23.21. ATM implied volatility averaged 30.9%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.4% (HV 20d: 25.5%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 177.21.

Notable Days

2015-05-01: Highest Volume — 355 contracts
2015-05-12: Largest IV spike — 35.9% change
2015-05-12: Highest IV Rank — 16.1%
2015-05-01: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.27	$21.70	$23.21	$23.21	$21.74
Max Pain	$29.75	$25.00	$30.00	$25.00	$30.00
ATM IV	30.9%	27.3%	38.7%	33.1%	29.8%
Expected Move	9.0%	8.5%	9.5%	9.5%	8.5%
HV 20d	25.5%	22.4%	29.1%	24.7%	25.1%
HV 60d	28.8%	25.5%	32.0%	31.8%	26.1%
IV Rank	10.1%	7.3%	16.1%	11.8%	9.3%
IV Percentile	53.3%	19.0%	92.5%	79.0%	42.9%
Term Structure	0.5%	-0.6%	2.5%	-0.1%	1.2%
VWIV	32.3%	26.3%	41.3%	28.7%	37.0%
Skew 25d	5.5%	-4.7%	23.2%	23.2%	7.0%
Skew 10d	10.4%	-4.1%	57.7%	57.7%	9.6%
Call IV 25d	27.0%	23.5%	33.8%	29.2%	29.2%
Put IV 25d	32.5%	24.9%	52.4%	52.4%	36.2%
Bid-Ask Spread %	91.03	74.14	115.93	115.93	86.39
Gamma HHI	0.62	0.52	0.96	0.96	0.59
Net GEX	-22.1K	-26.1K	-17.6K	-17.6K	-26.1K
Net DEX	244.0K	137.2K	330.7K	137.2K	263.5K
Net VEX	-1.2K	-1.6K	-757	-757	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	177.21	31.27	344.00	31.27	344.00
Total Volume	262.75	0	355	355	345
Total OI	874.5	869	879	879	869

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
2015-05-01	$23.21	$25.00	33.1%	9.5%	24.7%	11.8%	28.7%	23.2%	-0.1%	-17.6K	137.2K	-757	31.27	115.93	11	344	12	867
2015-05-04	$22.90	$30.00	28.9%	9.3%	25.4%	8.6%	0.0%	-3.7%	-0.2%	-19.4K	236.4K	-1.3K	0.00	79.09	0	0	12	867
2015-05-05	$22.04	$30.00	28.9%	8.9%	29.1%	8.6%	32.5%	-1.2%	2.5%	-20.5K	201.4K	-1.0K	31.27	74.14	11	344	12	867
2015-05-06	$22.26	$30.00	29.3%	8.8%	28.8%	8.9%	33.2%	11.9%	1.0%	-23.1K	285.3K	-1.5K	31.27	87.86	11	344	12	867
2015-05-07	$22.16	$30.00	27.5%	9.1%	28.4%	7.5%	32.3%	10.1%	-0.0%	-24.0K	305.9K	-1.6K	31.27	84.29	11	344	12	867
2015-05-08	$22.03	$30.00	27.3%	9.1%	27.7%	7.3%	0.0%	8.7%	-0.3%	-23.9K	295.3K	-1.5K	0.00	84.59	0	0	12	867
2015-05-11	$22.15	$30.00	28.5%	9.0%	25.9%	8.3%	0.0%	8.9%	1.0%	-23.9K	290.3K	-1.4K	0.00	89.61	0	0	12	867
2015-05-12	$21.70	$30.00	38.7%	9.1%	26.6%	16.1%	32.9%	8.8%	2.0%	-25.3K	330.7K	-1.6K	31.27	90.69	11	344	12	867
2015-05-13	$21.73	$30.00	31.3%	9.0%	22.4%	10.4%	41.3%	8.6%	-0.3%	-25.6K	324.0K	-1.6K	31.27	111.69	11	344	12	867
2015-05-14	$22.44	$30.00	31.0%	8.9%	24.1%	10.2%	34.7%	10.8%	0.8%	-21.6K	242.8K	-1.2K	31.27	88.90	11	344	12	867
2015-05-15	$22.43	$30.00	32.2%	9.2%	23.9%	11.1%	34.6%	9.7%	-0.1%	-24.3K	240.4K	-1.1K	31.27	89.90	11	344	12	867
2015-05-18	$22.65	$30.00	32.3%	9.2%	24.2%	11.2%	0.0%	2.9%	-0.2%	-21.4K	199.6K	-963	0.00	90.52	0	0	2	867
2015-05-19	$22.64	$30.00	30.4%	8.7%	24.0%	9.7%	0.0%	3.8%	1.1%	-18.3K	193.6K	-977	0.00	92.80	0	0	2	867
2015-05-20	$22.57	$30.00	31.0%	8.9%	23.9%	10.2%	35.1%	3.7%	1.4%	-17.9K	191.5K	-935	344.00	107.51	1	344	2	867
2015-05-21	$22.71	$30.00	31.7%	9.1%	24.1%	10.8%	28.0%	3.9%	-0.5%	-17.7K	186.8K	-903	344.00	95.23	1	344	2	867
2015-05-22	$22.27	$30.00	32.1%	9.2%	24.6%	11.0%	28.8%	-0.3%	-0.6%	-22.2K	236.0K	-1.1K	344.00	93.18	1	344	2	867
2015-05-26	$21.90	$30.00	30.7%	8.8%	24.9%	10.0%	29.3%	-2.0%	0.6%	-23.3K	247.6K	-1.1K	344.00	87.04	1	344	2	867
2015-05-27	$22.23	$30.00	31.8%	9.1%	25.6%	10.8%	26.3%	-0.7%	-0.3%	-19.5K	199.5K	-815	344.00	84.78	1	344	2	867
2015-05-28	$21.72	$30.00	31.2%	8.9%	26.4%	10.4%	29.3%	-4.7%	0.6%	-25.4K	272.4K	-1.1K	344.00	86.37	1	344	2	867
2015-05-29	$21.74	$30.00	29.8%	8.5%	25.1%	9.3%	37.0%	7.0%	1.2%	-26.1K	263.5K	-1.0K	344.00	86.39	1	344	2	867