LMNR Options History — July 2015

In July 2015, LMNR traded between $19.93 and $21.51. ATM implied volatility averaged 34.2%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.9% (HV 20d: 32.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 67.44.

Notable Days

  • 2015-07-31: Highest Volume — 501 contracts
  • 2015-07-10: Largest IV spike — 43.9% change
  • 2015-07-13: Highest IV Rank — 100.0%
  • 2015-07-21: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.65$19.93$21.51$21.51$20.53
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV34.2%25.8%59.4%31.4%33.4%
Expected Move9.1%7.4%9.6%9.0%9.6%
HV 20d32.4%25.2%35.9%35.8%26.0%
HV 60d28.5%27.5%29.3%29.1%28.2%
IV Rank39.7%19.4%100.0%33.2%37.6%
IV Percentile67.5%11.9%100.0%59.5%77.4%
Term Structure2.8%-0.9%12.6%-0.5%0.3%
VWIV28.3%25.3%31.3%31.3%25.3%
Skew 25d1.8%-9.6%19.2%-9.6%7.5%
Skew 10d4.5%-8.1%29.1%2.9%10.2%
Call IV 25d29.1%22.8%37.4%32.3%25.9%
Put IV 25d30.9%22.7%43.2%22.7%33.4%
Bid-Ask Spread %104.8692.30132.50108.03100.56
Gamma HHI0.910.520.990.910.52
Net GEX-15.6K-25.7K-11.8K-11.8K-25.3K
Net DEX211.8K154.3K386.9K154.3K356.4K
Net VEX-990-2.1K-732-892-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio67.4425.00247.0025.0070.57
Total Volume195.682126501130501
Total OI312.727247617275617

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$21.51$20.0031.4%9.0%35.8%33.2%31.3%-9.6%-0.5%-11.8K154.3K-89225.00108.03512511264
2015-07-02$21.25$20.0025.8%7.4%35.7%19.4%25.3%1.9%7.0%-12.7K162.5K-90125.00104.42512511264
2015-07-06$21.07$0.0026.6%9.0%35.8%21.5%0.0%-0.1%1.5%-13.6K168.2K-86525.0092.30512511264
2015-07-07$21.04$0.0028.2%9.1%35.7%25.4%0.0%-2.1%3.0%-13.6K174.6K-86325.0095.92512511264
2015-07-08$20.68$0.0036.7%9.0%34.3%46.0%0.0%-2.6%5.5%-14.6K185.3K-86525.00107.88512511264
2015-07-09$20.41$0.0033.9%9.2%34.1%39.1%0.0%-5.0%2.5%-14.7K207.3K-87925.00104.29512511264
2015-07-10$21.06$0.0048.8%8.8%35.9%75.2%0.0%19.2%8.9%-15.4K185.9K-83825.00109.10512511264
2015-07-13$21.03$0.0059.4%9.2%35.0%100.0%0.0%1.7%7.2%-13.1K168.2K-80825.00111.02512511264
2015-07-14$21.05$0.0039.0%8.4%32.4%51.1%0.0%2.9%12.6%-12.8K168.7K-80525.00132.50512511264
2015-07-15$20.76$0.0032.0%9.2%32.7%34.3%0.0%-0.4%1.0%-14.2K178.5K-81225.00118.05512511264
2015-07-16$20.61$0.0031.9%9.1%32.6%33.9%0.0%-1.4%0.7%-16.2K189.6K-80825.00121.20512511264
2015-07-17$21.08$0.0032.9%9.4%33.2%36.3%0.0%0.9%1.1%-13.0K161.7K-78525.00100.84512511264
2015-07-20$20.40$0.0032.0%9.2%31.9%34.2%0.0%-4.2%2.4%-14.0K194.3K-78462.0099.3321243244
2015-07-21$20.35$0.0033.5%9.6%31.2%37.8%0.0%6.0%-0.1%-13.8K206.9K-78462.00107.0721243244
2015-07-22$20.60$0.0031.9%9.2%31.6%34.0%0.0%6.9%1.3%-14.3K188.9K-76562.00104.8121243244
2015-07-23$19.98$0.0032.2%9.2%32.9%34.7%0.0%0.8%-0.9%-15.4K231.9K-76962.0099.2021243244
2015-07-24$19.93$0.0032.2%9.2%32.8%34.6%0.0%1.8%3.1%-13.8K220.8K-76162.00100.3321243244
2015-07-27$20.03$0.0033.5%9.6%32.3%37.7%0.0%2.2%-0.2%-15.3K220.8K-74362.0096.3121243244
2015-07-28$20.25$0.0032.4%9.3%28.0%35.1%0.0%4.5%1.0%-15.6K208.5K-732247.0097.6624943244
2015-07-29$20.44$0.0031.8%9.1%27.2%33.8%0.0%6.1%2.5%-24.5K339.8K-2.1K247.0099.3224943614
2015-07-30$20.18$0.0033.4%9.6%25.2%37.7%0.0%3.8%1.0%-25.7K386.9K-2.1K247.0096.8924943614
2015-07-31$20.53$0.0033.4%9.6%26.0%37.6%0.0%7.5%0.3%-25.3K356.4K-2.1K70.57100.5674943614