LMNR Options History — August 2015

In August 2015, LMNR traded between $18.00 and $20.77. ATM implied volatility averaged 36.2%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 9.2% (HV 20d: 26.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 31.31.

Notable Days

  • 2015-08-04: Highest Volume — 501 contracts
  • 2015-08-24: Largest IV spike — 65.1% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.46$18.00$20.77$20.53$18.92
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV36.2%28.4%63.2%30.4%34.4%
Expected Move10.4%8.1%18.1%8.7%9.9%
HV 20d26.9%23.4%33.1%25.9%33.1%
HV 60d29.1%27.8%31.4%28.2%31.4%
IV Rank42.8%25.6%100.0%30.3%36.7%
IV Percentile73.6%24.2%100.0%42.5%81.0%
Term Structure-2.0%-22.4%12.2%12.2%3.8%
VWIV37.8%30.1%77.7%33.3%33.8%
Skew 25d4.1%-12.8%22.0%5.2%7.4%
Skew 10d8.6%-5.4%42.3%7.6%11.4%
Call IV 25d34.0%24.3%53.0%26.3%38.3%
Put IV 25d38.2%24.0%60.3%31.4%45.7%
Bid-Ask Spread %117.1097.55163.74141.84115.57
Gamma HHI0.510.490.530.490.50
Net GEX-27.1K-31.4K-21.5K-21.5K-29.4K
Net DEX483.7K330.7K677.2K339.1K677.2K
Net VEX-1.9K-2.1K-1.6K-2.0K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio31.316.2970.5770.576.43
Total Volume193.8570501052
Total OI630.095621641621641

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$20.53$0.0030.4%8.7%25.9%30.3%0.0%5.2%12.2%-21.5K339.1K-2.0K0.00141.84008613
2015-08-04$20.26$0.0031.2%8.9%26.2%32.2%0.0%3.6%2.2%-26.3K358.1K-2.1K70.57102.5874948614
2015-08-05$20.77$0.0028.4%8.1%27.2%25.6%0.0%15.0%9.6%-25.0K332.8K-2.0K70.57101.5274948614
2015-08-06$20.61$20.0028.7%9.7%26.9%26.3%33.3%1.0%-0.8%-24.9K330.7K-2.0K70.5797.5574948614
2015-08-07$20.24$20.0032.5%9.2%25.0%35.4%31.8%-5.5%-1.0%-27.2K357.6K-2.0K70.5798.2274948614
2015-08-10$20.25$20.0035.5%9.9%25.0%42.6%34.7%-4.8%-0.1%-27.8K380.1K-2.0K70.57109.1474948614
2015-08-11$19.81$20.0037.5%10.2%26.0%47.3%0.0%3.0%-1.6%-26.1K418.5K-2.0K0.00112.85008613
2015-08-12$19.25$20.0033.9%9.7%27.3%38.8%33.4%8.5%-1.6%-27.2K486.1K-2.0K70.57115.7774948614
2015-08-13$19.21$20.0039.7%11.4%27.3%52.7%39.2%-0.3%-2.6%-24.4K481.5K-2.0K70.57110.3174948614
2015-08-14$19.41$20.0030.5%8.8%26.1%30.7%34.0%9.8%3.8%-30.2K492.9K-1.9K6.29135.987448614
2015-08-17$19.79$20.0035.5%10.2%25.0%42.5%35.2%12.8%-2.4%-29.9K435.9K-2.0K6.29104.587448629
2015-08-18$19.70$20.0035.3%10.1%25.0%42.1%35.0%9.5%-2.2%-30.0K441.4K-1.9K6.29112.547448629
2015-08-19$19.45$20.0034.0%9.8%24.8%39.0%0.0%-1.4%-3.0%-31.0K460.1K-1.9K0.00153.02008628
2015-08-20$19.08$20.0031.7%9.1%23.4%33.4%30.1%-6.6%-0.3%-31.4K547.2K-1.9K6.29104.267448629
2015-08-21$18.91$20.0038.3%11.0%23.5%49.2%35.5%4.2%-9.7%-28.6K565.8K-1.9K6.29107.337448629
2015-08-24$18.35$20.0063.2%18.1%25.2%100.0%77.7%22.0%-22.4%-22.7K611.4K-1.9K6.29163.747448629
2015-08-25$18.00$20.0039.5%11.3%25.1%47.9%37.6%-12.8%-12.8%-23.4K653.5K-1.7K6.29117.137448629
2015-08-26$18.98$20.0037.3%10.7%32.3%43.0%36.6%8.3%-10.2%-29.0K568.1K-1.9K6.29108.647448629
2015-08-27$18.50$20.0037.3%10.7%33.1%43.1%38.5%-4.7%-5.1%-26.0K581.3K-1.9K6.43134.247458629
2015-08-28$18.68$20.0044.9%12.9%32.6%59.8%38.4%12.4%1.3%-27.2K639.3K-1.7K6.43112.267458633
2015-08-31$18.92$20.0034.4%9.9%33.1%36.7%33.8%7.4%3.8%-29.4K677.2K-1.6K6.43115.577458633