LMNR Options History — September 2015

In September 2015, LMNR traded between $16.07 and $19.68. ATM implied volatility averaged 39.8%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 19.2% (HV 20d: 59.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 11.95.

Notable Days

2015-09-16: Highest Volume — 341 contracts
2015-09-09: Largest IV spike — 39.8% change
2015-09-02: Highest IV Rank — 73.7%
2015-09-02: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.29	$16.07	$19.68	$18.35	$16.73
Max Pain	$18.97	$17.50	$20.00	$20.00	$17.50
ATM IV	39.8%	27.1%	51.2%	42.9%	46.0%
Expected Move	11.3%	8.7%	14.7%	12.3%	13.2%
HV 20d	59.0%	33.1%	68.2%	34.3%	64.0%
HV 60d	41.5%	31.4%	45.1%	31.9%	43.9%
IV Rank	48.6%	20.6%	73.7%	55.4%	62.2%
IV Percentile	85.7%	14.7%	98.4%	94.8%	96.0%
Term Structure	-1.9%	-12.2%	5.6%	0.5%	-0.8%
VWIV	40.6%	29.7%	49.4%	42.0%	49.1%
Skew 25d	1.8%	-20.4%	10.8%	4.3%	3.3%
Skew 10d	11.0%	-5.8%	52.4%	3.4%	1.5%
Call IV 25d	40.2%	26.8%	52.6%	41.0%	47.0%
Put IV 25d	41.9%	29.1%	58.8%	45.2%	50.3%
Bid-Ask Spread %	108.94	82.27	127.25	119.28	112.41
Gamma HHI	0.83	0.50	0.99	0.50	0.96
Net GEX	-18.0K	-44.3K	-11.9K	-23.5K	-13.9K
Net DEX	489.2K	308.6K	775.0K	678.3K	372.9K
Net VEX	-1.3K	-1.7K	-1.2K	-1.6K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	11.95	0.00	25.23	6.43	5.57
Total Volume	136.714	0	341	52	46
Total OI	514.286	388	641	641	393

Daily Data (21 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
2015-09-01	$18.35	$20.00	42.9%	12.3%	34.3%	55.4%	42.0%	4.3%	0.5%	-23.5K	678.3K	-1.6K	6.43	119.28	7	45	8	633
2015-09-02	$18.58	$20.00	51.2%	14.7%	33.1%	73.7%	44.4%	6.3%	-12.2%	-27.6K	637.2K	-1.7K	6.43	111.15	7	45	8	633
2015-09-03	$19.68	$0.00	37.2%	8.7%	40.0%	42.9%	0.0%	9.8%	1.6%	-31.8K	492.9K	-1.7K	6.43	108.49	7	45	8	633
2015-09-04	$19.38	$0.00	39.3%	10.4%	39.8%	47.4%	0.0%	10.8%	-1.4%	-32.9K	501.3K	-1.7K	6.43	108.69	7	45	8	633
2015-09-08	$19.48	$0.00	27.1%	8.9%	39.9%	20.6%	0.0%	7.8%	1.1%	-44.3K	514.3K	-1.6K	0.00	91.47	0	0	8	632
2015-09-09	$16.92	$0.00	37.9%	10.9%	63.3%	44.3%	43.8%	1.5%	0.9%	-13.3K	775.0K	-1.3K	21.08	82.27	13	274	8	633
2015-09-10	$16.07	$20.00	39.8%	11.4%	64.8%	48.6%	43.4%	-6.2%	1.8%	-11.9K	553.6K	-1.2K	24.54	107.80	13	319	15	492
2015-09-11	$16.57	$20.00	39.7%	11.4%	66.3%	48.3%	35.2%	2.7%	-5.9%	-15.5K	588.7K	-1.2K	24.54	127.25	13	319	15	535
2015-09-14	$16.45	$20.00	35.0%	10.0%	66.0%	37.9%	34.5%	8.1%	-1.6%	-14.5K	548.2K	-1.3K	24.54	104.60	13	319	15	535
2015-09-15	$16.48	$20.00	34.0%	9.7%	65.3%	35.7%	0.0%	-5.1%	2.2%	-14.8K	534.5K	-1.3K	0.00	110.07	2	0	15	534
2015-09-16	$16.82	$20.00	32.8%	9.4%	66.1%	33.0%	29.7%	0.3%	5.6%	-14.9K	529.6K	-1.3K	25.23	110.27	13	328	14	535
2015-09-17	$16.63	$20.00	39.0%	11.2%	66.1%	46.8%	44.1%	-1.0%	-4.6%	-12.2K	536.1K	-1.3K	25.23	111.71	13	328	14	546
2015-09-18	$17.34	$20.00	42.1%	12.1%	68.2%	53.7%	30.9%	5.0%	-4.8%	-14.5K	553.4K	-1.3K	25.00	113.25	13	325	14	546
2015-09-21	$17.14	$20.00	41.3%	11.9%	68.2%	52.0%	37.4%	1.0%	2.7%	-12.2K	308.6K	-1.3K	5.14	107.60	7	36	5	383
2015-09-22	$16.99	$17.50	37.3%	10.7%	67.6%	43.1%	36.7%	-7.4%	-3.3%	-14.2K	358.4K	-1.2K	5.14	109.66	7	36	7	383
2015-09-23	$16.76	$17.50	41.5%	11.9%	67.5%	52.3%	40.3%	5.8%	-6.0%	-12.8K	333.3K	-1.2K	5.29	109.22	7	37	7	384
2015-09-24	$17.07	$17.50	38.1%	10.9%	64.7%	44.7%	42.0%	2.4%	-0.2%	-13.1K	330.5K	-1.3K	5.29	110.72	7	37	7	384
2015-09-25	$16.55	$17.50	48.4%	13.9%	64.9%	67.4%	49.4%	-20.4%	-6.8%	-13.9K	383.4K	-1.2K	5.57	109.69	7	39	7	384
2015-09-28	$16.60	$17.50	41.7%	11.9%	64.8%	52.7%	41.8%	3.4%	-3.3%	-13.0K	374.5K	-1.2K	5.57	108.58	7	39	7	386
2015-09-29	$16.57	$17.50	44.1%	12.7%	64.4%	58.1%	45.5%	4.8%	-5.8%	-13.4K	369.2K	-1.2K	5.57	113.62	7	39	7	386
2015-09-30	$16.73	$17.50	46.0%	13.2%	64.0%	62.2%	49.1%	3.3%	-0.8%	-13.9K	372.9K	-1.2K	5.57	112.41	7	39	7	386