LMNR Options History — October 2015

In October 2015, LMNR traded between $15.88 and $17.29. ATM implied volatility averaged 61.9%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 26.2% (HV 20d: 35.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 6.22.

Notable Days

  • 2015-10-06: Highest Volume — 52 contracts
  • 2015-10-14: Largest IV drop — 57.6% change
  • 2015-10-13: Highest IV Rank — 100.0%
  • 2015-10-27: Largest Expected Move — 31.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.54$15.88$17.29$16.29$15.88
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV61.9%33.7%111.1%40.9%100.6%
Expected Move16.3%9.2%31.9%11.7%28.8%
HV 20d35.7%26.3%64.1%64.1%33.2%
HV 60d44.2%43.6%45.4%44.0%45.4%
IV Rank63.3%22.3%100.0%50.9%88.7%
IV Percentile93.9%64.3%100.0%90.5%98.8%
Term Structure-3.4%-61.5%30.7%-5.0%-61.5%
VWIV43.2%41.4%45.0%41.4%45.0%
Skew 25d11.9%-31.9%85.5%-10.9%-31.9%
Skew 10d11.5%-33.9%77.4%-3.9%-33.9%
Call IV 25d65.2%33.7%165.0%46.5%81.0%
Put IV 25d77.1%35.5%177.5%35.5%49.2%
Bid-Ask Spread %124.85104.18147.80111.84145.69
Gamma HHI0.950.900.970.970.91
Net GEX-12.4K-16.2K-5.1K-12.0K-9.2K
Net DEX370.2K287.6K415.8K351.7K366.6K
Net VEX-1.1K-1.2K-955-1.2K-955
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.225.006.435.576.43
Total Volume44.8180524643
Total OI406.636393413393404

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$16.29$17.5040.9%11.7%64.1%50.9%41.4%-10.9%-5.0%-12.0K351.7K-1.2K5.57111.847397386
2015-10-02$16.58$17.5042.9%12.3%60.3%55.3%45.0%4.9%-2.2%-13.7K396.6K-1.2K5.00114.197357396
2015-10-05$16.53$0.0042.4%12.3%60.3%54.2%0.0%11.8%-3.2%-13.6K357.5K-1.2K0.00107.82007396
2015-10-06$16.52$0.0046.9%10.5%60.1%64.1%0.0%16.6%-0.9%-13.7K373.3K-1.2K6.43109.877457396
2015-10-07$16.51$0.0046.8%10.6%34.1%64.0%0.0%15.2%-2.2%-14.3K390.2K-1.2K6.43109.397457406
2015-10-08$16.69$0.0041.5%10.2%28.6%52.3%0.0%11.8%0.9%-15.8K398.6K-1.2K6.43104.187457406
2015-10-09$16.95$0.0049.7%9.2%27.0%70.4%0.0%7.5%4.2%-14.7K386.0K-1.2K6.43107.697457406
2015-10-12$17.10$0.0059.5%11.7%27.0%91.9%0.0%13.6%-4.8%-16.2K380.2K-1.2K6.43108.707457406
2015-10-13$16.27$0.0089.4%11.2%32.6%100.0%0.0%0.0%-2.0%-13.5K377.7K-1.1K6.43110.117457406
2015-10-14$16.20$0.0037.9%10.9%31.7%28.1%0.0%-2.0%-4.5%-13.5K407.8K-1.1K6.43110.727457406
2015-10-15$16.40$0.0033.7%9.7%31.8%22.3%0.0%13.5%4.8%-14.4K415.8K-1.1K6.43111.457457406
2015-10-16$16.48$0.0039.2%11.2%27.7%29.9%0.0%11.4%-6.2%-15.2K413.9K-1.1K6.43110.577457406
2015-10-19$16.59$0.0044.0%12.6%27.7%36.7%0.0%75.4%-7.8%-15.3K400.5K-1.1K0.00138.980430404
2015-10-20$16.54$0.0066.1%18.9%27.6%67.5%0.0%-1.7%-3.9%-10.7K371.1K-1.1K0.00143.560430404
2015-10-21$16.50$0.00100.7%28.9%27.2%100.0%0.0%16.8%30.7%-5.1K306.2K-1.1K0.00147.800430404
2015-10-22$16.44$0.00104.8%30.0%26.3%100.0%0.0%-11.8%-31.0%-8.1K313.2K-1.1K0.00146.540430404
2015-10-23$17.29$0.0059.9%17.2%29.9%48.4%0.0%12.7%-13.4%-12.9K363.8K-1.1K0.00142.700430404
2015-10-26$16.73$0.0086.5%24.8%32.4%79.0%0.0%85.5%18.1%-7.3K287.6K-1.1K0.00144.610430404
2015-10-27$16.51$0.00111.1%31.9%32.8%100.0%0.0%11.4%23.5%-5.1K300.8K-1.0K0.00143.950430404
2015-10-28$16.49$0.0053.9%15.4%32.6%38.7%0.0%14.5%12.5%-12.6K402.7K-9710.00135.630430404
2015-10-29$16.49$0.0064.1%18.4%31.1%49.6%0.0%-3.1%-20.2%-16.0K382.1K-1.0K0.00140.680430404
2015-10-30$15.88$0.00100.6%28.8%33.2%88.7%0.0%-31.9%-61.5%-9.2K366.6K-9550.00145.690430404