LMNR Options History — November 2015 In November 2015, LMNR traded between $15.27 and $17.57. ATM implied volatility averaged 75.4%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 40.7% (HV 20d: 34.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days.
Notable Days 2015-11-02 : Highest Volume — 43 contracts2015-11-04 : Largest IV spike — 259.9% change2015-11-04 : Highest IV Rank — 100.0%2015-11-04 : Largest Expected Move — 35.7%Monthly Statistics Metric Avg Min Max Open Close Price $16.08 $15.27 $17.57 $16.14 $17.03 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 75.4% 34.6% 128.5% 92.8% 108.0% Expected Move 19.7% 9.9% 35.7% 26.6% 31.0% HV 20d 34.7% 30.0% 40.8% 33.8% 40.0% HV 60d 45.7% 44.5% 47.1% 45.5% 45.9% IV Rank 53.0% 18.0% 100.0% 80.4% 81.5% IV Percentile 91.8% 67.9% 100.0% 98.4% 98.0% Term Structure -10.9% -77.5% 64.1% -77.5% -65.2% VWIV 72.5% 37.8% 145.7% 113.1% 37.8% Skew 25d -5.0% -128.9% 15.9% 15.9% 14.9% Skew 10d -3.1% -137.1% 26.6% 11.9% -137.1% Call IV 25d 69.8% 30.4% 166.6% 160.5% 143.8% Put IV 25d 64.8% 35.5% 176.4% 176.4% 158.7% Bid-Ask Spread % 138.06 111.89 160.85 148.94 160.85 Gamma HHI 0.94 0.89 0.98 0.90 0.94 Net GEX -12.1K -28.4K -5.0K -5.0K -9.4K Net DEX 414.0K 264.8K 560.4K 279.1K 326.6K Net VEX -708 -971 -364 -971 -690 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 30.15 0 43 43 0 Total OI 404 404 404 404 404
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 2015-11-02 $16.14 $0.00 92.8% 26.6% 33.8% 80.4% 0.0% 15.9% -77.5% -5.0K 279.1K -971 0.00 148.94 0 43 0 404 2015-11-03 $16.26 $0.00 34.6% 9.9% 34.0% 18.0% 0.0% 3.0% 1.6% -18.5K 477.1K -798 0.00 111.89 0 43 0 404 2015-11-04 $16.33 $0.00 124.4% 35.7% 34.0% 100.0% 0.0% -64.3% 22.5% -6.0K 271.8K -952 0.00 145.20 0 43 0 404 2015-11-05 $16.28 $17.50 128.5% 32.6% 33.8% 100.0% 113.1% -1.2% -37.3% -6.0K 264.8K -940 0.00 153.43 0 43 0 404 2015-11-06 $16.71 $17.50 113.0% 10.2% 34.7% 86.0% 0.0% 13.3% 4.9% -18.6K 405.6K -919 0.00 151.93 0 0 0 404 2015-11-09 $16.05 $17.50 40.8% 20.4% 37.2% 20.8% 0.0% -8.2% -46.5% -10.0K 377.6K -883 0.00 158.55 0 0 0 404 2015-11-10 $16.04 $17.50 127.3% 15.0% 32.8% 98.9% 99.7% -2.6% -6.7% -11.1K 393.1K -845 0.00 137.90 0 43 0 404 2015-11-11 $16.10 $17.50 55.2% 15.8% 32.8% 33.8% 43.8% -8.8% -16.7% -11.6K 395.1K -834 0.00 139.79 0 43 0 404 2015-11-12 $15.79 $17.50 96.5% 27.7% 33.2% 71.1% 39.2% -7.2% 2.5% -7.9K 379.6K -804 0.00 117.89 0 43 0 404 2015-11-13 $15.27 $17.50 49.8% 14.3% 34.9% 29.0% 100.4% 5.6% -11.1% -13.0K 474.6K -613 0.00 142.45 0 43 0 404 2015-11-16 $15.60 $17.50 39.6% 11.4% 35.8% 19.7% 0.0% 3.5% 1.3% -12.7K 537.1K -446 0.00 130.67 0 0 0 404 2015-11-17 $15.45 $17.50 55.1% 15.8% 35.9% 33.8% 44.0% 11.8% -7.8% -12.3K 494.9K -564 0.00 121.65 0 43 0 404 2015-11-18 $15.49 $17.50 48.2% 13.8% 36.0% 27.5% 56.5% 12.6% -0.6% -13.2K 510.0K -504 0.00 139.68 0 43 0 404 2015-11-19 $15.37 $17.50 53.2% 15.2% 36.0% 32.0% 0.0% 14.5% -9.4% -12.8K 508.3K -496 0.00 127.26 0 43 0 404 2015-11-20 $15.59 $17.50 56.1% 16.1% 30.8% 34.6% 44.9% 6.7% -14.6% -12.6K 509.2K -506 0.00 121.82 0 43 0 404 2015-11-23 $15.91 $17.50 40.7% 11.7% 30.2% 20.7% 0.0% 8.8% 64.1% -12.4K 560.4K -364 0.00 124.36 0 1 0 404 2015-11-24 $15.80 $17.50 54.9% 15.7% 30.0% 33.5% 0.0% 1.4% 29.5% -14.7K 483.9K -542 0.00 139.25 0 0 0 404 2015-11-25 $16.85 $17.50 95.5% 27.4% 38.2% 70.1% 145.7% 10.1% -4.1% -6.5K 310.5K -735 0.00 139.96 0 43 0 404 2015-11-27 $17.57 $17.50 94.3% 27.0% 40.8% 69.1% 37.8% -128.9% -47.3% -28.4K 320.0K -753 0.00 147.64 0 43 0 404 2015-11-30 $17.03 $17.50 108.0% 31.0% 40.0% 81.5% 0.0% 14.9% -65.2% -9.4K 326.6K -690 0.00 160.85 0 0 0 404
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