LMNR Options History — December 2015

In December 2015, LMNR traded between $14.86 and $17.35. ATM implied volatility averaged 74.7%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 28.4% (HV 20d: 46.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.80.

Notable Days

2015-12-02: Highest Volume — 43 contracts
2015-12-28: Largest IV spike — 237.1% change
2015-12-28: Highest IV Rank — 100.0%
2015-12-30: Largest Expected Move — 49.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.79	$14.86	$17.35	$16.97	$15.00
Max Pain	$15.71	$15.00	$17.50	$17.50	$15.00
ATM IV	74.7%	40.3%	173.6%	49.2%	71.2%
Expected Move	21.5%	12.2%	49.8%	14.1%	20.4%
HV 20d	46.3%	38.4%	54.0%	39.8%	44.0%
HV 60d	38.6%	34.2%	45.8%	45.8%	39.2%
IV Rank	47.8%	20.4%	100.0%	28.4%	34.3%
IV Percentile	90.6%	77.4%	100.0%	87.7%	90.9%
Term Structure	-1.0%	-85.8%	70.1%	70.1%	-21.9%
VWIV	84.7%	39.1%	173.5%	51.8%	71.2%
Skew 25d	10.0%	-94.2%	115.4%	1.1%	-0.2%
Skew 10d	11.7%	-83.9%	131.7%	16.3%	3.8%
Call IV 25d	77.2%	30.1%	153.6%	42.4%	68.7%
Put IV 25d	87.2%	42.5%	172.5%	43.5%	68.5%
Bid-Ask Spread %	134.68	114.49	147.96	135.81	121.32
Gamma HHI	0.61	0.30	0.97	0.96	0.31
Net GEX	-8.6K	-31.1K	300	-21.5K	-403
Net DEX	324.9K	25.3K	607.2K	388.7K	33.9K
Net VEX	-258	-646	-80	-646	-95
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.80	2.80	2.80	2.80	2.80
Total Volume	36.364	0	43	0	38
Total OI	275.364	44	404	404	54

Daily Data (22 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
2015-12-01	$16.97	$17.50	49.2%	14.1%	39.8%	28.4%	0.0%	1.1%	70.1%	-21.5K	388.7K	-646	0.00	135.81	0	0	0	404
2015-12-02	$17.06	$17.50	42.4%	12.2%	39.8%	22.2%	51.8%	-1.9%	12.9%	-21.6K	376.0K	-636	0.00	147.96	0	43	0	404
2015-12-03	$17.35	$0.00	40.3%	13.2%	40.1%	20.4%	0.0%	-59.8%	-3.7%	-31.1K	372.2K	-627	0.00	125.47	0	43	0	404
2015-12-04	$16.89	$0.00	50.6%	14.0%	41.4%	29.6%	0.0%	24.9%	11.0%	-25.0K	355.6K	-603	0.00	138.81	0	43	0	404
2015-12-07	$16.56	$0.00	49.4%	13.8%	41.1%	28.6%	0.0%	110.5%	-8.3%	-22.6K	453.3K	-488	0.00	129.25	0	0	0	404
2015-12-08	$16.42	$0.00	71.3%	21.4%	38.4%	48.3%	0.0%	33.2%	-7.5%	-15.5K	406.9K	-494	0.00	141.60	0	43	0	404
2015-12-09	$16.14	$0.00	83.8%	24.0%	39.0%	59.6%	0.0%	15.0%	-67.5%	-15.1K	583.1K	-218	0.00	137.12	0	43	0	404
2015-12-10	$16.87	$0.00	99.1%	28.4%	42.0%	73.5%	0.0%	21.4%	-79.3%	-23.0K	411.0K	-463	0.00	135.22	0	43	0	404
2015-12-11	$15.52	$0.00	56.1%	16.1%	51.5%	34.6%	0.0%	-4.9%	-6.6%	-6.0K	585.5K	-147	0.00	114.49	0	43	0	404
2015-12-14	$15.11	$0.00	95.8%	27.5%	51.0%	70.5%	0.0%	115.4%	37.6%	-530	575.0K	-124	0.00	141.84	0	43	0	404
2015-12-15	$15.13	$0.00	105.5%	30.2%	50.3%	79.2%	0.0%	4.5%	-12.3%	-429	571.4K	-124	0.00	135.77	0	43	0	404
2015-12-16	$15.72	$0.00	48.2%	13.8%	52.1%	27.5%	0.0%	14.9%	20.6%	-863	604.2K	-111	0.00	136.28	0	43	0	404
2015-12-17	$15.80	$0.00	60.6%	17.4%	52.1%	38.7%	0.0%	-94.2%	13.6%	-908	607.2K	-106	0.00	132.31	0	43	0	404
2015-12-18	$15.20	$0.00	56.9%	16.3%	54.0%	35.3%	0.0%	7.7%	-9.1%	-845	588.6K	-91	0.00	121.22	0	43	0	404
2015-12-21	$15.02	$0.00	56.8%	16.3%	53.8%	35.2%	0.0%	8.9%	65.7%	-807	42.1K	-87	0.00	117.48	0	28	0	44
2015-12-22	$14.86	$0.00	107.4%	30.8%	53.2%	80.9%	0.0%	17.3%	24.8%	-510	31.1K	-118	0.00	143.91	0	28	0	44
2015-12-23	$14.90	$0.00	65.3%	18.7%	53.3%	43.0%	57.8%	-71.1%	-5.4%	-691	44.4K	-80	2.80	136.14	10	28	0	44
2015-12-24	$15.29	$15.00	44.2%	12.7%	48.3%	23.9%	39.1%	4.1%	59.1%	300	34.1K	-94	2.80	144.96	10	28	10	44
2015-12-28	$15.23	$15.00	149.1%	42.8%	45.1%	100.0%	124.3%	31.3%	-2.8%	-259	25.3K	-121	2.80	141.41	10	28	10	44
2015-12-29	$15.19	$15.00	67.2%	19.3%	44.2%	37.7%	75.0%	39.6%	-26.6%	-489	32.6K	-97	2.80	137.27	10	28	10	44
2015-12-30	$15.16	$15.00	173.6%	49.8%	44.2%	100.0%	173.5%	3.0%	-85.8%	-660	25.4K	-115	2.80	147.42	10	28	10	44
2015-12-31	$15.00	$15.00	71.2%	20.4%	44.0%	34.3%	71.2%	-0.2%	-21.9%	-403	33.9K	-95	2.80	121.32	10	28	10	44