LMNR Options History — January 2016

Name: LMNR Options Analytics - January 2016
Creator: Options Analysis Suite

In January 2016, LMNR traded between $11.99 and $14.59. ATM implied volatility averaged 87.9%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded above realized volatility by 39.4% (HV 20d: 48.5%). Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 6.03.

Notable Days

2016-01-11: Highest Volume — 73 contracts
2016-01-22: Largest IV spike — 239.1% change
2016-01-14: Highest IV Rank — 100.0%
2016-01-22: Largest Expected Move — 54.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.15	$11.99	$14.59	$14.34	$12.52
ATM IV	87.9%	46.7%	191.4%	69.6%	141.8%
Expected Move	24.3%	13.2%	54.9%	14.0%	40.7%
HV 20d	48.5%	36.7%	56.0%	45.2%	56.0%
HV 60d	43.9%	39.4%	47.3%	40.2%	47.0%
IV Rank	42.3%	15.7%	100.0%	33.2%	71.1%
IV Percentile	88.0%	73.0%	100.0%	90.5%	98.4%
Term Structure	-15.8%	-94.1%	28.3%	-6.9%	-26.6%
Skew 25d	6.9%	-22.4%	65.6%	11.8%	-12.0%
Skew 10d	9.1%	-17.6%	34.5%	10.0%	-15.5%
Call IV 25d	70.2%	37.1%	186.6%	37.1%	72.5%
Put IV 25d	77.1%	41.8%	164.6%	48.9%	60.5%
Bid-Ask Spread %	130.14	116.25	141.22	116.36	134.76
Gamma HHI	0.42	0.29	0.67	0.32	0.51
Net GEX	-353	-1.1K	470	-400	-379
Net DEX	36.3K	23.5K	50.1K	36.4K	41.7K
Net VEX	-66	-107	-36	-74	-39
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.03	1.06	15.00	2.80	7.00
Total Volume	42.421	31	73	38	32
Total OI	62.263	48	104	54	48

Daily Data (19 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
2016-01-04	$14.34	$0.00	69.6%	14.0%	45.2%	33.2%	0.0%	11.8%	-6.9%	-400	36.4K	-74	2.80	116.36	10	28	10	44
2016-01-05	$14.51	$0.00	92.9%	13.7%	45.3%	48.2%	0.0%	19.9%	-3.7%	-463	37.4K	-68	9.33	128.17	3	28	10	44
2016-01-06	$14.44	$0.00	91.8%	14.7%	45.1%	47.5%	0.0%	6.3%	14.1%	-312	31.3K	-97	9.33	140.18	3	28	13	44
2016-01-07	$14.00	$0.00	90.6%	14.2%	45.9%	46.6%	0.0%	65.6%	-8.1%	-222	35.4K	-84	9.33	127.37	3	28	13	44
2016-01-08	$13.71	$0.00	83.8%	51.1%	46.0%	41.9%	0.0%	7.9%	-27.0%	-357	32.9K	-84	15.00	137.26	2	30	13	44
2016-01-11	$14.23	$0.00	108.5%	41.6%	45.0%	57.7%	0.0%	34.6%	-53.1%	-56	27.4K	-107	1.21	138.52	33	40	15	46
2016-01-12	$14.59	$0.00	91.2%	13.2%	36.7%	46.4%	0.0%	4.5%	3.3%	470	26.8K	-94	1.21	132.82	33	40	48	56
2016-01-13	$13.66	$0.00	95.0%	27.2%	42.3%	49.0%	0.0%	3.5%	-64.4%	-702	35.7K	-78	1.21	139.61	33	40	48	56
2016-01-14	$12.72	$0.00	184.1%	52.8%	48.3%	100.0%	0.0%	-17.6%	-94.1%	-1.1K	26.0K	-98	1.06	141.22	33	35	48	56
2016-01-15	$12.15	$0.00	47.9%	13.7%	46.6%	17.2%	0.0%	0.8%	-0.7%	-334	50.1K	-43	1.06	119.28	33	35	48	51
2016-01-19	$11.99	$0.00	55.5%	15.9%	46.1%	21.8%	0.0%	-0.3%	0.4%	-366	39.8K	-49	7.00	133.96	4	28	4	44
2016-01-20	$12.69	$0.00	48.9%	14.0%	51.4%	17.7%	0.0%	11.4%	11.3%	-379	42.8K	-40	7.00	119.90	4	28	4	44
2016-01-21	$12.65	$0.00	56.5%	16.2%	51.5%	22.4%	0.0%	5.4%	-3.1%	-356	41.3K	-39	7.00	116.79	4	28	4	44
2016-01-22	$12.85	$0.00	191.4%	54.9%	52.2%	100.0%	0.0%	-22.4%	-70.0%	-312	23.5K	-94	7.00	140.02	4	28	4	44
2016-01-25	$12.13	$0.00	46.7%	13.4%	55.0%	15.7%	0.0%	-3.4%	0.3%	-339	41.2K	-36	7.00	116.25	4	28	4	44
2016-01-26	$12.35	$0.00	56.7%	16.3%	54.4%	21.6%	0.0%	3.1%	-0.5%	-340	41.7K	-39	7.00	125.58	4	28	4	44
2016-01-27	$12.15	$0.00	62.9%	18.0%	54.3%	25.2%	0.0%	5.9%	-0.7%	-377	39.6K	-48	7.00	134.20	4	28	4	44
2016-01-28	$12.21	$0.00	53.7%	15.4%	54.6%	19.8%	0.0%	6.5%	28.3%	-349	39.1K	-52	7.00	130.44	4	28	4	44
2016-01-29	$12.52	$0.00	141.8%	40.7%	56.0%	71.1%	0.0%	-12.0%	-26.6%	-379	41.7K	-39	7.00	134.76	4	28	4	44