LMNR Options History — February 2016

In February 2016, LMNR traded between $11.56 and $14.00. ATM implied volatility averaged 63.7%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 14.5% (HV 20d: 49.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 6.36.

Notable Days

2016-02-26: Highest Volume — 42 contracts
2016-02-03: Largest IV spike — 219.0% change
2016-02-23: Highest IV Rank — 49.0%
2016-02-23: Largest Expected Move — 29.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.51	$11.56	$14.00	$12.69	$13.95
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	63.7%	18.5%	103.2%	66.8%	31.6%
Expected Move	17.4%	5.3%	29.6%	19.1%	9.0%
HV 20d	49.2%	39.6%	56.8%	56.6%	47.9%
HV 60d	48.2%	47.0%	49.8%	47.1%	49.8%
IV Rank	26.1%	0.0%	49.0%	27.4%	7.6%
IV Percentile	76.0%	0.0%	94.0%	85.7%	24.6%
Term Structure	0.5%	-88.2%	121.3%	4.0%	39.5%
VWIV	70.0%	46.2%	123.9%	58.2%	123.9%
Skew 25d	4.3%	-86.2%	30.5%	14.8%	30.5%
Skew 10d	4.1%	-77.0%	30.5%	12.7%	30.5%
Call IV 25d	60.4%	16.3%	149.8%	57.3%	16.3%
Put IV 25d	64.6%	46.8%	126.1%	72.1%	46.8%
Bid-Ask Spread %	127.42	107.41	145.47	142.92	143.19
Gamma HHI	0.56	0.32	0.77	0.46	0.47
Net GEX	-362	-496	27	-428	27
Net DEX	39.9K	18.9K	43.3K	41.7K	31.4K
Net VEX	-34	-79	-24	-42	-35
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.36	1.63	7.00	7.00	1.63
Total Volume	32.6	30	42	32	42
Total OI	48.6	48	60	48	60

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
2016-02-01	$12.69	$0.00	66.8%	19.1%	56.6%	27.4%	0.0%	14.8%	4.0%	-428	41.7K	-42	7.00	142.92	4	28	4	44
2016-02-02	$12.16	$0.00	18.5%	5.3%	56.4%	0.0%	0.0%	-4.9%	121.3%	-235	18.9K	-79	7.00	145.47	4	28	4	44
2016-02-03	$12.07	$0.00	59.0%	16.9%	55.9%	23.4%	0.0%	7.9%	1.2%	-355	40.5K	-38	7.00	131.92	4	28	4	44
2016-02-04	$12.31	$22.50	49.1%	16.3%	56.8%	17.7%	58.2%	10.2%	-10.5%	-340	42.0K	-35	7.00	113.07	4	28	4	44
2016-02-05	$12.24	$22.50	66.2%	15.3%	56.1%	27.6%	54.7%	-3.0%	-2.2%	-381	40.4K	-34	7.00	124.70	4	28	4	44
2016-02-08	$11.90	$22.50	70.7%	16.0%	56.4%	30.2%	55.9%	14.2%	-6.7%	-350	40.2K	-34	7.00	119.95	4	28	4	44
2016-02-09	$11.69	$22.50	97.8%	17.0%	54.0%	45.9%	67.6%	10.8%	-11.4%	-346	39.9K	-33	7.00	137.53	4	28	4	44
2016-02-10	$11.86	$22.50	65.4%	18.8%	53.3%	27.1%	72.9%	4.8%	-12.8%	-354	39.9K	-35	7.00	128.07	4	28	4	44
2016-02-11	$11.56	$22.50	50.3%	14.4%	49.5%	18.4%	46.2%	17.7%	-6.8%	-285	42.0K	-28	7.00	107.79	4	28	4	44
2016-02-12	$11.96	$22.50	58.0%	16.6%	45.7%	22.9%	60.4%	20.8%	-13.9%	-318	41.9K	-32	7.00	121.65	4	28	4	44
2016-02-16	$12.74	$22.50	54.1%	15.5%	48.5%	20.6%	57.7%	15.3%	-5.7%	-419	42.4K	-28	7.00	122.00	4	28	4	44
2016-02-17	$12.66	$22.50	64.2%	18.4%	48.2%	26.4%	65.6%	15.8%	-18.8%	-388	42.0K	-29	7.00	115.65	4	28	4	44
2016-02-18	$12.67	$22.50	53.3%	15.3%	43.8%	20.1%	56.2%	6.4%	-13.2%	-496	43.3K	-26	7.00	138.97	4	28	4	44
2016-02-19	$12.71	$22.50	96.0%	27.5%	43.8%	44.8%	109.4%	-3.9%	-29.9%	-405	42.7K	-33	7.00	130.04	4	28	4	44
2016-02-22	$12.90	$22.50	62.7%	18.0%	43.8%	25.6%	66.7%	-3.3%	91.6%	-424	42.4K	-25	6.50	112.06	4	26	4	44
2016-02-23	$12.50	$22.50	103.2%	29.6%	40.0%	49.0%	76.5%	-86.2%	-88.2%	-403	39.4K	-35	6.50	135.67	4	26	4	44
2016-02-24	$12.61	$22.50	65.3%	18.7%	39.6%	27.1%	69.0%	9.1%	-7.5%	-431	43.1K	-25	6.50	133.82	4	26	4	44
2016-02-25	$12.93	$22.50	69.2%	19.8%	39.9%	29.3%	71.6%	-2.9%	-19.8%	-421	42.5K	-24	6.50	107.41	4	26	4	44
2016-02-26	$14.00	$22.50	72.6%	20.8%	48.3%	31.3%	78.0%	11.1%	0.0%	-487	41.4K	-36	1.63	136.57	16	26	4	44
2016-02-29	$13.95	$22.50	31.6%	9.0%	47.9%	7.6%	123.9%	30.5%	39.5%	27	31.4K	-35	1.63	143.19	16	26	16	44