LMNR Options History — March 2016

In March 2016, LMNR traded between $13.99 and $15.65. ATM implied volatility averaged 91.3%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 27.5%. IV traded above realized volatility by 44.9% (HV 20d: 46.4%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-03-10: Highest Volume — 47 contracts
  • 2016-03-09: Largest IV spike — 623.2% change
  • 2016-03-28: Highest IV Rank — 100.0%
  • 2016-03-28: Largest Expected Move — 58.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.87$13.99$15.65$14.10$15.14
Max Pain$15.68$15.00$22.50$22.50$15.00
ATM IV91.3%7.6%203.0%82.8%52.5%
Expected Move27.5%10.9%58.2%23.7%15.0%
HV 20d46.4%40.5%52.2%47.9%40.5%
HV 60d49.2%47.7%50.2%49.9%48.0%
IV Rank44.2%0.0%100.0%37.2%22.9%
IV Percentile74.7%0.0%100.0%86.1%65.5%
Term Structure-25.5%-66.4%44.9%-28.2%-12.7%
VWIV96.5%26.8%203.1%95.4%52.3%
Skew 25d4.2%-114.2%26.5%10.7%7.0%
Skew 10d2.9%-85.9%32.2%30.3%9.8%
Call IV 25d88.9%23.6%197.6%68.3%44.0%
Put IV 25d93.0%42.7%198.8%78.9%51.1%
Bid-Ask Spread %139.97115.11151.48140.20150.43
Gamma HHI0.670.261.000.300.91
Net GEX330-3161.2K-215721
Net DEX12.2K-16.4K34.2K34.2K-15.9K
Net VEX-32-70-16-57-17
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.001.631.630.00
Total Volume34.13616474216
Total OI45.36416656016

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$14.10$22.5082.8%23.7%47.9%37.2%95.4%10.7%-28.2%-21534.2K-571.63140.2016261644
2016-03-02$13.99$22.50137.1%39.3%44.7%68.6%143.6%-40.3%-52.3%-24424.4K-701.63147.8816261644
2016-03-03$14.05$15.0058.7%14.8%44.4%23.3%50.1%24.7%-5.9%-20633.5K-471.63131.3316261644
2016-03-04$14.07$15.0052.6%14.7%44.2%19.7%51.6%21.0%-10.2%1333.6K-371.63134.7316261644
2016-03-07$14.52$15.0074.2%14.1%44.8%32.2%49.0%23.8%-2.4%-18833.8K-441.63133.2716261644
2016-03-08$14.39$15.007.6%41.7%43.2%0.0%165.6%22.9%-63.9%16531.3K-311.63141.8716261644
2016-03-09$14.88$15.0055.3%15.8%42.8%25.9%55.0%18.3%-8.0%-25231.4K-401.63115.1116261644
2016-03-10$14.07$15.00147.1%42.2%49.1%75.9%157.2%-114.2%-61.2%-31627.4K-541.24145.6621261644
2016-03-11$15.11$15.0040.3%11.5%52.1%17.7%40.2%20.4%3.4%1.2K27.2K-291.24127.0621262144
2016-03-14$15.65$15.0038.0%10.9%52.2%16.5%26.8%21.7%13.8%73724.3K-251.24116.0821262144
2016-03-15$15.53$15.0049.7%14.3%49.2%22.9%49.9%9.6%-11.6%1.0K23.2K-241.24139.6021262144
2016-03-16$15.52$15.00151.4%43.4%49.0%78.2%140.0%-32.6%-54.9%67624.4K-281.24151.4821262144
2016-03-17$15.54$15.0039.3%11.3%49.0%17.2%35.8%9.8%-3.3%1.1K23.1K-181.24136.9221262144
2016-03-18$15.29$15.00159.3%45.7%49.8%82.5%151.0%26.5%-61.9%17523.5K-261.24146.8821262144
2016-03-21$15.09$15.0050.6%14.5%50.4%23.4%50.3%5.4%44.9%566-15.4K-220.00146.60160160
2016-03-22$15.10$15.00168.8%48.4%48.3%87.7%166.7%19.1%-37.8%177-15.6K-250.00148.98160160
2016-03-23$14.91$15.00172.1%49.3%48.9%89.5%173.7%21.9%-64.1%160-15.6K-250.00149.47160160
2016-03-24$15.04$15.00180.4%51.7%48.5%94.0%175.5%14.5%-66.4%170-15.5K-240.00149.61160160
2016-03-28$14.95$15.00203.0%58.2%40.6%100.0%203.1%-8.6%-63.7%166-15.6K-220.00144.42160160
2016-03-29$15.17$15.0045.7%13.1%40.7%19.5%47.7%6.4%-8.6%799-16.4K-180.00147.94160160
2016-03-30$15.10$15.0042.5%12.2%40.7%17.8%43.4%4.1%-5.4%833-15.9K-160.00133.92160160
2016-03-31$15.14$15.0052.5%15.0%40.5%22.9%52.3%7.0%-12.7%721-15.9K-170.00150.43160160