LMNR Options History — April 2016 In April 2016, LMNR traded between $14.72 and $17.84. ATM implied volatility averaged 66.3%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 36.3% (HV 20d: 30.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2016-04-29 : Highest Volume — 71 contracts2016-04-27 : Largest IV spike — 348.0% change2016-04-27 : Highest IV Rank — 75.0%2016-04-27 : Largest Expected Move — 44.2%Monthly Statistics Metric Avg Min Max Open Close Price $15.97 $14.72 $17.84 $15.12 $17.84 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 66.3% 33.6% 154.2% 58.5% 39.8% Expected Move 17.6% 9.3% 44.2% 16.8% 11.4% HV 20d 30.0% 15.7% 40.8% 40.5% 33.1% HV 60d 42.5% 39.0% 48.0% 48.0% 39.1% IV Rank 30.0% 13.3% 75.0% 26.0% 16.5% IV Percentile 64.1% 27.8% 96.8% 72.6% 42.1% Term Structure 4.1% -52.1% 68.7% 68.7% 6.1% VWIV 68.6% 32.2% 143.3% 45.7% 72.5% Skew 25d 11.8% -19.2% 88.7% 17.3% 8.0% Skew 10d 20.3% -11.2% 134.8% 14.9% 8.9% Call IV 25d 55.7% 25.3% 196.6% 38.7% 32.5% Put IV 25d 67.5% 33.4% 185.9% 55.9% 40.4% Bid-Ask Spread % 137.66 126.98 146.22 143.04 131.45 Gamma HHI 0.89 0.63 1.00 0.93 0.75 Net GEX 1.7K 642 4.3K 673 1.6K Net DEX -61.1K -118.1K -14.8K -16.4K -118.1K Net VEX -78 -135 -12 -17 -80 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 55.714 16 71 16 71 Total OI 52.762 16 74 16 74
Daily Data (21 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 2016-04-01 $15.12 $15.00 58.5% 16.8% 40.5% 26.0% 0.0% 17.3% 68.7% 673 -16.4K -17 0.00 143.04 16 0 16 0 2016-04-04 $14.98 $0.00 44.0% 10.0% 40.8% 18.6% 0.0% 3.4% 7.6% 941 -14.8K -12 0.00 137.47 16 0 16 0 2016-04-05 $15.12 $0.00 48.7% 11.5% 39.5% 21.0% 0.0% 15.3% 1.0% 941 -15.8K -13 0.00 133.22 16 0 16 0 2016-04-06 $15.18 $0.00 47.7% 10.2% 39.3% 20.5% 0.0% 4.0% 4.7% 1.1K -15.8K -13 0.00 137.12 16 0 16 0 2016-04-07 $14.88 $0.00 59.3% 13.1% 38.3% 26.4% 45.7% 0.1% 1.2% 720 -15.2K -12 0.00 135.91 66 0 16 0 2016-04-08 $14.72 $15.00 41.5% 10.4% 32.4% 17.3% 36.4% 3.7% 5.4% 3.6K -51.3K -109 0.00 137.07 66 0 66 0 2016-04-11 $14.80 $15.00 62.0% 11.9% 19.8% 27.8% 41.7% 3.5% 0.9% 3.1K -51.8K -106 0.00 140.07 66 0 66 0 2016-04-12 $15.01 $15.00 67.0% 9.3% 15.7% 30.4% 32.2% 88.7% 13.1% 4.3K -49.7K -101 0.00 140.98 66 0 66 0 2016-04-13 $15.19 $15.00 143.9% 41.3% 16.3% 69.8% 143.3% 0.4% -16.4% 3.5K -62.0K -103 0.00 141.07 66 0 66 0 2016-04-14 $15.92 $15.00 43.5% 12.5% 23.6% 18.4% 36.2% 21.9% 56.8% 2.2K -78.7K -87 0.00 140.45 66 0 66 0 2016-04-15 $16.15 $15.00 85.3% 24.4% 24.1% 39.7% 104.0% 52.3% -20.6% 1.2K -91.6K -70 0.00 139.90 66 0 66 0 2016-04-18 $16.52 $15.00 39.4% 11.3% 24.1% 16.3% 54.3% 6.0% 5.2% 1.5K -75.6K -60 0.00 136.81 61 0 54 0 2016-04-19 $16.04 $15.00 85.3% 24.5% 26.2% 39.8% 118.3% -19.2% -12.9% 1.8K -64.5K -123 0.00 141.54 61 0 61 0 2016-04-20 $16.11 $15.00 151.0% 43.3% 26.2% 73.4% 123.4% -17.9% -33.1% 642 -65.9K -124 0.00 142.61 61 0 61 0 2016-04-21 $15.69 $15.00 43.0% 12.3% 27.8% 18.1% 42.4% 6.3% 8.0% 2.6K -64.3K -116 0.00 134.34 61 0 61 0 2016-04-22 $16.26 $15.00 69.5% 19.9% 30.1% 31.7% 41.3% 11.9% 15.4% 1.1K -61.1K -115 0.00 136.20 61 0 61 0 2016-04-25 $16.88 $15.00 39.9% 11.4% 32.1% 16.5% 39.4% 9.4% -0.5% 1.8K -78.7K -98 0.00 131.81 61 0 61 0 2016-04-26 $17.35 $15.00 34.4% 9.9% 32.9% 13.7% 66.9% 13.6% 21.8% 1.4K -90.7K -79 0.00 136.56 69 0 61 0 2016-04-27 $17.79 $15.00 154.2% 44.2% 33.2% 75.0% 105.7% 26.4% -52.1% 854 -88.8K -135 0.00 146.22 69 0 69 0 2016-04-28 $17.81 $15.00 33.6% 9.6% 33.2% 13.3% 62.6% -8.3% 6.6% 1.1K -112.1K -69 0.00 126.98 69 0 69 0 2016-04-29 $17.84 $15.00 39.8% 11.4% 33.1% 16.5% 72.5% 8.0% 6.1% 1.6K -118.1K -80 0.00 131.45 71 0 74 0
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