LMNR Options History — May 2016 In May 2016, LMNR traded between $14.92 and $17.19. ATM implied volatility averaged 104.7%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 28.1%. IV traded above realized volatility by 68.7% (HV 20d: 36.0%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2016-05-02 : Highest Volume — 71 contracts2016-05-04 : Largest IV spike — 413.8% change2016-05-05 : Highest IV Rank — 93.2%2016-05-31 : Largest Expected Move — 51.8%Monthly Statistics Metric Avg Min Max Open Close Price $16.17 $14.92 $17.19 $17.19 $16.43 Max Pain $10.71 $10.00 $15.00 $15.00 $10.00 ATM IV 104.7% 34.8% 189.7% 36.6% 180.8% Expected Move 28.1% 10.0% 51.8% 10.5% 51.8% HV 20d 36.0% 31.4% 38.5% 36.4% 34.1% HV 60d 38.2% 35.2% 40.0% 40.0% 37.1% IV Rank 49.7% 13.9% 93.2% 14.8% 88.6% IV Percentile 75.0% 30.2% 99.2% 32.5% 98.4% Term Structure -23.8% -135.9% 79.6% 10.4% -58.1% VWIV 98.6% 49.7% 159.0% 91.2% 142.0% Skew 25d 0.1% -79.3% 29.5% -3.0% 12.2% Skew 10d 16.3% -17.8% 61.5% 2.3% 15.2% Call IV 25d 98.5% 33.9% 198.9% 37.6% 160.0% Put IV 25d 98.5% 34.6% 190.2% 34.6% 172.2% Bid-Ask Spread % 140.32 125.21 149.70 132.75 147.85 Gamma HHI 0.71 0.34 0.97 0.76 0.40 Net GEX 2.4K 305 9.5K 1.6K 367 Net DEX -78.6K -117.5K -26.0K -117.5K -39.3K Net VEX -86 -136 -53 -95 -63 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 56.714 21 71 71 21 Total OI 65.905 29 79 79 34
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 2016-05-02 $17.19 $15.00 36.6% 10.5% 36.4% 14.8% 91.2% -3.0% 10.4% 1.6K -117.5K -95 0.00 132.75 71 0 79 0 2016-05-03 $17.08 $15.00 34.8% 10.0% 36.7% 13.9% 63.8% 1.2% 4.7% 2.0K -113.8K -101 0.00 135.71 71 0 79 0 2016-05-04 $17.09 $15.00 178.8% 51.3% 36.7% 87.6% 68.0% -50.3% -135.9% 1.2K -98.4K -127 0.00 139.43 71 0 79 0 2016-05-05 $16.89 $10.00 189.7% 35.0% 36.1% 93.2% 123.6% 18.1% -61.5% 925 -94.7K -136 0.00 140.14 71 0 79 0 2016-05-06 $16.78 $10.00 109.5% 12.5% 35.8% 52.1% 67.4% 16.7% -4.7% 2.5K -101.9K -113 0.00 125.21 71 0 79 0 2016-05-09 $16.37 $10.00 53.1% 12.6% 37.5% 23.3% 71.1% 8.6% -4.9% 2.3K -95.5K -111 0.00 138.20 71 0 79 0 2016-05-10 $16.58 $10.00 123.5% 35.4% 37.5% 59.3% 126.1% 8.8% -59.8% 1.9K -109.6K -93 0.00 144.16 71 0 79 0 2016-05-11 $16.24 $10.00 47.8% 13.7% 38.5% 20.5% 66.3% 10.4% -3.2% 2.9K -105.8K -86 0.00 131.81 71 0 79 0 2016-05-12 $15.76 $10.00 50.7% 14.6% 36.5% 22.1% 77.7% -14.6% -2.9% 4.3K -100.6K -88 0.00 143.88 71 0 79 0 2016-05-13 $15.34 $10.00 49.7% 14.3% 37.2% 21.5% 49.7% -79.3% 26.1% 5.0K -81.4K -97 0.00 137.06 71 0 79 0 2016-05-16 $15.67 $10.00 156.2% 44.8% 37.1% 76.1% 126.6% -9.9% -61.1% 4.5K -98.6K -85 0.00 146.18 71 0 79 0 2016-05-17 $15.78 $10.00 52.0% 14.9% 35.9% 22.7% 52.8% -4.1% -1.3% 4.4K -97.5K -78 0.00 125.29 71 0 79 0 2016-05-18 $15.75 $10.00 151.3% 43.4% 35.8% 73.5% 150.6% 28.4% -89.0% 3.3K -102.9K -74 0.00 145.82 71 0 79 0 2016-05-19 $15.30 $10.00 124.2% 35.6% 36.1% 59.7% 110.9% -21.7% 8.5% 9.5K -94.3K -75 0.00 144.71 71 0 79 0 2016-05-20 $14.92 $10.00 160.4% 46.0% 34.2% 78.2% 159.0% 19.8% -77.1% 317 -27.1K -65 0.00 149.70 71 0 79 0 2016-05-23 $15.14 $10.00 45.1% 12.9% 31.4% 19.2% 65.0% 5.3% 4.9% 914 -26.0K -53 0.00 138.44 21 0 29 0 2016-05-24 $15.97 $10.00 48.2% 13.8% 36.0% 20.8% 50.6% 29.5% 79.6% 935 -36.4K -59 0.00 140.17 21 0 34 0 2016-05-25 $16.32 $10.00 82.8% 23.7% 35.6% 38.5% 0.0% 5.2% 41.1% 593 -34.6K -69 0.00 143.57 21 0 34 0 2016-05-26 $16.36 $10.00 160.7% 46.1% 35.7% 78.4% 155.9% 9.7% -58.4% 305 -37.2K -72 0.00 149.66 21 0 34 0 2016-05-27 $16.59 $10.00 163.4% 46.8% 36.2% 79.7% 153.0% 10.4% -57.4% 310 -38.1K -71 0.00 146.95 21 0 34 0 2016-05-31 $16.43 $10.00 180.8% 51.8% 34.1% 88.6% 142.0% 12.2% -58.1% 367 -39.3K -63 0.00 147.85 21 0 34 0
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