LMNR Options History — June 2016

In June 2016, LMNR traded between $16.52 and $19.09. ATM implied volatility averaged 51.7%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 14.4% (HV 20d: 37.3%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.19.

Notable Days

2016-06-16: Highest Volume — 162 contracts
2016-06-07: Largest IV spike — 86.2% change
2016-06-07: Highest IV Rank — 69.7%
2016-06-10: Largest Expected Move — 23.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.69	$16.52	$19.09	$16.67	$17.62
Max Pain	$16.76	$10.00	$17.50	$10.00	$17.50
ATM IV	51.7%	30.7%	143.9%	54.5%	40.1%
Expected Move	13.0%	8.8%	23.1%	15.6%	11.5%
HV 20d	37.3%	34.2%	42.8%	34.6%	42.8%
HV 60d	34.8%	31.3%	37.8%	36.6%	37.8%
IV Rank	22.6%	11.8%	69.7%	24.0%	16.6%
IV Percentile	42.7%	7.5%	91.3%	59.1%	30.2%
Term Structure	-1.4%	-26.1%	13.4%	4.3%	2.3%
VWIV	48.7%	34.6%	93.9%	93.9%	43.9%
Skew 25d	6.1%	-38.0%	28.9%	4.3%	3.9%
Skew 10d	12.7%	-3.1%	64.5%	18.3%	7.3%
Call IV 25d	46.8%	29.4%	147.4%	51.7%	45.7%
Put IV 25d	52.9%	38.8%	120.4%	56.0%	49.6%
Bid-Ask Spread %	121.64	103.29	140.82	138.98	115.64
Gamma HHI	0.53	0.38	0.79	0.55	0.52
Net GEX	1.8K	248	3.2K	790	2.7K
Net DEX	-69.1K	-123.6K	-41.2K	-43.4K	-68.0K
Net VEX	-232	-374	-41	-57	-339
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	0.71	0.00	0.07
Total Volume	92.318	21	162	21	101
Total OI	103.955	34	202	34	111

Daily Data (22 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
2016-06-01	$16.67	$10.00	54.5%	15.6%	34.6%	24.0%	93.9%	4.3%	4.3%	790	-43.4K	-57	0.00	138.98	21	0	34	0
2016-06-02	$16.65	$0.00	61.6%	10.5%	34.5%	27.6%	0.0%	3.9%	-3.2%	762	-41.7K	-57	0.00	129.04	21	0	34	0
2016-06-03	$16.52	$0.00	58.1%	11.4%	34.4%	25.8%	0.0%	18.8%	-0.8%	751	-43.0K	-53	0.00	137.69	21	0	34	0
2016-06-06	$16.96	$0.00	77.3%	13.2%	35.7%	35.7%	0.0%	13.3%	-4.6%	948	-44.0K	-50	0.00	133.16	21	0	34	0
2016-06-07	$17.02	$0.00	143.9%	21.4%	34.4%	69.7%	0.0%	3.5%	-17.8%	531	-41.2K	-58	0.00	140.07	21	0	34	0
2016-06-08	$17.65	$0.00	61.5%	17.6%	36.4%	27.6%	57.3%	28.5%	-26.1%	736	-55.6K	-41	0.23	134.81	26	6	37	0
2016-06-09	$18.50	$17.50	53.5%	15.4%	38.4%	23.5%	62.6%	28.9%	-13.6%	771	-63.3K	-58	0.50	139.16	74	37	42	4
2016-06-10	$18.17	$17.50	80.5%	23.1%	37.1%	37.3%	92.2%	-38.0%	-23.7%	1.2K	-56.3K	-173	0.52	137.11	90	47	92	45
2016-06-13	$18.84	$15.00	30.7%	8.8%	36.1%	11.8%	34.6%	16.4%	13.4%	2.5K	-89.1K	-200	0.71	111.86	63	45	110	45
2016-06-14	$19.09	$15.00	36.8%	10.6%	35.9%	14.9%	42.3%	6.3%	0.8%	3.2K	-83.1K	-200	0.43	107.68	104	45	100	47
2016-06-15	$18.52	$17.50	43.4%	12.4%	38.6%	18.3%	44.6%	4.1%	7.3%	248	-116.8K	-312	0.39	108.95	114	45	140	47
2016-06-16	$18.65	$17.50	43.4%	12.4%	38.5%	18.3%	43.0%	7.5%	6.2%	1.4K	-123.6K	-348	0.42	103.29	114	48	150	47
2016-06-17	$18.16	$17.50	38.3%	11.0%	38.2%	15.7%	38.0%	8.4%	6.9%	2.5K	-116.6K	-341	0.39	109.14	114	45	150	52
2016-06-20	$17.70	$17.50	43.3%	12.4%	38.2%	18.3%	41.3%	9.5%	-1.4%	2.8K	-74.8K	-366	0.07	112.24	94	7	99	12
2016-06-21	$17.78	$17.50	37.1%	10.6%	38.2%	15.1%	39.7%	3.9%	4.8%	2.6K	-72.3K	-374	0.07	115.02	94	7	101	12
2016-06-22	$17.81	$17.50	41.9%	12.0%	34.3%	17.5%	41.3%	7.8%	2.5%	2.6K	-72.5K	-372	0.07	111.41	94	7	101	12
2016-06-23	$18.19	$17.50	37.6%	10.8%	34.2%	15.3%	37.6%	1.7%	3.4%	2.9K	-79.7K	-372	0.07	112.43	94	7	101	12
2016-06-24	$17.81	$17.50	38.3%	11.0%	35.5%	15.7%	38.8%	-0.3%	2.7%	2.8K	-68.9K	-360	0.07	140.82	94	7	101	12
2016-06-27	$16.81	$17.50	43.9%	12.6%	41.5%	18.6%	42.5%	-2.6%	-0.6%	2.4K	-56.7K	-332	0.07	112.58	94	7	101	12
2016-06-28	$16.76	$17.50	38.1%	10.9%	41.4%	15.6%	42.0%	-5.2%	4.7%	2.5K	-53.7K	-323	0.07	111.87	94	7	101	10
2016-06-29	$17.23	$17.50	34.6%	9.9%	42.2%	13.8%	40.5%	8.7%	1.8%	2.5K	-56.5K	-323	0.07	113.09	94	7	101	10
2016-06-30	$17.62	$17.50	40.1%	11.5%	42.8%	16.6%	43.9%	3.9%	2.3%	2.7K	-68.0K	-339	0.07	115.64	94	7	101	10