LMNR Options History — July 2016

In July 2016, LMNR traded between $17.68 and $18.40. ATM implied volatility averaged 41.2%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 8.3% (HV 20d: 32.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.07.

Notable Days

2016-07-01: Highest Volume — 101 contracts
2016-07-13: Largest IV drop — 24.7% change
2016-07-12: Highest IV Rank — 24.4%
2016-07-18: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.04	$17.68	$18.40	$18.05	$17.68
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	41.2%	34.1%	55.3%	37.8%	37.2%
Expected Move	11.2%	9.8%	12.0%	10.8%	10.7%
HV 20d	32.9%	22.1%	43.2%	43.2%	22.2%
HV 60d	35.6%	33.4%	37.8%	37.8%	33.8%
IV Rank	17.2%	13.5%	24.4%	15.5%	15.1%
IV Percentile	29.4%	10.7%	58.3%	21.4%	13.5%
Term Structure	3.4%	-2.7%	13.3%	-0.1%	4.5%
VWIV	36.6%	36.6%	36.6%	36.6%	36.6%
Skew 25d	3.4%	-4.5%	10.0%	4.5%	10.0%
Skew 10d	5.7%	-2.4%	19.7%	4.7%	19.7%
Call IV 25d	37.4%	29.8%	46.4%	35.3%	32.4%
Put IV 25d	40.8%	35.6%	45.9%	39.8%	42.5%
Bid-Ask Spread %	109.09	101.15	135.28	112.40	135.28
Gamma HHI	0.54	0.51	0.57	0.52	0.51
Net GEX	3.0K	2.6K	3.7K	2.8K	3.6K
Net DEX	-78.5K	-89.0K	-66.7K	-77.4K	-83.2K
Net VEX	-308	-362	-275	-337	-352
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.05	0.08	0.07	0.05
Total Volume	89.7	76	101	101	79
Total OI	101.3	87	111	111	109

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
2016-07-01	$18.05	$17.50	37.8%	10.8%	43.2%	15.5%	36.6%	4.5%	-0.1%	2.8K	-77.4K	-337	0.07	112.40	94	7	101	10
2016-07-05	$18.11	$0.00	42.6%	10.5%	42.5%	17.9%	0.0%	3.5%	4.7%	2.8K	-78.8K	-329	0.07	106.81	94	7	101	10
2016-07-06	$17.94	$0.00	39.7%	10.5%	42.7%	16.4%	0.0%	1.5%	7.5%	2.6K	-79.2K	-329	0.07	109.73	94	7	101	10
2016-07-07	$18.00	$0.00	49.2%	12.0%	40.8%	21.3%	0.0%	-4.5%	1.3%	2.8K	-79.2K	-326	0.07	111.09	94	7	101	10
2016-07-08	$18.02	$0.00	40.6%	11.7%	37.0%	16.9%	0.0%	3.6%	1.1%	2.7K	-82.5K	-321	0.07	104.57	94	7	101	10
2016-07-11	$18.01	$0.00	48.6%	10.0%	36.5%	20.9%	0.0%	2.0%	11.1%	2.6K	-80.1K	-313	0.07	107.07	94	7	101	10
2016-07-12	$17.88	$0.00	55.3%	11.7%	33.9%	24.4%	0.0%	4.5%	2.9%	2.6K	-77.3K	-311	0.07	108.89	94	7	101	10
2016-07-13	$17.96	$0.00	41.6%	11.9%	33.5%	17.4%	0.0%	0.9%	1.1%	2.7K	-76.4K	-303	0.07	109.37	94	7	101	10
2016-07-14	$18.00	$0.00	39.1%	11.2%	31.9%	16.1%	0.0%	5.7%	1.4%	2.9K	-80.7K	-301	0.07	104.57	94	7	101	10
2016-07-15	$18.40	$0.00	34.5%	9.9%	32.9%	13.8%	0.0%	-2.3%	13.3%	3.2K	-89.0K	-294	0.08	110.31	89	7	101	10
2016-07-18	$18.12	$0.00	42.0%	12.0%	31.9%	17.6%	0.0%	1.1%	0.4%	3.2K	-75.2K	-290	0.07	108.48	72	5	84	3
2016-07-19	$17.75	$0.00	41.9%	12.0%	31.4%	17.5%	0.0%	4.6%	-2.1%	3.1K	-72.4K	-285	0.07	110.48	72	5	84	3
2016-07-20	$18.23	$0.00	34.1%	9.8%	32.8%	13.5%	0.0%	7.7%	10.4%	3.2K	-75.4K	-288	0.07	106.96	72	5	84	3
2016-07-21	$18.35	$0.00	39.8%	11.4%	32.8%	16.4%	0.0%	-1.4%	0.8%	3.1K	-80.9K	-295	0.07	101.15	72	5	84	3
2016-07-22	$18.35	$0.00	41.3%	11.8%	32.0%	17.2%	0.0%	3.5%	0.4%	3.1K	-79.7K	-288	0.07	102.20	72	5	84	3
2016-07-25	$18.17	$0.00	40.0%	11.5%	31.2%	16.5%	0.0%	0.7%	2.2%	3.2K	-77.9K	-279	0.07	105.89	72	5	84	3
2016-07-26	$17.84	$0.00	40.1%	11.5%	23.6%	16.6%	0.0%	6.6%	4.5%	2.9K	-72.3K	-275	0.06	109.01	72	4	84	3
2016-07-27	$17.80	$0.00	41.2%	11.8%	23.6%	17.2%	0.0%	7.1%	-2.7%	3.2K	-66.7K	-275	0.05	105.31	82	4	84	5
2016-07-28	$18.05	$0.00	38.2%	10.9%	22.1%	15.6%	0.0%	7.9%	4.5%	3.7K	-84.9K	-362	0.05	112.28	82	4	104	5
2016-07-29	$17.68	$0.00	37.2%	10.7%	22.2%	15.1%	0.0%	10.0%	4.5%	3.6K	-83.2K	-352	0.05	135.28	75	4	104	5