LMNR Options History — August 2016

In August 2016, LMNR traded between $16.33 and $19.10. ATM implied volatility averaged 41.5%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 8.8% (HV 20d: 32.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.11.

Notable Days

  • 2016-08-19: Highest Volume — 89 contracts
  • 2016-08-15: Largest IV spike — 59.2% change
  • 2016-08-15: Highest IV Rank — 21.6%
  • 2016-08-15: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.71$16.33$19.10$17.91$16.75
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV41.5%30.9%49.8%44.5%48.9%
Expected Move11.8%8.4%14.3%12.8%14.0%
HV 20d32.7%20.7%45.4%21.0%44.0%
HV 60d34.8%31.9%37.6%33.8%36.9%
IV Rank17.3%11.9%21.6%18.9%21.1%
IV Percentile28.7%2.0%50.0%40.5%47.2%
Term Structure-2.8%-9.4%4.4%-3.3%-9.4%
VWIV41.9%30.8%51.9%40.1%51.5%
Skew 25d8.4%-3.9%19.2%10.1%3.5%
Skew 10d14.3%1.3%31.0%17.2%30.7%
Call IV 25d39.3%32.4%47.4%38.4%47.4%
Put IV 25d47.7%37.7%63.9%48.5%50.9%
Bid-Ask Spread %107.75101.03114.64110.29109.92
Gamma HHI0.500.480.540.510.48
Net GEX3.9K3.0K4.8K3.9K3.3K
Net DEX-73.4K-112.8K-39.3K-80.2K-42.4K
Net VEX-308-355-250-354-250
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.050.190.050.19
Total Volume72.6090897989
Total OI115.913112122112122

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$17.91$0.0044.5%12.8%21.0%18.9%0.0%10.1%-3.3%3.9K-80.2K-3540.05110.297541075
2016-08-02$17.93$0.0044.3%12.7%20.9%18.8%0.0%4.2%-3.9%3.9K-84.8K-3550.05110.007541075
2016-08-03$17.85$0.0045.5%13.1%20.7%19.4%0.0%10.8%-0.4%3.7K-81.5K-3450.05111.397541075
2016-08-04$17.93$17.5041.2%11.7%20.8%17.2%40.1%1.6%0.1%4.1K-80.3K-3470.05107.397541075
2016-08-05$18.14$17.5035.4%13.3%21.2%14.2%46.0%5.3%-5.4%3.9K-89.7K-3490.05101.037541075
2016-08-08$18.93$17.5037.4%8.4%25.9%15.2%33.0%10.5%2.7%4.8K-104.3K-3380.05107.117541075
2016-08-09$18.83$17.5044.1%9.0%25.9%18.7%36.2%8.4%-0.2%4.2K-106.0K-3530.05107.787541075
2016-08-10$18.80$17.5031.3%9.0%25.9%12.1%30.8%7.3%1.3%4.1K-106.6K-3520.05104.717541075
2016-08-11$18.96$17.5030.9%8.8%26.0%11.9%36.9%12.9%0.7%4.4K-108.4K-3430.05105.007541075
2016-08-12$19.10$17.5031.3%9.0%25.0%12.1%34.7%7.5%4.4%4.5K-112.8K-3360.05105.687541075
2016-08-15$18.74$17.5049.8%14.3%25.4%21.6%49.6%11.8%-7.5%4.2K-109.4K-3340.05101.367541075
2016-08-16$18.50$17.5045.0%12.9%24.6%19.1%41.5%8.6%1.8%4.4K-104.5K-3260.05104.277541075
2016-08-17$17.64$17.5039.6%11.3%28.6%16.3%0.0%7.1%-0.6%4.6K-74.8K-2910.00110.85001075
2016-08-18$16.33$17.5045.7%13.1%39.0%19.5%0.0%-3.9%-6.1%3.0K-43.4K-2520.00109.260101075
2016-08-19$17.28$17.5035.6%10.2%44.8%14.3%36.1%2.4%-0.1%4.2K-45.4K-2810.19109.93751410715
2016-08-22$16.86$17.5044.5%12.8%45.4%18.9%44.6%1.5%-2.8%3.4K-44.4K-2790.19109.36751410715
2016-08-23$16.83$17.5038.8%11.1%45.1%16.0%42.1%19.2%-4.5%3.5K-44.4K-2780.19108.23751410715
2016-08-24$16.81$17.5045.0%12.9%45.1%19.1%0.0%10.5%-3.9%3.4K-46.1K-2740.00105.880010715
2016-08-25$16.72$17.5040.1%11.5%44.7%16.6%43.6%12.6%-5.8%3.4K-39.3K-2610.19110.22751410715
2016-08-26$16.79$17.5046.5%13.3%44.3%19.9%51.9%18.9%-9.1%3.3K-47.0K-2700.19108.40751410715
2016-08-29$16.88$17.5044.7%12.8%44.0%19.0%48.6%11.5%-5.0%3.7K-47.8K-2670.19105.58751410715
2016-08-30$16.80$17.5044.4%12.7%44.0%18.8%45.4%10.1%-6.7%3.8K-43.7K-2500.19114.64751410715
2016-08-31$16.75$17.5048.9%14.0%44.0%21.1%51.5%3.5%-9.4%3.3K-42.4K-2500.19109.92751410715