LMNR Options History — September 2016

In September 2016, LMNR traded between $16.80 and $19.10. ATM implied volatility averaged 40.4%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 0.5% (HV 20d: 39.9%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2016-09-08: Highest Volume — 170 contracts
2016-09-14: Largest IV drop — 32.7% change
2016-09-12: Highest IV Rank — 27.5%
2016-09-07: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.44	$16.80	$19.10	$16.80	$19.02
Max Pain	$13.25	$12.50	$17.50	$17.50	$12.50
ATM IV	40.4%	27.5%	61.3%	43.1%	36.2%
Expected Move	10.4%	7.9%	12.5%	12.4%	10.4%
HV 20d	39.9%	30.8%	52.2%	44.0%	41.2%
HV 60d	35.6%	33.5%	37.8%	36.1%	36.7%
IV Rank	16.7%	10.2%	27.5%	18.2%	14.6%
IV Percentile	22.2%	0.8%	65.5%	32.5%	10.3%
Term Structure	-3.7%	-13.0%	7.1%	-9.2%	-5.1%
VWIV	35.5%	24.8%	52.4%	46.7%	29.9%
Skew 25d	7.0%	-4.4%	21.7%	3.6%	11.5%
Skew 10d	11.2%	-10.1%	44.0%	22.4%	13.8%
Call IV 25d	38.2%	25.8%	53.4%	46.7%	40.4%
Put IV 25d	45.2%	36.8%	53.4%	50.3%	52.0%
Bid-Ask Spread %	105.43	93.49	111.71	110.87	107.16
Gamma HHI	0.51	0.46	0.57	0.51	0.50
Net GEX	5.4K	3.4K	14.4K	3.5K	3.5K
Net DEX	-133.2K	-292.4K	-36.3K	-36.3K	-102.9K
Net VEX	-310	-452	-236	-236	-327
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.09	1.40	0.19	1.40
Total Volume	84.571	47	170	89	60
Total OI	182.619	122	314	122	149

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
2016-09-01	$16.80	$17.50	43.1%	12.4%	44.0%	18.2%	46.7%	3.6%	-9.2%	3.5K	-36.3K	-236	0.19	110.87	75	14	107	15
2016-09-02	$16.80	$17.50	43.0%	12.3%	43.6%	18.1%	52.4%	-0.0%	-4.6%	3.9K	-38.9K	-236	0.18	108.90	79	14	107	15
2016-09-06	$16.89	$0.00	55.0%	12.2%	40.2%	24.3%	42.7%	11.0%	-2.1%	4.7K	-48.6K	-249	0.17	100.48	84	14	153	15
2016-09-07	$16.80	$17.50	54.4%	12.5%	40.2%	24.0%	49.5%	15.3%	-9.7%	4.9K	-48.7K	-243	0.16	95.79	87	14	158	15
2016-09-08	$17.80	$12.50	53.9%	11.8%	46.1%	23.7%	41.2%	15.9%	-1.0%	7.0K	-83.8K	-251	0.09	93.49	156	14	163	15
2016-09-09	$19.02	$12.50	47.4%	9.3%	52.2%	20.4%	29.9%	7.4%	-5.3%	12.5K	-267.0K	-452	0.22	100.64	120	26	250	17
2016-09-12	$19.00	$12.50	61.3%	11.5%	52.1%	27.5%	36.7%	4.7%	-2.0%	14.4K	-292.4K	-444	0.36	107.48	78	28	284	28
2016-09-13	$18.96	$12.50	47.6%	9.4%	51.6%	20.5%	32.8%	3.7%	-4.7%	9.9K	-277.0K	-331	0.36	107.76	78	28	284	30
2016-09-14	$18.80	$12.50	32.0%	9.2%	51.5%	12.5%	33.2%	6.5%	0.9%	7.8K	-202.9K	-336	0.42	100.79	67	28	246	30
2016-09-15	$18.86	$12.50	32.6%	9.3%	48.2%	12.8%	36.6%	8.2%	-1.7%	3.8K	-207.3K	-311	0.42	110.55	67	28	245	30
2016-09-16	$18.95	$12.50	33.7%	9.7%	37.7%	13.3%	31.5%	1.8%	-2.5%	4.1K	-209.1K	-312	0.42	106.66	67	28	245	30
2016-09-19	$18.96	$12.50	39.4%	11.3%	33.0%	16.2%	41.6%	4.4%	-5.0%	3.8K	-123.7K	-308	0.47	96.34	32	15	109	15
2016-09-20	$18.98	$12.50	35.5%	10.2%	31.2%	14.3%	29.6%	4.6%	-13.0%	4.0K	-119.1K	-302	0.81	103.75	32	26	109	15
2016-09-21	$18.96	$12.50	27.5%	7.9%	31.1%	10.2%	26.9%	21.7%	7.1%	3.7K	-108.4K	-322	0.81	111.71	32	26	109	26
2016-09-22	$18.96	$12.50	30.6%	8.8%	31.1%	11.8%	24.8%	3.8%	-2.1%	3.6K	-113.7K	-319	0.81	107.03	32	26	109	26
2016-09-23	$19.10	$12.50	33.8%	9.7%	30.8%	13.4%	24.8%	8.7%	-1.9%	3.6K	-111.3K	-309	0.81	108.33	32	26	109	26
2016-09-26	$18.83	$12.50	34.4%	9.9%	31.7%	13.7%	36.5%	5.4%	-1.5%	3.9K	-104.8K	-309	0.81	110.59	32	26	109	26
2016-09-27	$18.83	$12.50	37.0%	10.6%	31.8%	15.0%	33.6%	-0.5%	-8.3%	3.4K	-110.1K	-300	0.81	110.27	32	26	109	26
2016-09-28	$18.90	$12.50	32.5%	9.3%	31.5%	12.7%	29.9%	12.9%	0.9%	3.8K	-107.3K	-295	1.09	107.89	32	35	109	26
2016-09-29	$18.00	$12.50	36.5%	10.5%	37.0%	14.8%	34.5%	-4.4%	-6.9%	4.1K	-84.1K	-327	1.40	107.51	25	35	109	37
2016-09-30	$19.02	$12.50	36.2%	10.4%	41.2%	14.6%	29.9%	11.5%	-5.1%	3.5K	-102.9K	-327	1.40	107.16	25	35	112	37