LMNR Options History — October 2016

In October 2016, LMNR traded between $18.60 and $19.71. ATM implied volatility averaged 33.7%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.2% (HV 20d: 32.5%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.16.

Notable Days

2016-10-12: Highest Volume — 112 contracts
2016-10-21: Largest IV spike — 24.5% change
2016-10-28: Highest IV Rank — 17.7%
2016-10-28: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.24	$18.60	$19.71	$18.70	$19.70
Max Pain	$18.93	$12.50	$20.00	$12.50	$20.00
ATM IV	33.7%	27.5%	42.2%	37.6%	32.9%
Expected Move	9.6%	7.9%	12.1%	10.8%	9.4%
HV 20d	32.5%	21.8%	42.0%	42.0%	29.3%
HV 60d	36.8%	36.2%	38.7%	36.9%	38.7%
IV Rank	13.3%	10.1%	17.7%	15.3%	12.9%
IV Percentile	8.9%	0.8%	34.5%	13.9%	7.9%
Term Structure	-2.3%	-21.6%	5.3%	-4.9%	5.3%
VWIV	31.8%	22.3%	43.0%	43.0%	42.1%
Skew 25d	5.8%	-18.6%	26.7%	1.1%	26.7%
Skew 10d	22.1%	0.0%	69.8%	10.2%	27.9%
Call IV 25d	32.9%	27.8%	44.8%	42.5%	32.4%
Put IV 25d	38.6%	26.2%	59.1%	43.6%	59.1%
Bid-Ask Spread %	109.20	100.26	113.48	111.61	110.75
Gamma HHI	0.61	0.42	0.98	0.51	0.98
Net GEX	2.1K	323	5.7K	3.2K	1.2K
Net DEX	-90.9K	-142.0K	-3.7K	-101.7K	-31.4K
Net VEX	-262	-334	-197	-334	-197
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.45	1.89	1.40	1.89
Total Volume	79.333	52	112	60	52
Total OI	141.381	105	161	149	105

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
2016-10-03	$18.70	$12.50	37.6%	10.8%	42.0%	15.3%	43.0%	1.1%	-4.9%	3.2K	-101.7K	-334	1.40	111.61	25	35	112	37
2016-10-04	$18.73	$12.50	40.5%	11.6%	42.0%	16.8%	39.1%	8.6%	-9.5%	5.7K	-108.8K	-288	1.40	108.62	25	35	112	37
2016-10-05	$18.98	$12.50	34.6%	9.9%	41.9%	13.8%	22.3%	9.3%	3.4%	3.9K	-108.9K	-287	1.52	110.96	23	35	112	37
2016-10-06	$19.06	$20.00	37.9%	10.6%	37.2%	15.5%	35.6%	7.4%	-4.9%	3.4K	-106.5K	-312	1.52	104.92	23	35	112	37
2016-10-07	$19.05	$20.00	32.1%	9.1%	28.9%	12.5%	28.8%	5.9%	-4.2%	3.7K	-115.8K	-299	1.52	100.26	23	35	112	37
2016-10-10	$19.10	$20.00	35.4%	9.2%	28.9%	14.2%	28.7%	11.5%	-4.7%	3.7K	-119.8K	-278	1.52	103.38	23	35	112	37
2016-10-11	$19.46	$20.00	30.5%	9.2%	29.6%	11.7%	31.6%	14.1%	2.3%	2.0K	-124.7K	-299	0.49	108.90	71	35	112	48
2016-10-12	$19.06	$20.00	33.9%	9.7%	30.4%	13.5%	34.8%	5.9%	0.2%	2.8K	-103.7K	-301	0.45	109.97	77	35	110	48
2016-10-13	$19.16	$20.00	34.6%	9.9%	30.5%	13.8%	32.9%	4.5%	-5.0%	2.9K	-107.2K	-283	0.45	109.95	77	35	113	48
2016-10-14	$19.71	$20.00	29.7%	8.5%	32.0%	11.3%	28.0%	11.5%	-0.5%	2.2K	-126.4K	-273	0.45	107.19	77	35	113	48
2016-10-17	$19.61	$20.00	33.3%	9.5%	32.1%	13.1%	34.1%	8.2%	0.8%	1.8K	-128.8K	-266	0.45	107.87	77	35	113	48
2016-10-18	$19.68	$20.00	33.7%	9.7%	32.1%	13.3%	33.9%	7.0%	0.3%	1.4K	-132.5K	-256	0.45	107.91	77	35	113	48
2016-10-19	$19.70	$20.00	29.6%	8.5%	32.1%	11.2%	29.7%	8.7%	3.2%	625	-142.0K	-241	0.45	107.62	77	35	113	48
2016-10-20	$19.48	$20.00	27.5%	7.9%	32.4%	10.1%	25.3%	1.6%	3.6%	2.2K	-130.0K	-231	0.45	111.62	77	35	113	48
2016-10-21	$19.55	$20.00	34.2%	9.8%	32.3%	13.6%	34.0%	-3.3%	-1.1%	443	-132.6K	-242	0.45	109.95	77	35	113	48
2016-10-24	$19.38	$20.00	30.6%	8.8%	32.1%	11.8%	28.9%	-4.8%	-1.1%	476	-24.4K	-239	1.89	112.01	18	34	58	47
2016-10-25	$19.48	$20.00	31.5%	9.0%	32.1%	12.2%	30.1%	2.3%	0.9%	323	-23.6K	-229	1.89	113.48	18	34	58	47
2016-10-26	$19.25	$20.00	29.4%	8.4%	32.4%	11.2%	29.7%	3.8%	1.0%	359	-24.8K	-230	1.89	113.30	18	34	58	47
2016-10-27	$18.63	$20.00	35.2%	10.1%	29.5%	14.1%	25.2%	-18.6%	-21.6%	1.1K	-10.9K	-210	1.89	111.85	18	34	58	47
2016-10-28	$18.60	$20.00	42.2%	12.1%	21.8%	17.7%	30.5%	9.7%	-11.7%	655	-3.7K	-205	1.89	111.05	18	34	58	47
2016-10-31	$19.70	$20.00	32.9%	9.4%	29.3%	12.9%	42.1%	26.7%	5.3%	1.2K	-31.4K	-197	1.89	110.75	18	34	58	47