LMNR Options History — November 2016

In November 2016, LMNR traded between $17.96 and $19.74. ATM implied volatility averaged 32.9%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.5% (HV 20d: 28.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2016-11-30: Highest Volume — 118 contracts
2016-11-07: Largest IV spike — 27.6% change
2016-11-08: Highest IV Rank — 16.0%
2016-11-30: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.34	$17.96	$19.74	$19.69	$18.13
Max Pain	$17.74	$17.50	$20.00	$20.00	$17.50
ATM IV	32.9%	25.8%	39.0%	34.2%	38.9%
Expected Move	9.1%	7.4%	11.2%	9.8%	11.2%
HV 20d	28.4%	22.5%	31.3%	29.3%	23.0%
HV 60d	33.6%	30.3%	38.2%	37.7%	32.5%
IV Rank	12.9%	9.3%	16.0%	13.6%	16.0%
IV Percentile	11.8%	0.8%	31.0%	11.5%	31.0%
Term Structure	2.3%	-8.5%	7.0%	3.0%	1.1%
VWIV	32.6%	26.8%	41.0%	36.5%	41.0%
Skew 25d	3.6%	-23.8%	13.7%	6.3%	0.3%
Skew 10d	7.3%	-6.6%	19.2%	6.3%	-1.4%
Call IV 25d	32.6%	26.4%	50.9%	37.2%	41.1%
Put IV 25d	36.3%	26.6%	44.9%	43.5%	41.4%
Bid-Ask Spread %	109.12	99.56	116.37	116.37	111.27
Gamma HHI	0.65	0.48	0.99	0.62	0.99
Net GEX	2.1K	-209	5.1K	248	1.1K
Net DEX	-32.6K	-60.3K	-9.2K	-31.9K	-9.7K
Net VEX	-169	-226	-52	-207	-52
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.23	2.00	2.00	0.23
Total Volume	103.714	51	118	51	118
Total OI	150.619	105	171	105	148

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
2016-11-01	$19.69	$20.00	34.2%	9.8%	29.3%	13.6%	36.5%	6.3%	3.0%	248	-31.9K	-207	2.00	116.37	17	34	58	47
2016-11-02	$19.57	$20.00	30.5%	8.7%	29.2%	11.7%	30.7%	1.6%	4.9%	-209	-26.2K	-212	2.00	114.02	17	34	58	47
2016-11-03	$19.11	$17.50	35.9%	8.9%	30.5%	14.5%	35.3%	8.2%	1.0%	411	-18.4K	-200	2.00	107.05	17	34	58	47
2016-11-04	$18.90	$17.50	30.4%	8.0%	30.8%	11.6%	37.4%	1.6%	3.5%	634	-12.5K	-185	0.41	99.56	83	34	58	47
2016-11-07	$19.21	$17.50	38.8%	9.4%	31.3%	15.9%	31.5%	5.3%	1.5%	1.7K	-20.8K	-226	0.41	109.42	83	34	124	47
2016-11-08	$19.30	$17.50	39.0%	8.4%	30.6%	16.0%	32.1%	12.5%	2.5%	1.8K	-22.5K	-210	0.41	111.25	83	34	124	47
2016-11-09	$19.62	$17.50	32.6%	9.3%	30.2%	12.8%	30.9%	12.2%	1.9%	1.7K	-33.7K	-219	0.41	108.11	83	34	124	47
2016-11-10	$19.61	$17.50	27.6%	7.9%	30.2%	10.2%	30.3%	13.7%	6.2%	1.6K	-30.4K	-190	0.41	111.95	83	34	124	47
2016-11-11	$19.70	$17.50	27.8%	8.0%	28.4%	10.3%	34.4%	11.7%	3.8%	2.3K	-38.4K	-204	0.41	111.72	83	34	124	47
2016-11-14	$19.66	$17.50	32.0%	9.2%	28.4%	12.5%	30.8%	8.2%	5.7%	2.4K	-31.9K	-186	0.41	107.19	83	34	124	47
2016-11-15	$19.68	$17.50	36.2%	10.4%	28.4%	14.6%	36.5%	10.3%	-0.5%	1.9K	-42.8K	-223	0.41	106.12	83	34	124	47
2016-11-16	$19.73	$17.50	32.7%	9.4%	28.4%	12.8%	30.8%	11.3%	4.6%	1.1K	-42.4K	-194	0.41	105.63	83	34	124	47
2016-11-17	$19.74	$17.50	30.3%	8.7%	28.1%	11.6%	30.6%	9.6%	7.0%	119	-37.2K	-173	0.41	104.77	83	34	124	47
2016-11-18	$19.74	$17.50	30.9%	8.9%	28.0%	11.9%	27.6%	0.1%	5.5%	5.1K	-24.0K	-161	0.41	108.51	83	34	124	47
2016-11-21	$19.64	$17.50	25.8%	7.4%	27.9%	9.3%	26.8%	0.3%	4.9%	5.1K	-60.3K	-127	0.28	110.12	81	23	122	25
2016-11-22	$19.69	$17.50	32.7%	9.4%	27.9%	12.8%	29.6%	-1.7%	2.6%	4.9K	-59.2K	-140	0.28	106.98	81	23	122	25
2016-11-23	$19.69	$17.50	33.7%	9.7%	27.5%	13.4%	30.7%	-0.6%	3.3%	4.9K	-59.0K	-139	0.27	110.23	81	22	122	25
2016-11-25	$19.20	$17.50	31.6%	9.1%	26.4%	12.3%	31.8%	-2.1%	0.4%	4.5K	-52.3K	-133	0.27	108.71	81	22	122	26
2016-11-28	$18.49	$17.50	33.7%	9.7%	29.8%	13.3%	37.6%	-23.8%	-5.2%	2.4K	-21.9K	-95	0.27	111.36	81	22	122	26
2016-11-29	$17.96	$17.50	35.7%	10.2%	22.5%	14.3%	32.4%	-8.3%	-8.5%	1.2K	-9.2K	-69	0.27	111.16	81	22	122	26
2016-11-30	$18.13	$17.50	38.9%	11.2%	23.0%	16.0%	41.0%	0.3%	1.1%	1.1K	-9.7K	-52	0.23	111.27	96	22	122	26