LMNR Options History — December 2016

In December 2016, LMNR traded between $17.96 and $21.41. ATM implied volatility averaged 36.5%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 10.4% (HV 20d: 26.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.98.

Notable Days

2016-12-16: Highest Volume — 129 contracts
2016-12-14: Largest IV drop — 45.6% change
2016-12-13: Highest IV Rank — 23.3%
2016-12-01: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.55	$17.96	$21.41	$17.96	$21.41
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	36.5%	28.4%	53.2%	42.4%	35.3%
Expected Move	10.2%	8.1%	12.2%	12.2%	10.1%
HV 20d	26.0%	20.3%	29.4%	23.1%	25.7%
HV 60d	28.4%	25.0%	32.5%	32.5%	27.1%
IV Rank	14.8%	10.6%	23.3%	17.8%	14.1%
IV Percentile	25.7%	2.8%	64.3%	42.5%	23.8%
Term Structure	-0.8%	-10.5%	4.8%	-2.6%	-10.5%
VWIV	38.9%	32.1%	54.1%	42.9%	46.2%
Skew 25d	6.5%	-1.6%	14.2%	1.9%	3.6%
Skew 10d	18.4%	-0.5%	47.8%	3.2%	8.3%
Call IV 25d	34.6%	27.0%	45.4%	41.5%	41.4%
Put IV 25d	41.1%	32.4%	48.0%	43.4%	45.0%
Bid-Ask Spread %	107.90	101.30	121.17	111.82	108.36
Gamma HHI	0.74	0.50	0.96	0.87	0.50
Net GEX	2.2K	-533	6.5K	1.5K	-316
Net DEX	-24.0K	-65.7K	6.1K	-16.5K	-10.7K
Net VEX	-171	-325	-65	-103	-296
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.09	2.26	0.23	2.17
Total Volume	99.476	25	129	118	76
Total OI	118.524	25	163	163	76

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
2016-12-01	$17.96	$17.50	42.4%	12.2%	23.1%	17.8%	42.9%	1.9%	-2.6%	1.5K	-16.5K	-103	0.23	111.82	96	22	137	26
2016-12-02	$18.14	$17.50	35.6%	10.2%	22.4%	14.3%	38.4%	0.3%	1.3%	1.5K	-20.3K	-98	0.23	110.82	97	22	137	26
2016-12-05	$18.36	$0.00	36.5%	11.8%	22.8%	14.8%	0.0%	-1.1%	-3.1%	65	-21.9K	-65	0.23	102.26	97	22	134	26
2016-12-06	$18.80	$0.00	29.2%	9.3%	23.7%	11.0%	0.0%	7.4%	-0.0%	3.0K	-29.7K	-94	0.23	104.47	97	22	134	26
2016-12-07	$18.92	$0.00	33.2%	8.8%	23.7%	13.1%	0.0%	7.0%	-0.4%	3.6K	-34.1K	-100	0.23	104.26	97	22	134	26
2016-12-08	$19.65	$0.00	30.3%	8.9%	26.8%	11.6%	0.0%	14.2%	2.2%	6.5K	-61.1K	-114	0.23	105.53	97	22	134	26
2016-12-09	$19.72	$0.00	34.9%	9.1%	26.8%	14.0%	0.0%	10.3%	0.7%	6.4K	-65.7K	-115	0.23	113.16	97	22	134	26
2016-12-12	$19.37	$0.00	39.6%	9.4%	27.5%	16.4%	0.0%	11.6%	2.1%	5.2K	-35.7K	-92	0.22	109.15	102	22	126	26
2016-12-13	$19.70	$0.00	53.2%	10.8%	28.2%	23.3%	0.0%	9.5%	1.7%	6.0K	-55.0K	-121	0.22	104.62	102	22	131	26
2016-12-14	$19.54	$0.00	28.9%	8.3%	28.4%	10.9%	32.2%	11.0%	1.2%	6.2K	-47.1K	-112	0.21	108.82	104	22	131	26
2016-12-15	$19.36	$17.50	41.7%	12.0%	28.5%	17.4%	32.4%	9.0%	-7.2%	6.0K	-49.7K	-110	0.21	101.97	104	22	134	26
2016-12-16	$19.72	$17.50	32.4%	9.3%	29.4%	12.7%	35.5%	14.0%	3.6%	973	-25.6K	-90	0.24	107.44	104	25	134	26
2016-12-19	$19.75	$17.50	28.4%	8.1%	29.4%	10.6%	32.1%	12.6%	2.1%	898	-22.2K	-94	0.09	111.61	23	2	23	2
2016-12-20	$19.75	$17.50	32.6%	9.3%	29.3%	12.7%	33.8%	9.6%	-2.1%	833	-21.6K	-93	2.26	109.00	23	52	23	2
2016-12-21	$19.89	$17.50	39.8%	11.4%	29.4%	16.5%	38.5%	0.8%	0.4%	-407	6.1K	-325	2.26	108.17	23	52	23	52
2016-12-22	$19.89	$17.50	41.1%	11.8%	29.4%	17.1%	40.4%	2.2%	0.6%	-420	4.7K	-324	2.26	105.38	23	52	23	52
2016-12-23	$19.92	$17.50	35.9%	10.3%	27.8%	14.4%	35.6%	4.7%	4.8%	-468	3.5K	-322	2.26	112.07	23	52	23	52
2016-12-27	$20.04	$17.50	40.1%	11.5%	23.5%	16.6%	39.5%	0.3%	-5.3%	-533	3.3K	-308	2.26	104.57	23	52	23	52
2016-12-28	$20.34	$17.50	39.1%	11.2%	20.3%	16.1%	43.4%	9.4%	-0.9%	-508	818	-304	2.17	101.30	24	52	23	52
2016-12-29	$20.30	$17.50	35.4%	10.2%	20.5%	14.2%	54.1%	-1.6%	-4.6%	-336	-4.7K	-305	2.17	121.17	24	52	24	52
2016-12-30	$21.41	$17.50	35.3%	10.1%	25.7%	14.1%	46.2%	3.6%	-10.5%	-316	-10.7K	-296	2.17	108.36	24	52	24	52