LMNR Options History — January 2017

In January 2017, LMNR traded between $16.70 and $21.60. ATM implied volatility averaged 37.2%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 9.1% (HV 20d: 46.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.24.

Notable Days

2017-01-10: Highest Volume — 310 contracts
2017-01-11: Largest IV drop — 49.3% change
2017-01-10: Highest IV Rank — 24.9%
2017-01-06: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.73	$16.70	$21.60	$21.48	$17.10
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	37.2%	28.3%	56.3%	39.9%	33.8%
Expected Move	10.1%	8.1%	11.5%	11.4%	9.7%
HV 20d	46.2%	25.8%	58.2%	25.8%	53.4%
HV 60d	35.2%	27.1%	40.3%	27.1%	38.5%
IV Rank	15.1%	10.6%	24.9%	16.5%	13.4%
IV Percentile	31.6%	2.8%	75.0%	41.7%	19.4%
Term Structure	2.0%	-8.5%	11.2%	-8.5%	3.5%
VWIV	37.7%	28.5%	47.6%	47.6%	36.4%
Skew 25d	1.5%	-20.2%	15.5%	8.3%	-3.2%
Skew 10d	8.0%	-15.8%	28.5%	9.5%	-0.3%
Call IV 25d	36.7%	30.7%	49.3%	42.4%	37.0%
Put IV 25d	38.2%	29.1%	50.7%	50.7%	33.8%
Bid-Ask Spread %	104.07	91.78	111.51	105.88	111.51
Gamma HHI	0.47	0.38	0.73	0.51	0.44
Net GEX	583	-901	14.4K	-462	-544
Net DEX	9.3K	-228.1K	62.4K	-14.3K	30.6K
Net VEX	-335	-520	-251	-262	-350
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.33	2.21	2.17	1.43
Total Volume	164.25	76	310	76	107
Total OI	150.3	76	322	76	107

Daily Data (20 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
2017-01-03	$21.48	$17.50	39.9%	11.4%	25.8%	16.5%	47.6%	8.3%	-8.5%	-462	-14.3K	-262	2.17	105.88	24	52	24	52
2017-01-04	$21.60	$17.50	28.3%	8.1%	25.8%	10.6%	44.3%	9.4%	-1.6%	-585	-17.2K	-251	2.17	110.05	24	52	24	52
2017-01-05	$20.95	$0.00	41.8%	10.6%	28.5%	17.5%	0.0%	1.1%	1.5%	-391	-11.2K	-290	2.17	100.71	24	52	24	52
2017-01-06	$20.74	$0.00	38.3%	11.5%	29.0%	15.7%	0.0%	-0.5%	2.4%	-449	-7.4K	-290	2.17	99.10	24	52	24	52
2017-01-09	$20.70	$0.00	42.4%	10.6%	26.3%	17.8%	0.0%	4.2%	5.0%	-509	-5.2K	-295	2.21	97.43	24	53	24	52
2017-01-10	$21.28	$0.00	56.3%	8.5%	27.7%	24.9%	37.8%	11.2%	3.6%	-147	-12.8K	-278	0.45	102.43	214	96	27	53
2017-01-11	$20.94	$17.50	28.6%	8.2%	27.6%	10.7%	32.6%	3.4%	10.3%	14.4K	-228.1K	-520	0.41	104.16	193	80	223	99
2017-01-12	$18.30	$17.50	31.2%	8.9%	56.0%	12.0%	28.5%	-5.3%	11.2%	3.6K	-8.2K	-435	0.34	105.83	193	66	169	82
2017-01-13	$18.26	$17.50	35.4%	10.1%	56.0%	14.2%	34.5%	-0.5%	0.6%	805	48.4K	-320	0.39	104.94	197	76	169	71
2017-01-17	$18.19	$17.50	38.8%	11.1%	55.9%	16.0%	36.8%	-0.8%	4.2%	-25	50.6K	-352	0.39	100.81	197	76	173	81
2017-01-18	$17.84	$17.50	34.6%	9.9%	55.6%	13.8%	32.9%	2.0%	5.2%	50	54.2K	-340	0.33	103.41	197	65	173	81
2017-01-19	$17.35	$17.50	35.4%	10.2%	56.1%	14.2%	35.0%	4.9%	2.5%	9	62.4K	-330	0.33	104.30	197	65	173	81
2017-01-20	$17.21	$17.50	36.4%	10.4%	56.1%	14.7%	45.5%	-20.2%	-7.1%	-600	60.2K	-323	0.34	104.58	197	66	173	80
2017-01-23	$16.70	$17.50	38.1%	10.9%	56.4%	15.6%	41.6%	0.7%	-1.7%	-901	40.2K	-307	1.85	102.99	34	63	33	63
2017-01-24	$17.10	$17.50	37.6%	10.8%	57.5%	15.3%	37.4%	-3.5%	3.3%	-716	37.4K	-321	1.85	108.99	34	63	34	63
2017-01-25	$17.43	$17.50	35.6%	10.2%	58.2%	14.3%	35.2%	15.5%	4.3%	-590	33.5K	-328	1.43	91.78	44	63	34	63
2017-01-26	$17.30	$17.50	36.4%	10.4%	58.0%	14.7%	36.0%	3.9%	3.2%	-397	20.9K	-378	1.43	106.26	44	63	44	63
2017-01-27	$17.18	$17.50	37.3%	10.7%	57.4%	15.2%	37.9%	3.2%	0.5%	-426	22.4K	-371	1.43	108.19	44	63	44	63
2017-01-30	$16.86	$17.50	37.2%	10.7%	57.5%	15.1%	41.3%	-3.2%	-1.7%	-527	29.4K	-357	1.43	108.06	44	63	44	63
2017-01-31	$17.10	$17.50	33.8%	9.7%	53.4%	13.4%	36.4%	-3.2%	3.5%	-544	30.6K	-350	1.43	111.51	44	63	44	63