LMNR Options History — February 2017

In February 2017, LMNR traded between $16.95 and $18.78. ATM implied volatility averaged 39.1%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.9% (HV 20d: 36.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.54.

Notable Days

2017-02-28: Highest Volume — 144 contracts
2017-02-24: Largest IV spike — 76.2% change
2017-02-28: Highest IV Rank — 18.5%
2017-02-28: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.85	$16.95	$18.78	$16.95	$18.29
Max Pain	$17.11	$15.00	$17.50	$17.50	$17.50
ATM IV	39.1%	24.4%	43.8%	37.8%	43.8%
Expected Move	11.2%	7.0%	12.6%	10.8%	12.6%
HV 20d	36.2%	24.1%	54.3%	53.1%	24.1%
HV 60d	38.9%	38.1%	40.0%	38.2%	38.7%
IV Rank	16.1%	8.6%	18.5%	15.4%	18.5%
IV Percentile	45.7%	0.4%	67.5%	37.7%	67.5%
Term Structure	-1.6%	-18.6%	12.2%	0.4%	-18.6%
VWIV	33.5%	27.1%	41.6%	40.8%	41.6%
Skew 25d	9.8%	-10.6%	47.7%	-1.1%	-10.6%
Skew 10d	26.5%	-8.7%	118.7%	7.7%	-8.7%
Call IV 25d	33.4%	23.9%	47.9%	39.8%	47.9%
Put IV 25d	43.2%	34.3%	77.1%	38.7%	37.3%
Bid-Ask Spread %	102.07	83.30	112.47	112.47	109.32
Gamma HHI	0.42	0.37	0.48	0.46	0.45
Net GEX	-443	-830	-20	-584	-20
Net DEX	11.9K	-16.3K	31.8K	31.1K	-16.3K
Net VEX	-407	-490	-343	-350	-490
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	1.17	1.88	1.43	1.32
Total Volume	125.842	107	144	107	144
Total OI	128	107	165	107	165

Daily Data (19 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
2017-02-01	$16.95	$17.50	37.8%	10.8%	53.1%	15.4%	40.8%	-1.1%	0.4%	-584	31.1K	-350	1.43	112.47	44	63	44	63
2017-02-02	$17.00	$17.50	41.1%	10.7%	53.0%	17.1%	34.6%	12.1%	1.3%	-668	31.8K	-343	1.66	106.41	44	73	44	63
2017-02-03	$17.15	$17.50	35.3%	11.1%	53.0%	14.1%	28.3%	14.1%	-1.1%	-556	30.1K	-381	1.66	97.48	44	73	44	73
2017-02-06	$17.48	$17.50	36.8%	11.3%	54.0%	14.9%	27.1%	15.2%	-0.7%	-581	29.0K	-376	1.66	101.69	44	73	44	73
2017-02-07	$17.40	$17.50	43.1%	11.6%	54.0%	18.2%	28.1%	15.4%	-3.5%	-538	25.9K	-380	1.66	100.31	44	73	44	73
2017-02-08	$17.07	$17.50	39.6%	11.4%	52.3%	16.4%	30.3%	11.5%	-2.8%	-600	30.0K	-373	1.66	98.74	44	73	44	73
2017-02-09	$17.61	$17.50	40.8%	11.7%	54.3%	17.0%	34.9%	7.2%	-1.1%	-366	25.5K	-379	1.66	99.55	44	73	44	73
2017-02-10	$17.52	$17.50	39.3%	11.3%	27.1%	16.2%	30.3%	3.5%	-0.8%	-381	23.7K	-371	1.70	102.80	44	75	44	73
2017-02-13	$17.86	$17.50	38.8%	11.1%	28.2%	16.0%	28.6%	6.5%	-0.3%	-604	22.8K	-368	1.88	104.09	40	75	44	75
2017-02-14	$17.93	$17.50	40.0%	11.5%	28.2%	16.6%	37.3%	-1.4%	-1.6%	-297	18.0K	-374	1.88	103.15	40	75	45	75
2017-02-15	$18.33	$17.50	40.0%	11.5%	28.4%	16.6%	29.4%	47.7%	-2.5%	-519	13.6K	-367	1.88	103.82	40	75	45	75
2017-02-16	$18.12	$17.50	43.7%	12.5%	26.7%	18.5%	31.1%	19.3%	-5.6%	-221	11.4K	-372	1.19	83.30	63	75	45	75
2017-02-17	$18.38	$15.00	34.8%	10.0%	26.7%	13.9%	34.5%	3.5%	6.5%	-107	-9.6K	-472	1.17	104.02	64	75	68	75
2017-02-21	$18.06	$15.00	38.8%	11.1%	25.0%	15.9%	33.9%	6.3%	-5.7%	-175	-6.2K	-466	1.25	107.48	59	74	65	74
2017-02-22	$18.47	$15.00	38.6%	11.1%	24.9%	15.9%	38.9%	4.3%	0.3%	-210	-8.2K	-466	1.39	107.70	59	82	66	74
2017-02-23	$18.78	$17.50	24.4%	7.0%	24.7%	8.6%	30.2%	14.7%	12.2%	-713	-12.2K	-460	1.39	95.04	59	82	66	84
2017-02-24	$18.50	$17.50	43.0%	12.3%	25.3%	18.1%	36.7%	6.5%	-5.6%	-456	-8.3K	-477	1.39	90.15	59	82	66	84
2017-02-27	$18.33	$17.50	42.6%	12.2%	25.4%	17.9%	40.3%	11.4%	-2.1%	-830	-6.6K	-463	1.39	111.80	59	82	66	84
2017-02-28	$18.29	$17.50	43.8%	12.6%	24.1%	18.5%	41.6%	-10.6%	-18.6%	-20	-16.3K	-490	1.32	109.32	62	82	81	84