LMNR Options History — March 2017

In March 2017, LMNR traded between $17.60 and $20.94. ATM implied volatility averaged 39.2%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.4% (HV 20d: 36.8%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.21.

Notable Days

2017-03-21: Highest Volume — 224 contracts
2017-03-15: Largest IV drop — 64.4% change
2017-03-14: Highest IV Rank — 32.3%
2017-03-02: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.06	$17.60	$20.94	$19.10	$20.94
Max Pain	$15.76	$15.00	$20.00	$17.50	$20.00
ATM IV	39.2%	24.3%	82.1%	34.5%	24.3%
Expected Move	9.1%	7.0%	13.0%	9.9%	7.0%
HV 20d	36.8%	27.7%	42.7%	27.7%	37.6%
HV 60d	41.8%	39.2%	44.1%	39.7%	42.9%
IV Rank	10.3%	0.0%	32.3%	13.7%	0.0%
IV Percentile	34.0%	0.0%	90.5%	22.2%	0.0%
Term Structure	2.4%	-5.7%	8.6%	-5.7%	8.1%
VWIV	33.6%	22.4%	47.3%	43.4%	24.3%
Skew 25d	10.7%	-5.4%	70.9%	14.2%	4.2%
Skew 10d	25.9%	-10.1%	115.1%	15.0%	98.4%
Call IV 25d	32.2%	21.5%	47.8%	37.2%	21.5%
Put IV 25d	42.9%	23.2%	95.1%	51.5%	25.7%
Bid-Ask Spread %	98.80	71.17	107.78	106.33	102.39
Gamma HHI	0.66	0.44	0.88	0.48	0.86
Net GEX	3.4K	-1.5K	10.9K	665	8.7K
Net DEX	-97.0K	-277.2K	3.1K	-36.8K	-277.2K
Net VEX	-560	-782	-430	-479	-684
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.46	1.56	1.32	1.56
Total Volume	151	120	224	144	133
Total OI	206.696	153	281	168	281

Daily Data (23 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
2017-03-01	$19.10	$17.50	34.5%	9.9%	27.7%	13.7%	43.4%	14.2%	-5.7%	665	-36.8K	-479	1.32	106.33	62	82	84	84
2017-03-02	$18.51	$17.50	45.3%	13.0%	30.3%	19.3%	47.3%	11.5%	-0.2%	744	-30.1K	-485	1.32	107.78	62	82	84	84
2017-03-03	$18.29	$17.50	37.9%	10.9%	30.8%	15.5%	44.0%	-5.4%	4.7%	-780	-9.4K	-464	1.32	107.25	62	82	84	84
2017-03-06	$17.93	$15.00	53.8%	10.2%	31.9%	23.6%	35.0%	3.0%	3.6%	-665	-5.4K	-461	1.32	100.30	62	82	84	84
2017-03-07	$17.92	$15.00	49.5%	11.0%	31.3%	21.4%	39.8%	1.8%	-0.4%	-943	-5.1K	-455	1.39	99.11	59	82	84	84
2017-03-08	$17.60	$15.00	48.2%	11.3%	31.9%	20.8%	38.7%	7.3%	-1.5%	-1.3K	2.8K	-433	1.39	97.66	59	82	81	84
2017-03-09	$17.71	$15.00	58.3%	11.0%	31.1%	19.0%	36.1%	5.6%	-1.4%	-1.0K	3.1K	-440	1.39	94.98	59	82	81	84
2017-03-10	$17.87	$15.00	59.1%	11.1%	29.3%	19.4%	39.9%	6.2%	-2.4%	-1.5K	1.5K	-434	1.02	71.17	80	82	81	84
2017-03-13	$17.66	$15.00	77.4%	11.6%	29.6%	29.7%	38.3%	-0.0%	-1.5%	-127	-18.5K	-492	0.99	89.20	83	82	107	84
2017-03-14	$18.84	$15.00	82.1%	8.8%	36.9%	32.3%	31.0%	3.6%	0.3%	1.9K	-72.1K	-496	1.06	88.13	77	82	112	84
2017-03-15	$19.92	$15.00	29.3%	8.4%	41.4%	2.7%	30.6%	9.8%	4.5%	4.7K	-117.3K	-474	1.14	96.14	72	82	112	84
2017-03-16	$19.46	$15.00	28.4%	8.1%	42.1%	2.2%	33.1%	14.1%	5.2%	4.9K	-116.3K	-472	1.21	105.81	68	82	119	84
2017-03-17	$19.35	$15.00	27.7%	7.9%	41.9%	1.8%	31.7%	9.5%	4.4%	1.1K	-97.2K	-430	1.30	104.10	63	82	119	84
2017-03-20	$19.48	$15.00	29.8%	8.5%	41.7%	3.0%	31.1%	10.7%	4.5%	1.1K	-74.0K	-464	1.34	98.88	53	71	82	71
2017-03-21	$19.09	$15.00	24.7%	7.1%	41.9%	0.2%	28.2%	-3.6%	2.5%	1.1K	-66.6K	-466	0.46	107.63	153	71	82	71
2017-03-22	$18.80	$15.00	25.0%	7.2%	41.7%	0.3%	27.9%	6.7%	4.0%	6.3K	-117.0K	-753	0.50	102.18	143	71	182	71
2017-03-23	$19.12	$15.00	24.5%	7.0%	41.7%	0.0%	30.4%	10.6%	-0.0%	7.2K	-131.9K	-737	0.50	105.62	143	71	182	71
2017-03-24	$19.30	$15.00	25.8%	7.4%	41.4%	0.7%	27.0%	7.5%	4.5%	7.3K	-142.9K	-733	1.42	80.18	50	71	182	71
2017-03-27	$19.90	$15.00	34.0%	9.7%	42.3%	5.4%	35.6%	10.3%	-0.7%	8.6K	-190.0K	-782	1.45	103.07	49	71	190	71
2017-03-28	$20.31	$15.00	25.6%	7.3%	42.7%	0.7%	22.4%	70.9%	8.3%	10.9K	-228.8K	-759	1.37	98.75	52	71	200	71
2017-03-29	$20.50	$15.00	30.9%	8.8%	40.3%	3.9%	31.2%	7.8%	5.3%	9.8K	-247.1K	-740	1.56	104.04	52	81	200	71
2017-03-30	$20.71	$20.00	25.2%	7.2%	38.1%	0.5%	25.2%	38.9%	8.6%	9.3K	-254.1K	-736	1.56	101.63	52	81	200	81
2017-03-31	$20.94	$20.00	24.3%	7.0%	37.6%	0.0%	24.3%	4.2%	8.1%	8.7K	-277.2K	-684	1.56	102.39	52	81	200	81