LMNR Options History — April 2017

In April 2017, LMNR traded between $19.72 and $21.21. ATM implied volatility averaged 31.8%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 1.6% (HV 20d: 30.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.62.

Notable Days

2017-04-19: Highest Volume — 360 contracts
2017-04-12: Largest IV spike — 19.4% change
2017-04-17: Highest IV Rank — 7.7%
2017-04-17: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.35	$19.72	$21.21	$20.69	$20.84
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	31.8%	26.1%	37.0%	30.1%	29.5%
Expected Move	9.5%	8.3%	10.6%	8.6%	8.5%
HV 20d	30.1%	22.8%	40.7%	37.0%	23.2%
HV 60d	34.6%	30.7%	43.1%	42.5%	30.8%
IV Rank	4.6%	1.1%	7.7%	3.5%	3.2%
IV Percentile	20.1%	3.6%	44.0%	9.9%	11.1%
Term Structure	1.6%	-2.5%	9.9%	0.1%	4.0%
VWIV	33.3%	29.1%	36.7%	30.3%	31.0%
Skew 25d	6.0%	-1.5%	22.9%	8.1%	22.9%
Skew 10d	11.4%	-6.1%	76.3%	8.7%	76.3%
Call IV 25d	28.3%	20.3%	33.8%	23.2%	20.3%
Put IV 25d	34.3%	28.1%	43.3%	31.3%	43.3%
Bid-Ask Spread %	82.45	50.39	111.62	105.35	75.14
Gamma HHI	0.82	0.60	0.90	0.86	0.66
Net GEX	12.9K	8.8K	19.2K	8.8K	19.2K
Net DEX	-270.2K	-415.8K	-188.9K	-271.6K	-415.8K
Net VEX	-1.2K	-1.8K	-645	-683	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.78	2.65	1.58	1.56
Total Volume	253	134	360	134	335
Total OI	434.526	278	582	281	453

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
2017-04-03	$20.69	$20.00	30.1%	8.6%	37.0%	3.5%	30.3%	8.1%	0.1%	8.8K	-271.6K	-683	1.58	105.35	52	82	200	81
2017-04-04	$21.03	$20.00	29.1%	8.3%	37.0%	2.9%	29.1%	5.6%	2.0%	9.6K	-279.1K	-645	1.58	87.63	52	82	200	82
2017-04-05	$20.53	$20.00	29.8%	8.6%	37.6%	3.4%	30.0%	2.6%	-2.5%	10.0K	-248.7K	-683	1.58	111.62	52	82	196	82
2017-04-06	$19.80	$20.00	28.8%	9.8%	40.7%	2.8%	34.1%	2.0%	0.2%	8.8K	-188.9K	-715	0.89	93.47	128	114	196	82
2017-04-07	$19.94	$20.00	29.2%	9.7%	40.7%	3.0%	34.1%	5.0%	2.4%	11.7K	-236.4K	-976	2.65	95.89	43	114	263	114
2017-04-10	$19.72	$20.00	26.1%	9.9%	40.7%	1.1%	34.5%	9.4%	2.0%	11.8K	-202.5K	-954	2.65	72.20	43	114	264	114
2017-04-11	$20.00	$20.00	28.1%	9.9%	34.4%	2.3%	34.4%	3.2%	-0.8%	12.8K	-223.7K	-914	2.65	78.95	43	114	264	114
2017-04-12	$19.79	$20.00	33.5%	9.6%	28.4%	5.6%	33.8%	2.4%	2.0%	12.7K	-220.4K	-916	2.65	50.39	43	114	264	114
2017-04-13	$19.74	$20.00	34.4%	9.9%	27.1%	6.1%	34.1%	8.7%	2.4%	12.4K	-196.8K	-916	0.78	73.43	146	114	264	114
2017-04-17	$19.93	$20.00	37.0%	10.6%	27.2%	7.7%	36.7%	-1.5%	-0.4%	15.1K	-288.8K	-1.3K	0.78	99.98	146	114	367	114
2017-04-18	$19.95	$20.00	35.9%	10.3%	27.1%	7.1%	35.5%	2.8%	-1.2%	16.7K	-289.2K	-1.3K	0.78	94.56	146	114	367	114
2017-04-19	$19.99	$20.00	35.0%	10.0%	25.9%	6.5%	34.9%	9.7%	1.1%	18.4K	-313.2K	-1.3K	1.47	71.90	146	214	367	114
2017-04-20	$20.40	$20.00	32.9%	9.4%	25.8%	5.2%	33.1%	12.8%	4.9%	15.5K	-256.5K	-1.8K	1.47	74.71	146	214	368	214
2017-04-21	$20.56	$20.00	32.6%	9.4%	25.4%	5.1%	32.6%	5.1%	2.0%	13.2K	-297.2K	-1.7K	1.47	94.32	146	214	368	214
2017-04-24	$20.73	$20.00	36.0%	10.3%	25.3%	7.1%	36.7%	-0.2%	1.2%	12.9K	-259.8K	-1.7K	1.56	67.97	131	204	343	204
2017-04-25	$20.94	$20.00	33.3%	9.5%	23.4%	5.4%	33.6%	10.2%	4.3%	12.6K	-307.9K	-1.7K	1.56	62.82	131	204	343	204
2017-04-26	$21.21	$20.00	33.1%	9.5%	22.8%	5.4%	32.1%	4.9%	-2.3%	10.9K	-333.6K	-1.7K	1.56	76.78	131	204	343	204
2017-04-27	$20.89	$20.00	29.5%	8.5%	23.4%	3.2%	31.7%	-0.5%	9.9%	11.9K	-304.8K	-1.7K	1.56	79.53	131	204	343	204
2017-04-28	$20.84	$20.00	29.5%	8.5%	23.2%	3.2%	31.0%	22.9%	4.0%	19.2K	-415.8K	-1.1K	1.56	75.14	131	204	343	110