LMNR Options History — May 2017

In May 2017, LMNR traded between $18.41 and $20.53. ATM implied volatility averaged 34.7%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 10.4% (HV 20d: 24.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2017-05-01: Highest Volume — 354 contracts
  • 2017-05-10: Largest IV spike — 91.5% change
  • 2017-05-31: Highest IV Rank — 16.7%
  • 2017-05-31: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.17$18.41$20.53$20.53$18.48
Max Pain$17.84$17.50$20.00$20.00$17.50
ATM IV34.7%20.2%47.0%34.4%47.0%
Expected Move10.3%6.6%13.5%9.8%13.5%
HV 20d24.3%22.1%26.5%23.4%24.9%
HV 60d31.4%29.6%32.3%31.1%29.6%
IV Rank8.5%0.0%16.7%6.1%16.7%
IV Percentile39.6%0.0%88.5%31.3%88.5%
Term Structure-0.5%-7.0%13.7%2.8%-6.3%
VWIV39.2%23.9%46.0%37.8%44.8%
Skew 25d7.6%-2.6%15.8%0.6%15.2%
Skew 10d12.6%-4.4%36.6%-3.0%36.6%
Call IV 25d33.3%27.4%43.2%36.2%32.5%
Put IV 25d40.9%24.8%49.0%36.8%47.7%
Bid-Ask Spread %91.1859.06108.2099.93104.32
Gamma HHI0.560.430.740.650.43
Net GEX18.7K5.6K48.9K19.1K5.6K
Net DEX-176.3K-353.3K-56.9K-353.3K-103.1K
Net VEX-1.1K-1.5K-814-1.1K-814
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.121.061.371.361.12
Total Volume339.864325354354345
Total OI506.273376595453388

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$20.53$20.0034.4%9.8%23.4%6.1%37.8%0.6%2.8%19.1K-353.3K-1.1K1.3699.93150204343110
2017-05-02$20.29$20.0032.4%9.3%23.4%4.9%32.6%2.3%5.2%20.8K-351.1K-1.2K1.3761.94149204357110
2017-05-03$19.47$20.0023.1%6.6%26.5%0.0%23.9%-2.6%13.7%25.5K-219.7K-1.1K1.1889.49149176360110
2017-05-04$19.41$17.5028.7%9.1%25.4%3.4%34.9%5.5%5.9%23.9K-241.8K-1.5K1.18106.44149176460115
2017-05-05$19.36$17.5030.7%10.3%22.1%4.6%38.6%11.5%-0.2%22.6K-216.5K-1.4K1.1884.41149176460115
2017-05-08$19.03$17.5028.7%10.9%22.6%3.6%41.9%10.5%-1.4%23.8K-205.4K-1.4K1.0786.32164176475115
2017-05-09$19.16$17.5020.2%8.2%22.6%0.0%33.7%7.3%7.4%22.1K-129.0K-1.2K1.0794.09164176475115
2017-05-10$19.39$17.5038.6%11.1%22.4%11.5%40.1%8.1%-4.2%29.1K-158.9K-1.3K1.0690.53166176475115
2017-05-11$19.64$17.5033.8%9.7%22.7%8.5%40.7%15.8%1.1%33.2K-248.8K-1.3K1.06108.20166176480115
2017-05-12$19.30$17.5036.4%10.4%23.5%10.1%38.3%7.8%-0.3%23.1K-135.8K-1.3K1.0698.22166176480115
2017-05-15$19.67$17.5041.2%11.8%24.3%13.1%40.7%10.2%-6.6%48.9K-280.7K-1.4K1.0671.32166176480115
2017-05-16$19.63$17.5033.3%9.6%24.2%8.2%39.8%13.0%0.5%42.8K-226.3K-1.3K1.0659.06166176480115
2017-05-17$19.11$17.5029.5%8.5%25.9%5.8%36.9%9.2%3.7%18.5K-118.1K-1.1K1.0699.53166176480115
2017-05-18$18.61$17.5044.0%12.6%25.8%14.8%44.5%8.6%-4.3%6.4K-56.9K-1.0K1.0688.96166176480115
2017-05-19$18.41$17.5041.2%11.8%25.5%13.1%42.1%7.5%0.5%5.8K-57.7K-9351.0677.86166176480110
2017-05-22$18.59$17.5039.9%11.4%25.6%12.3%46.0%5.8%-3.4%6.2K-160.1K-1.1K1.06106.5516217129977
2017-05-23$18.66$17.5036.1%10.4%25.2%9.9%37.3%4.9%-2.2%6.6K-125.8K-9051.0692.1416217129977
2017-05-24$18.83$17.5032.6%9.3%24.9%7.7%38.5%7.4%-4.8%7.2K-130.0K-9031.0692.1616217229977
2017-05-25$18.77$17.5034.3%9.8%24.6%8.8%44.7%8.7%-6.4%6.6K-130.2K-9621.12108.0716218229978
2017-05-26$18.62$17.5037.4%10.7%24.6%10.7%39.5%3.4%-7.0%6.3K-113.3K-9261.1292.4816318229988
2017-05-30$18.75$17.5040.2%11.5%24.7%12.5%46.0%6.3%-5.7%6.6K-116.7K-8931.1293.8716318230088
2017-05-31$18.48$17.5047.0%13.5%24.9%16.7%44.8%15.2%-6.3%5.6K-103.1K-8141.12104.3216318230088