LMNR Options History — June 2017

In June 2017, LMNR traded between $19.28 and $23.68. ATM implied volatility averaged 35.0%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.6% (HV 20d: 31.4%). 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 15 of 22 days. Put/call ratio averaged 1.12.

Notable Days

2017-06-09: Highest Volume — 361 contracts
2017-06-20: Largest IV spike — 50.1% change
2017-06-12: Highest IV Rank — 56.4%
2017-06-20: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.53	$19.28	$23.68	$19.28	$23.68
Max Pain	$18.30	$17.50	$20.00	$17.50	$17.50
ATM IV	35.0%	24.3%	55.1%	35.9%	31.7%
Expected Move	9.0%	7.0%	11.4%	10.3%	9.1%
HV 20d	31.4%	26.2%	34.6%	26.2%	32.9%
HV 60d	29.2%	27.8%	30.8%	30.8%	29.3%
IV Rank	19.7%	6.6%	56.4%	12.7%	18.7%
IV Percentile	37.8%	0.8%	96.8%	46.0%	25.8%
Term Structure	2.4%	-7.3%	11.1%	1.0%	3.3%
VWIV	34.9%	25.8%	54.3%	50.3%	28.8%
Skew 25d	7.4%	-2.2%	23.5%	21.1%	23.5%
Skew 10d	22.9%	-9.9%	100.5%	34.7%	100.5%
Call IV 25d	29.9%	21.1%	37.6%	36.0%	21.1%
Put IV 25d	37.4%	26.5%	57.1%	57.1%	44.5%
Bid-Ask Spread %	97.64	69.04	132.98	105.10	108.27
Gamma HHI	0.68	0.47	0.89	0.47	0.69
Net GEX	13.6K	7.6K	20.2K	7.6K	15.3K
Net DEX	-316.5K	-462.4K	-147.1K	-147.1K	-462.4K
Net VEX	-1.2K	-1.3K	-924	-924	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.76	1.32	1.12	1.23
Total Volume	305.091	271	361	345	279
Total OI	400.136	343	505	388	369

Daily Data (22 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
2017-06-01	$19.28	$17.50	35.9%	10.3%	26.2%	12.7%	50.3%	21.1%	1.0%	7.6K	-147.1K	-924	1.12	105.10	163	182	300	88
2017-06-02	$19.66	$17.50	33.0%	9.5%	27.2%	10.4%	54.3%	17.6%	-2.4%	9.4K	-177.8K	-947	1.22	105.77	149	182	300	88
2017-06-05	$19.69	$20.00	49.1%	10.6%	27.1%	23.4%	37.0%	3.5%	0.6%	9.1K	-217.0K	-1.0K	1.25	93.79	146	182	306	88
2017-06-06	$19.88	$20.00	43.4%	10.2%	26.4%	18.8%	35.3%	1.8%	3.0%	10.1K	-208.4K	-999	0.92	96.30	146	135	305	88
2017-06-07	$19.78	$20.00	53.6%	11.1%	26.5%	27.0%	38.7%	7.5%	-0.9%	9.8K	-209.9K	-1.1K	0.91	69.04	148	135	305	91
2017-06-08	$20.95	$20.00	46.2%	10.4%	33.0%	42.0%	36.5%	5.5%	-1.7%	12.7K	-289.2K	-1.1K	0.76	92.11	198	151	307	91
2017-06-09	$20.98	$20.00	39.0%	7.9%	32.8%	30.4%	34.8%	5.0%	11.1%	15.5K	-358.2K	-1.2K	0.96	71.88	184	177	361	116
2017-06-12	$21.54	$20.00	55.1%	8.9%	32.8%	56.4%	28.4%	-2.2%	-0.8%	13.4K	-333.3K	-1.2K	1.24	99.23	136	169	331	148
2017-06-13	$21.78	$20.00	29.6%	8.7%	32.5%	15.3%	25.8%	-0.6%	3.4%	16.2K	-364.1K	-1.2K	1.28	82.38	132	169	330	144
2017-06-14	$22.15	$17.50	31.3%	9.0%	32.6%	18.0%	33.3%	11.7%	-0.4%	20.2K	-421.6K	-1.2K	1.12	103.06	151	169	325	144
2017-06-15	$21.78	$17.50	28.3%	8.1%	31.5%	13.1%	28.9%	9.0%	5.5%	17.7K	-380.5K	-1.3K	1.05	80.16	161	169	358	144
2017-06-16	$21.59	$17.50	26.3%	7.5%	29.6%	9.8%	27.0%	-0.9%	5.3%	13.3K	-342.8K	-1.3K	1.04	104.21	160	166	361	144
2017-06-19	$21.86	$17.50	26.5%	7.6%	28.8%	10.2%	37.2%	4.1%	7.6%	13.1K	-298.9K	-1.3K	1.11	132.98	139	154	283	60
2017-06-20	$21.18	$17.50	39.7%	11.4%	32.2%	31.6%	46.9%	15.9%	-7.3%	12.6K	-236.8K	-1.2K	1.11	105.06	139	154	284	60
2017-06-21	$22.07	$17.50	24.3%	7.0%	34.4%	6.6%	28.3%	9.8%	5.4%	11.8K	-304.7K	-1.3K	1.08	95.86	142	154	284	60
2017-06-22	$22.01	$17.50	28.0%	8.0%	34.6%	12.6%	33.8%	12.0%	5.2%	13.0K	-305.7K	-1.3K	1.08	105.71	142	154	289	60
2017-06-23	$22.07	$17.50	26.7%	7.7%	34.4%	10.5%	28.7%	5.6%	3.2%	16.9K	-309.6K	-1.3K	1.09	94.94	141	154	289	60
2017-06-26	$22.28	$17.50	32.3%	9.3%	33.9%	19.6%	35.3%	7.1%	-1.0%	14.9K	-330.4K	-1.3K	1.32	106.68	117	154	299	60
2017-06-27	$22.63	$17.50	30.4%	8.7%	34.0%	16.6%	31.0%	6.3%	3.0%	15.1K	-367.9K	-1.3K	1.32	94.58	117	154	297	60
2017-06-28	$23.50	$17.50	32.3%	9.2%	34.2%	19.5%	35.2%	2.4%	5.0%	14.0K	-459.1K	-1.2K	1.23	105.75	125	154	297	60
2017-06-29	$23.27	$17.50	27.0%	7.7%	33.0%	10.9%	31.6%	-1.9%	5.4%	16.5K	-438.3K	-1.3K	1.23	95.30	125	154	309	60
2017-06-30	$23.68	$17.50	31.7%	9.1%	32.9%	18.7%	28.8%	23.5%	3.3%	15.3K	-462.4K	-1.3K	1.23	108.27	125	154	309	60