LMNR Options History — July 2017

In July 2017, LMNR traded between $21.72 and $23.34. ATM implied volatility averaged 31.5%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.3% (HV 20d: 31.2%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.14.

Notable Days

2017-07-14: Highest Volume — 281 contracts
2017-07-26: Largest IV spike — 37.1% change
2017-07-13: Highest IV Rank — 27.6%
2017-07-13: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.47	$21.72	$23.34	$23.34	$22.86
Max Pain	$20.13	$17.50	$25.00	$17.50	$17.50
ATM IV	31.5%	23.8%	37.2%	32.5%	34.1%
Expected Move	9.1%	6.8%	10.7%	9.3%	9.8%
HV 20d	31.2%	26.9%	37.3%	33.9%	26.9%
HV 60d	29.9%	28.4%	31.1%	28.4%	29.6%
IV Rank	18.3%	5.9%	27.6%	19.8%	22.5%
IV Percentile	29.3%	0.8%	60.3%	29.0%	44.4%
Term Structure	3.3%	-1.6%	13.3%	5.9%	2.1%
VWIV	30.7%	21.7%	40.8%	28.6%	31.7%
Skew 25d	7.8%	-5.5%	47.2%	47.2%	5.5%
Skew 10d	17.8%	1.4%	119.5%	119.5%	8.9%
Call IV 25d	30.7%	23.9%	40.2%	28.1%	30.3%
Put IV 25d	38.5%	22.1%	75.3%	75.3%	35.8%
Bid-Ask Spread %	100.92	70.21	115.43	103.05	98.58
Gamma HHI	0.74	0.71	0.79	0.71	0.74
Net GEX	17.4K	15.9K	20.6K	16.7K	17.2K
Net DEX	-354.7K	-429.2K	-271.3K	-429.2K	-381.6K
Net VEX	-1.1K	-1.2K	-983	-1.2K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.95	1.23	1.23	0.95
Total Volume	270.6	245	281	279	251
Total OI	354.2	319	369	369	325

Daily Data (20 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
2017-07-03	$23.34	$17.50	32.5%	9.3%	33.9%	19.8%	28.6%	47.2%	5.9%	16.7K	-429.2K	-1.2K	1.23	103.05	125	154	309	60
2017-07-05	$22.72	$17.50	30.2%	8.6%	36.2%	16.1%	37.3%	1.8%	2.3%	16.2K	-377.8K	-1.2K	1.23	115.43	125	154	309	60
2017-07-06	$22.23	$25.00	28.9%	8.6%	37.3%	14.2%	30.0%	5.6%	4.2%	16.8K	-347.4K	-1.2K	1.23	93.36	125	154	307	60
2017-07-07	$22.65	$25.00	36.1%	9.2%	32.4%	25.7%	29.6%	4.5%	3.5%	16.6K	-363.7K	-1.2K	1.23	89.32	125	154	307	60
2017-07-10	$22.50	$25.00	32.1%	9.9%	32.7%	19.2%	30.9%	6.5%	1.6%	17.4K	-367.0K	-1.2K	1.23	70.21	125	154	307	60
2017-07-11	$22.26	$25.00	26.6%	8.5%	31.9%	10.4%	31.1%	5.1%	6.8%	17.8K	-342.1K	-1.2K	1.23	99.48	125	154	307	60
2017-07-12	$22.48	$25.00	35.4%	10.1%	31.8%	24.6%	37.0%	3.9%	0.6%	17.4K	-383.7K	-1.2K	1.23	88.80	125	154	307	60
2017-07-13	$22.53	$25.00	37.2%	10.7%	31.3%	27.6%	40.8%	1.8%	-1.0%	16.4K	-373.0K	-1.2K	1.23	104.39	125	154	307	60
2017-07-14	$22.88	$25.00	33.6%	9.6%	31.0%	21.6%	36.9%	7.8%	2.2%	17.9K	-391.9K	-1.2K	1.21	99.54	127	154	307	60
2017-07-17	$22.16	$17.50	34.2%	9.8%	33.1%	22.7%	21.7%	-0.2%	1.2%	18.5K	-347.4K	-1.1K	1.21	95.88	127	154	309	60
2017-07-18	$22.12	$17.50	36.6%	10.5%	32.9%	26.6%	31.6%	-1.8%	-1.5%	17.2K	-330.4K	-1.1K	1.21	99.84	127	154	309	60
2017-07-19	$22.25	$17.50	35.2%	10.1%	30.6%	24.2%	25.7%	6.2%	-1.6%	20.6K	-341.7K	-1.1K	1.21	105.54	127	154	309	60
2017-07-20	$21.98	$17.50	30.0%	8.6%	27.3%	15.9%	28.8%	-5.5%	3.9%	17.0K	-325.4K	-1.1K	1.21	106.92	127	154	309	60
2017-07-21	$22.31	$17.50	28.1%	8.1%	27.8%	12.8%	23.6%	7.7%	7.3%	16.4K	-333.0K	-1.1K	1.21	97.39	127	154	309	60
2017-07-24	$21.72	$17.50	25.3%	7.3%	29.5%	8.3%	28.4%	6.3%	2.0%	15.9K	-271.3K	-983	0.99	110.95	123	122	291	28
2017-07-25	$22.33	$17.50	23.8%	6.8%	31.0%	5.9%	28.6%	10.8%	13.3%	16.4K	-319.7K	-1.0K	0.99	114.98	123	122	291	28
2017-07-26	$22.47	$17.50	32.7%	9.4%	30.5%	20.2%	32.2%	2.6%	-0.9%	18.1K	-326.7K	-987	0.95	111.58	129	122	291	28
2017-07-27	$22.84	$17.50	27.8%	8.0%	27.8%	12.3%	24.6%	13.3%	6.0%	19.3K	-368.9K	-1.0K	0.95	104.92	129	122	297	28
2017-07-28	$22.75	$17.50	29.7%	8.5%	27.7%	15.4%	35.5%	27.2%	9.0%	18.4K	-371.3K	-1.0K	0.95	108.26	129	122	297	28
2017-07-31	$22.86	$17.50	34.1%	9.8%	26.9%	22.5%	31.7%	5.5%	2.1%	17.2K	-381.6K	-1.0K	0.95	98.58	129	122	297	28