LMNR Options History — August 2017

In August 2017, LMNR traded between $20.74 and $23.56. ATM implied volatility averaged 35.4%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 2.5% (HV 20d: 32.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.26.

Notable Days

2017-08-18: Highest Volume — 262 contracts
2017-08-17: Largest IV spike — 60.4% change
2017-08-11: Highest IV Rank — 41.5%
2017-08-11: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.75	$20.74	$23.56	$23.56	$22.21
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	35.4%	27.9%	45.9%	34.4%	30.1%
Expected Move	10.2%	8.0%	13.2%	9.9%	8.6%
HV 20d	32.9%	28.7%	37.5%	28.7%	29.6%
HV 60d	32.4%	30.1%	33.7%	30.1%	32.7%
IV Rank	24.6%	12.4%	41.5%	23.0%	16.0%
IV Percentile	52.1%	10.3%	90.9%	47.2%	22.6%
Term Structure	-2.3%	-11.2%	6.3%	3.8%	2.5%
VWIV	34.8%	28.0%	45.8%	33.8%	32.3%
Skew 25d	6.8%	-3.9%	16.0%	4.2%	-3.9%
Skew 10d	14.2%	-12.9%	29.8%	-3.2%	-12.9%
Call IV 25d	37.3%	31.3%	46.6%	35.4%	42.3%
Put IV 25d	44.1%	37.1%	50.8%	39.7%	38.4%
Bid-Ask Spread %	101.14	77.90	113.53	109.15	113.53
Gamma HHI	0.77	0.71	0.89	0.71	0.89
Net GEX	20.2K	15.4K	34.2K	19.9K	34.2K
Net DEX	-265.9K	-449.8K	-174.1K	-449.8K	-304.6K
Net VEX	-772	-981	-591	-931	-622
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.87	4.52	0.95	4.52
Total Volume	242.217	149	262	251	149
Total OI	327.435	318	341	330	323

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
2017-08-01	$23.56	$17.50	34.4%	9.9%	28.7%	23.0%	33.8%	4.2%	3.8%	19.9K	-449.8K	-931	0.95	109.15	129	122	302	28
2017-08-02	$22.61	$17.50	35.7%	10.2%	30.9%	25.0%	33.1%	15.0%	-0.3%	18.5K	-346.1K	-981	0.95	111.72	129	122	302	28
2017-08-03	$22.01	$17.50	30.6%	10.5%	31.4%	16.9%	36.8%	5.9%	-0.8%	17.8K	-305.7K	-945	0.95	77.90	129	122	302	28
2017-08-04	$22.19	$17.50	35.6%	9.8%	30.8%	25.0%	34.3%	6.2%	2.8%	19.0K	-311.8K	-932	0.95	80.75	129	122	302	28
2017-08-07	$22.28	$17.50	40.6%	10.4%	30.7%	33.0%	36.3%	3.5%	-3.5%	18.9K	-337.3K	-933	0.95	83.43	129	122	302	28
2017-08-08	$21.69	$17.50	36.1%	10.4%	32.0%	25.7%	36.3%	7.1%	-1.7%	19.1K	-290.9K	-875	0.95	84.76	129	122	302	28
2017-08-09	$21.56	$17.50	32.8%	9.4%	31.7%	20.4%	32.8%	-0.7%	-3.5%	17.4K	-281.7K	-862	0.95	90.96	129	122	302	28
2017-08-10	$21.74	$17.50	40.4%	11.6%	31.9%	32.6%	40.4%	7.5%	-7.9%	17.2K	-287.0K	-876	0.95	90.96	129	122	302	28
2017-08-11	$21.53	$17.50	45.9%	13.2%	31.3%	41.5%	45.8%	4.1%	-9.7%	15.4K	-273.9K	-833	0.95	98.04	129	122	302	28
2017-08-14	$22.46	$17.50	35.8%	10.3%	33.3%	25.2%	35.8%	15.6%	-2.3%	20.9K	-349.2K	-848	0.88	105.69	139	122	302	28
2017-08-15	$21.81	$17.50	31.2%	8.9%	34.9%	17.8%	31.3%	-3.0%	-0.7%	21.2K	-331.4K	-859	0.88	102.13	139	122	313	28
2017-08-16	$21.54	$17.50	27.9%	8.0%	35.1%	12.4%	28.0%	12.2%	5.8%	22.3K	-245.9K	-782	0.88	107.40	139	122	313	28
2017-08-17	$20.74	$17.50	44.7%	12.8%	37.2%	39.6%	33.9%	11.2%	-3.4%	17.3K	-174.1K	-648	0.88	100.44	139	122	313	28
2017-08-18	$21.12	$17.50	34.3%	9.8%	37.5%	22.7%	30.7%	8.7%	6.3%	20.1K	-198.9K	-716	0.87	101.78	140	122	313	28
2017-08-21	$21.16	$17.50	30.1%	8.6%	36.4%	16.0%	30.6%	4.3%	2.6%	19.4K	-176.2K	-660	1.00	102.73	122	122	290	28
2017-08-22	$21.31	$17.50	36.0%	10.3%	34.9%	25.6%	36.1%	3.2%	-4.2%	19.9K	-199.5K	-662	1.00	107.45	122	122	290	28
2017-08-23	$21.41	$17.50	35.0%	10.0%	34.9%	23.9%	35.1%	8.4%	0.1%	21.0K	-202.0K	-668	1.00	104.39	122	122	290	28
2017-08-24	$21.33	$17.50	35.7%	10.2%	34.1%	25.1%	35.9%	8.5%	-7.5%	19.5K	-211.5K	-668	1.00	109.77	122	122	290	28
2017-08-25	$21.43	$17.50	34.7%	9.9%	34.3%	23.4%	34.8%	8.6%	-7.3%	20.2K	-212.2K	-663	1.00	109.71	122	122	290	28
2017-08-28	$21.46	$17.50	37.4%	10.7%	34.2%	27.9%	37.6%	8.4%	-11.2%	20.2K	-204.1K	-591	1.00	111.86	122	122	290	28
2017-08-29	$21.30	$17.50	38.6%	11.1%	31.9%	29.7%	38.7%	6.0%	-11.0%	19.9K	-199.2K	-594	1.00	110.89	122	122	290	28
2017-08-30	$21.75	$17.50	30.9%	8.9%	30.1%	17.3%	29.5%	16.0%	-2.0%	24.9K	-221.5K	-596	4.52	110.73	27	122	290	28
2017-08-31	$22.21	$17.50	30.1%	8.6%	29.6%	16.0%	32.3%	-3.9%	2.5%	34.2K	-304.6K	-622	4.52	113.53	27	122	295	28