LMNR Options History — September 2017

In September 2017, LMNR traded between $21.87 and $24.47. ATM implied volatility averaged 37.6%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 3.5% (HV 20d: 41.1%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.99.

Notable Days

2017-09-11: Highest Volume — 593 contracts
2017-09-29: Largest IV spike — 46.0% change
2017-09-11: Highest IV Rank — 82.8%
2017-09-12: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.73	$21.87	$24.47	$22.10	$23.19
Max Pain	$21.88	$17.50	$22.50	$17.50	$22.50
ATM IV	37.6%	23.6%	71.5%	35.9%	34.5%
Expected Move	9.8%	6.8%	11.5%	10.3%	9.9%
HV 20d	41.1%	28.2%	47.6%	29.5%	47.6%
HV 60d	35.0%	30.2%	38.0%	30.6%	36.5%
IV Rank	28.1%	5.6%	82.8%	25.4%	23.1%
IV Percentile	55.3%	0.8%	99.2%	61.5%	50.4%
Term Structure	-0.2%	-7.3%	15.9%	-7.3%	4.1%
VWIV	35.8%	29.9%	42.3%	33.7%	42.3%
Skew 25d	4.7%	-1.4%	17.1%	0.3%	14.1%
Skew 10d	12.0%	0.0%	40.0%	10.3%	15.3%
Call IV 25d	33.3%	22.9%	40.1%	40.1%	31.9%
Put IV 25d	38.0%	27.2%	46.0%	40.4%	46.0%
Bid-Ask Spread %	98.97	67.77	112.47	110.72	104.73
Gamma HHI	0.68	0.39	0.86	0.82	0.58
Net GEX	4.6K	-40.4K	33.0K	26.1K	3.0K
Net DEX	-159.4K	-569.2K	124.8K	-292.8K	-104.8K
Net VEX	-572	-658	-462	-635	-572
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.99	0.86	4.52	4.52	1.17
Total Volume	171.5	78	593	149	91
Total OI	315.55	166	633	328	203

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
2017-09-01	$22.10	$17.50	35.9%	10.3%	29.5%	25.4%	33.7%	0.3%	-7.3%	26.1K	-292.8K	-635	4.52	110.72	27	122	300	28
2017-09-05	$21.87	$0.00	39.6%	10.4%	29.7%	31.3%	0.0%	-0.8%	0.1%	30.5K	-297.0K	-573	4.52	107.17	27	122	300	28
2017-09-06	$22.08	$0.00	39.5%	9.5%	28.3%	31.1%	0.0%	3.3%	0.9%	33.0K	-327.7K	-544	4.52	107.00	27	122	300	28
2017-09-07	$22.26	$0.00	45.4%	10.4%	28.2%	40.7%	0.0%	1.4%	-2.2%	29.7K	-354.1K	-544	4.52	102.71	27	122	300	28
2017-09-08	$22.73	$0.00	54.0%	10.5%	29.0%	54.7%	35.3%	3.5%	0.7%	29.1K	-386.8K	-538	3.44	101.93	36	124	300	28
2017-09-11	$24.47	$20.00	71.5%	11.3%	38.1%	82.8%	37.7%	5.9%	-5.5%	18.2K	-569.2K	-462	1.20	91.19	270	323	314	30
2017-09-12	$22.61	$20.00	41.9%	11.5%	46.4%	35.1%	38.6%	3.0%	-3.1%	-29.1K	42.1K	-552	2.21	67.77	107	236	310	323
2017-09-13	$21.91	$22.50	38.6%	11.1%	46.6%	29.7%	37.8%	4.2%	-4.3%	-13.9K	38.3K	-658	1.07	98.74	153	163	334	273
2017-09-14	$22.11	$22.50	33.6%	9.6%	46.4%	21.7%	33.4%	-1.4%	0.7%	-21.3K	124.8K	-576	1.14	92.10	135	154	284	282
2017-09-15	$22.55	$22.50	31.0%	8.9%	44.5%	17.5%	31.4%	2.7%	1.9%	-40.4K	-203.5K	-522	1.68	90.45	94	158	284	283
2017-09-18	$22.85	$22.50	32.3%	9.3%	44.3%	19.6%	33.5%	4.9%	-0.7%	3.7K	-93.0K	-544	0.86	90.32	42	36	104	62
2017-09-19	$22.57	$22.50	34.7%	10.0%	44.7%	23.5%	35.5%	8.1%	-0.3%	3.7K	-86.2K	-581	1.07	98.54	42	45	108	72
2017-09-20	$22.56	$22.50	35.9%	10.3%	44.7%	25.4%	38.3%	1.2%	-3.4%	2.8K	-71.3K	-617	1.10	94.27	42	46	108	91
2017-09-21	$22.55	$22.50	34.0%	9.8%	44.7%	22.4%	35.3%	13.7%	-2.0%	2.6K	-82.0K	-600	1.10	98.30	42	46	108	92
2017-09-22	$22.70	$22.50	31.9%	9.2%	44.6%	19.0%	29.9%	1.8%	0.7%	2.3K	-84.0K	-602	1.10	107.30	42	46	108	92
2017-09-25	$22.55	$22.50	34.5%	9.9%	44.7%	23.2%	36.6%	9.4%	-0.2%	2.2K	-71.8K	-586	1.10	109.14	42	46	108	92
2017-09-26	$23.15	$22.50	28.6%	8.2%	45.5%	13.7%	37.3%	3.1%	15.9%	2.7K	-104.3K	-596	1.17	89.71	42	49	108	92
2017-09-27	$24.04	$22.50	30.7%	8.8%	46.9%	16.9%	33.8%	-1.0%	-5.1%	3.4K	-135.5K	-578	1.17	112.47	42	49	108	95
2017-09-28	$23.78	$22.50	23.6%	6.8%	46.9%	5.6%	37.8%	17.1%	4.7%	3.3K	-128.5K	-563	1.17	104.87	42	49	108	95
2017-09-29	$23.19	$22.50	34.5%	9.9%	47.6%	23.1%	42.3%	14.1%	4.1%	3.0K	-104.8K	-572	1.17	104.73	42	49	108	95