LMNR Options History — October 2017

In October 2017, LMNR traded between $21.88 and $23.87. ATM implied volatility averaged 35.1%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 3.1% (HV 20d: 38.2%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.91.

Notable Days

2017-10-26: Highest Volume — 211 contracts
2017-10-24: Largest IV spike — 53.0% change
2017-10-19: Highest IV Rank — 35.1%
2017-10-19: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.09	$21.88	$23.87	$23.87	$23.38
Max Pain	$21.32	$20.00	$25.00	$22.50	$20.00
ATM IV	35.1%	24.2%	41.9%	32.4%	34.3%
Expected Move	10.2%	6.9%	12.0%	9.3%	9.8%
HV 20d	38.2%	32.4%	50.2%	48.4%	38.8%
HV 60d	37.8%	36.8%	39.2%	36.8%	39.2%
IV Rank	24.1%	6.5%	35.1%	19.7%	22.8%
IV Percentile	54.5%	1.6%	88.1%	34.5%	46.0%
Term Structure	0.3%	-12.2%	12.4%	-12.2%	4.1%
VWIV	38.9%	29.4%	55.8%	39.2%	40.9%
Skew 25d	4.8%	-5.2%	16.3%	2.4%	12.4%
Skew 10d	9.1%	-6.3%	47.7%	-2.5%	7.0%
Call IV 25d	36.2%	29.6%	45.4%	40.0%	29.6%
Put IV 25d	41.0%	33.2%	48.8%	42.3%	42.0%
Bid-Ask Spread %	105.79	96.36	117.36	110.95	115.69
Gamma HHI	0.60	0.35	0.79	0.60	0.35
Net GEX	3.0K	-505	5.2K	3.3K	1.8K
Net DEX	-96.3K	-138.9K	-32.3K	-123.8K	-83.4K
Net VEX	-523	-664	-421	-563	-576
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.58	4.02	1.17	4.02
Total Volume	117.636	60	211	91	211
Total OI	218.273	145	296	203	296

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
2017-10-02	$23.87	$22.50	32.4%	9.3%	48.4%	19.7%	39.2%	2.4%	-12.2%	3.3K	-123.8K	-563	1.17	110.95	42	49	108	95
2017-10-03	$23.69	$22.50	40.9%	11.7%	48.3%	33.4%	41.0%	5.6%	-2.6%	3.0K	-127.4K	-538	1.26	111.74	39	49	108	95
2017-10-04	$22.97	$22.50	39.9%	11.4%	49.8%	31.9%	41.8%	3.6%	-6.8%	3.0K	-101.1K	-550	1.26	113.56	39	49	108	95
2017-10-05	$23.10	$0.00	38.4%	11.1%	49.8%	29.3%	0.0%	6.0%	0.2%	2.5K	-95.0K	-555	1.26	106.63	39	49	108	95
2017-10-06	$22.51	$0.00	34.8%	10.2%	50.2%	23.6%	0.0%	5.4%	-2.2%	2.3K	-82.4K	-544	1.58	104.19	31	49	108	95
2017-10-09	$21.88	$0.00	28.7%	9.0%	42.6%	13.8%	0.0%	-1.3%	5.3%	1.7K	-50.8K	-495	1.58	96.36	31	49	106	95
2017-10-10	$22.56	$0.00	28.1%	10.2%	34.6%	12.8%	0.0%	4.8%	-1.8%	2.4K	-80.4K	-501	1.58	101.43	31	49	106	95
2017-10-11	$22.84	$0.00	36.2%	10.4%	32.8%	25.9%	38.4%	2.4%	1.7%	2.1K	-88.9K	-522	1.17	104.21	42	49	106	95
2017-10-12	$22.98	$25.00	34.8%	10.0%	32.7%	23.6%	29.4%	7.2%	-3.1%	3.5K	-92.6K	-501	1.17	102.08	42	49	117	95
2017-10-13	$23.65	$25.00	33.4%	9.6%	33.5%	21.4%	35.2%	7.2%	7.6%	4.1K	-126.3K	-523	1.17	108.06	42	49	117	95
2017-10-16	$23.79	$25.00	27.8%	8.0%	33.3%	12.3%	33.0%	6.3%	-0.1%	4.5K	-138.9K	-495	1.11	101.51	44	49	117	95
2017-10-17	$23.02	$20.00	36.0%	10.3%	35.2%	25.5%	38.7%	1.4%	-0.9%	3.4K	-108.0K	-484	1.11	107.03	44	49	118	95
2017-10-18	$23.33	$20.00	36.8%	10.6%	35.5%	26.9%	40.1%	-3.9%	2.4%	4.0K	-130.7K	-474	1.11	105.53	44	49	118	95
2017-10-19	$23.10	$20.00	41.9%	12.0%	35.7%	35.1%	38.4%	3.7%	-5.6%	3.9K	-113.1K	-468	1.11	99.55	44	49	118	95
2017-10-20	$22.99	$20.00	37.9%	10.9%	35.7%	28.5%	36.6%	3.9%	-1.7%	4.8K	-124.8K	-461	1.04	100.13	47	49	118	95
2017-10-23	$22.80	$20.00	24.2%	6.9%	35.8%	6.5%	35.6%	7.5%	12.4%	5.2K	-88.8K	-421	0.58	98.66	38	22	103	42
2017-10-24	$22.98	$20.00	37.0%	10.6%	34.6%	27.2%	45.0%	2.4%	3.4%	4.9K	-91.9K	-435	2.74	102.27	38	104	103	42
2017-10-25	$23.51	$20.00	41.1%	11.8%	32.8%	33.9%	55.8%	14.3%	-3.8%	2.5K	-91.6K	-527	3.90	107.05	42	164	103	124
2017-10-26	$23.13	$20.00	34.6%	9.9%	33.0%	23.2%	34.8%	2.4%	11.9%	910	-55.8K	-664	4.02	105.01	42	169	107	184
2017-10-27	$23.53	$20.00	35.9%	10.3%	32.4%	25.4%	33.6%	16.3%	0.2%	3.6K	-90.0K	-567	4.02	117.36	42	169	107	189
2017-10-30	$22.39	$20.00	37.1%	10.6%	35.2%	27.3%	43.1%	-5.2%	-1.7%	-505	-32.3K	-639	4.02	108.35	42	169	107	189
2017-10-31	$23.38	$20.00	34.3%	9.8%	38.8%	22.8%	40.9%	12.4%	4.1%	1.8K	-83.4K	-576	4.02	115.69	42	169	107	189