LMNR Options History — November 2017

In November 2017, LMNR traded between $22.36 and $25.30. ATM implied volatility averaged 39.9%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 1.8% (HV 20d: 41.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.87.

Notable Days

2017-11-17: Highest Volume — 237 contracts
2017-11-06: Largest IV spike — 309.2% change
2017-11-06: Highest IV Rank — 100.0%
2017-11-06: Largest Expected Move — 24.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.70	$22.36	$25.30	$22.44	$25.26
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	39.9%	26.8%	162.5%	33.2%	30.0%
Expected Move	10.2%	7.7%	24.8%	9.5%	8.6%
HV 20d	41.7%	34.9%	45.4%	40.0%	34.9%
HV 60d	40.6%	39.2%	41.7%	39.7%	41.6%
IV Rank	16.2%	4.7%	100.0%	21.0%	6.9%
IV Percentile	46.6%	8.3%	100.0%	39.3%	21.4%
Term Structure	2.1%	-47.6%	14.9%	6.7%	7.3%
VWIV	51.8%	29.6%	115.3%	40.4%	29.6%
Skew 25d	8.0%	-4.4%	72.3%	0.5%	57.3%
Skew 10d	14.2%	-7.1%	101.3%	4.1%	101.3%
Call IV 25d	38.6%	31.0%	53.3%	36.6%	40.4%
Put IV 25d	46.7%	28.4%	125.6%	37.0%	97.7%
Bid-Ask Spread %	114.41	99.78	143.41	117.78	125.15
Gamma HHI	0.44	0.29	0.81	0.38	0.81
Net GEX	3.5K	-1.6K	9.0K	-1.0K	9.0K
Net DEX	-85.3K	-173.6K	-353	-30.2K	-150.2K
Net VEX	-524	-701	-428	-647	-438
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.87	2.94	4.50	4.02	3.52
Total Volume	191.19	136	237	211	149
Total OI	278.619	224	323	296	232

Daily Data (21 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
2017-11-01	$22.44	$20.00	33.2%	9.5%	40.0%	21.0%	40.4%	0.5%	6.7%	-1.0K	-30.2K	-647	4.02	117.78	42	169	107	189
2017-11-02	$23.57	$20.00	42.0%	9.4%	43.8%	35.2%	47.1%	7.0%	14.9%	3.4K	-83.7K	-548	4.02	102.10	42	169	107	189
2017-11-03	$23.20	$20.00	39.7%	9.0%	43.1%	31.6%	47.6%	3.7%	9.9%	2.7K	-77.7K	-552	4.02	109.00	42	169	107	189
2017-11-06	$22.84	$20.00	162.5%	24.8%	42.2%	100.0%	115.3%	72.3%	-47.6%	-1.4K	-353	-701	4.02	143.41	42	169	107	189
2017-11-07	$22.60	$20.00	38.3%	10.6%	41.0%	12.7%	40.8%	-0.3%	0.2%	-1.6K	-36.4K	-534	4.02	100.53	42	169	107	189
2017-11-08	$22.36	$20.00	34.9%	10.0%	40.9%	10.4%	40.6%	-1.1%	2.5%	-809	-33.2K	-512	4.02	99.78	42	169	107	189
2017-11-09	$22.84	$20.00	36.3%	10.4%	41.6%	11.3%	47.9%	1.8%	4.0%	2.7K	-59.4K	-504	4.50	104.98	42	189	107	189
2017-11-10	$23.09	$20.00	35.0%	10.0%	40.4%	10.4%	47.4%	1.7%	7.0%	1.9K	-56.1K	-590	4.50	104.40	42	189	107	209
2017-11-13	$22.61	$20.00	35.5%	10.2%	40.9%	10.8%	44.8%	-0.9%	1.3%	102	-39.1K	-562	4.50	102.11	42	189	107	214
2017-11-14	$22.51	$20.00	30.7%	8.8%	39.3%	7.4%	39.7%	0.6%	5.0%	855	-49.2K	-480	4.50	113.71	42	189	107	214
2017-11-15	$22.78	$20.00	37.9%	10.9%	39.3%	12.5%	50.6%	6.9%	3.6%	1.8K	-47.3K	-577	4.50	115.37	42	189	107	214
2017-11-16	$24.00	$20.00	27.7%	7.9%	43.4%	5.3%	56.5%	3.7%	6.6%	3.6K	-94.6K	-525	4.34	111.14	44	191	107	214
2017-11-17	$24.05	$20.00	32.7%	9.4%	43.3%	8.8%	42.1%	1.8%	0.6%	3.2K	-108.1K	-512	4.15	117.88	46	191	107	216
2017-11-20	$24.80	$20.00	32.0%	9.2%	44.3%	8.3%	39.4%	10.2%	2.0%	4.7K	-123.2K	-472	2.94	121.68	36	106	90	134
2017-11-21	$25.05	$20.00	26.8%	7.7%	44.3%	4.7%	33.4%	-2.6%	6.4%	7.9K	-161.1K	-489	2.94	119.18	36	106	107	132
2017-11-22	$25.30	$20.00	31.5%	9.0%	43.8%	7.9%	57.8%	3.3%	4.8%	6.8K	-173.6K	-481	3.53	118.63	30	106	107	132
2017-11-24	$24.44	$20.00	32.0%	9.2%	45.4%	8.3%	59.7%	-1.5%	1.3%	6.2K	-104.1K	-492	3.53	121.18	30	106	97	132
2017-11-27	$24.51	$20.00	31.9%	9.1%	45.1%	8.2%	66.7%	2.4%	6.0%	6.9K	-112.4K	-483	3.21	121.10	33	106	97	132
2017-11-28	$24.52	$20.00	31.7%	9.1%	40.8%	8.1%	60.9%	6.3%	2.6%	7.5K	-112.2K	-485	3.21	116.19	33	106	100	132
2017-11-29	$25.03	$20.00	36.4%	10.4%	38.6%	11.4%	80.5%	-4.4%	-0.6%	8.5K	-140.0K	-428	3.21	117.31	33	106	100	132
2017-11-30	$25.26	$20.00	30.0%	8.6%	34.9%	6.9%	29.6%	57.3%	7.3%	9.0K	-150.2K	-438	3.52	125.15	33	116	100	132