LMNR Options History — December 2017

In December 2017, LMNR traded between $21.26 and $25.05. ATM implied volatility averaged 39.5%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 2.4% (HV 20d: 41.8%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.53.

Notable Days

2017-12-14: Highest Volume — 199 contracts
2017-12-29: Largest IV spike — 43.9% change
2017-12-29: Highest IV Rank — 24.1%
2017-12-29: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.75	$21.26	$25.05	$25.05	$22.38
Max Pain	$22.13	$17.50	$22.50	$20.00	$22.50
ATM IV	39.5%	25.5%	54.5%	35.0%	54.5%
Expected Move	10.8%	7.3%	15.6%	10.0%	15.6%
HV 20d	41.8%	30.8%	46.7%	31.2%	46.7%
HV 60d	40.0%	36.7%	41.6%	41.6%	40.9%
IV Rank	13.5%	3.8%	24.1%	10.4%	24.1%
IV Percentile	68.5%	5.2%	96.8%	52.0%	96.8%
Term Structure	1.6%	-10.0%	14.5%	-1.3%	-10.0%
VWIV	43.9%	29.6%	75.4%	75.4%	63.6%
Skew 25d	4.5%	-8.7%	15.0%	-3.5%	9.2%
Skew 10d	9.1%	-5.1%	23.0%	-4.6%	6.6%
Call IV 25d	39.8%	25.5%	56.3%	43.5%	56.3%
Put IV 25d	44.3%	35.7%	65.6%	40.0%	65.6%
Bid-Ask Spread %	110.82	96.41	125.50	125.12	101.51
Gamma HHI	0.36	0.25	0.59	0.59	0.35
Net GEX	1.9K	-1.8K	7.7K	7.7K	-1.8K
Net DEX	-33.1K	-137.3K	20.9K	-137.3K	6.9K
Net VEX	-528	-695	-413	-500	-644
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.53	1.97	3.52	3.52	3.03
Total Volume	156.9	129	199	149	141
Total OI	240.25	153	287	244	236

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
2017-12-01	$25.05	$20.00	35.0%	10.0%	31.2%	10.4%	75.4%	-3.5%	-1.3%	7.7K	-137.3K	-500	3.52	125.12	33	116	100	144
2017-12-04	$24.84	$22.50	41.1%	9.7%	30.8%	14.7%	29.6%	-2.8%	5.6%	7.4K	-124.9K	-502	3.52	108.27	33	116	100	144
2017-12-05	$23.55	$22.50	45.2%	10.8%	36.3%	17.6%	33.8%	2.6%	5.8%	5.2K	-68.3K	-468	3.52	110.43	33	116	100	144
2017-12-06	$23.45	$22.50	33.9%	10.8%	36.1%	9.7%	37.7%	5.5%	-0.7%	5.5K	-56.7K	-413	2.76	109.24	42	116	100	144
2017-12-07	$22.25	$22.50	43.8%	10.8%	40.7%	16.6%	38.6%	4.3%	-0.1%	717	-9.0K	-475	2.76	109.49	42	116	100	144
2017-12-08	$22.11	$22.50	32.2%	9.1%	40.0%	8.4%	31.5%	2.7%	4.0%	2.3K	-11.8K	-436	2.76	109.90	42	116	100	144
2017-12-11	$22.21	$22.50	42.4%	11.8%	39.8%	15.6%	40.4%	2.5%	-2.7%	556	-4.1K	-441	1.97	108.86	59	116	100	144
2017-12-12	$22.56	$22.50	50.9%	10.2%	39.6%	21.6%	36.7%	5.0%	1.0%	5.1K	-46.5K	-468	1.97	107.80	59	116	120	144
2017-12-13	$23.28	$22.50	39.7%	11.4%	41.1%	13.7%	38.9%	11.0%	1.5%	5.9K	-83.4K	-438	2.02	104.47	60	121	120	144
2017-12-14	$21.88	$17.50	43.3%	12.4%	46.6%	16.3%	42.8%	-8.7%	-6.0%	2.5K	-24.7K	-456	2.11	101.41	64	135	120	149
2017-12-15	$21.26	$22.50	35.3%	10.1%	42.9%	10.6%	35.4%	-4.9%	0.0%	-121	5.8K	-490	2.37	104.70	57	135	124	163
2017-12-18	$22.26	$22.50	25.5%	7.3%	46.6%	3.8%	36.5%	11.8%	14.5%	1.4K	-4.3K	-487	2.79	116.75	34	95	60	93
2017-12-19	$22.08	$22.50	36.0%	10.3%	44.8%	11.2%	46.9%	15.0%	9.8%	-1.4K	20.9K	-695	2.16	96.84	44	95	71	156
2017-12-20	$22.38	$22.50	43.5%	12.5%	45.0%	16.4%	50.7%	10.0%	-1.5%	-1.0K	-7.4K	-656	2.11	96.41	46	97	71	156
2017-12-21	$22.80	$22.50	37.1%	10.6%	45.5%	11.9%	46.5%	5.0%	2.0%	-326	-28.8K	-628	2.11	118.93	46	97	73	158
2017-12-22	$22.93	$22.50	35.4%	10.2%	44.3%	10.7%	45.7%	7.9%	0.2%	122	-34.3K	-601	2.22	121.16	46	102	73	158
2017-12-26	$22.15	$22.50	34.8%	10.0%	45.6%	10.3%	48.7%	5.6%	3.0%	-837	2.2K	-618	2.22	125.50	46	102	73	163
2017-12-27	$22.66	$22.50	41.5%	11.9%	46.6%	15.0%	49.4%	3.6%	4.3%	-950	-16.2K	-597	2.30	119.19	46	106	73	163
2017-12-28	$23.01	$22.50	37.9%	10.9%	46.3%	12.4%	48.3%	7.2%	2.0%	286	-41.1K	-552	2.30	120.37	46	106	73	163
2017-12-29	$22.38	$22.50	54.5%	15.6%	46.7%	24.1%	63.6%	9.2%	-10.0%	-1.8K	6.9K	-644	3.03	101.51	35	106	73	163