LMNR Options History — January 2018

In January 2018, LMNR traded between $20.71 and $24.23. ATM implied volatility averaged 43.5%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 20.4% (HV 20d: 63.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.41.

Notable Days

2018-01-23: Highest Volume — 369 contracts
2018-01-09: Largest IV drop — 41.9% change
2018-01-05: Highest IV Rank — 35.9%
2018-01-03: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.59	$20.71	$24.23	$22.00	$21.44
Max Pain	$22.38	$20.00	$22.50	$22.50	$22.50
ATM IV	43.5%	31.0%	71.3%	62.3%	41.7%
Expected Move	11.9%	9.2%	18.2%	17.9%	12.0%
HV 20d	63.9%	44.3%	73.5%	46.9%	65.4%
HV 60d	49.8%	40.2%	52.9%	41.0%	49.4%
IV Rank	16.4%	7.6%	35.9%	29.6%	15.2%
IV Percentile	73.0%	25.8%	98.4%	98.4%	83.3%
Term Structure	-1.5%	-21.4%	8.9%	-15.4%	-1.6%
VWIV	44.6%	32.3%	66.1%	66.1%	46.4%
Skew 25d	4.8%	0.3%	15.6%	15.6%	5.9%
Skew 10d	13.4%	4.9%	28.6%	15.4%	23.8%
Call IV 25d	41.7%	35.4%	54.8%	51.7%	40.7%
Put IV 25d	46.5%	37.9%	67.3%	67.3%	46.6%
Bid-Ask Spread %	67.14	31.94	113.24	111.03	81.88
Gamma HHI	0.33	0.25	0.58	0.40	0.29
Net GEX	-2.0K	-11.9K	3.0K	-2.7K	2.0K
Net DEX	16.7K	-120.6K	137.1K	26.1K	-32.8K
Net VEX	-905	-1.1K	-588	-600	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.71	2.23	1.92	1.53
Total Volume	299.952	155	369	155	347
Total OI	490.143	226	604	226	572

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
2018-01-02	$22.00	$22.50	62.3%	17.9%	46.9%	29.6%	66.1%	15.6%	-15.4%	-2.7K	26.1K	-600	1.92	111.03	53	102	63	163
2018-01-03	$21.75	$22.50	63.4%	18.2%	46.9%	30.4%	63.2%	9.0%	-21.4%	-2.0K	18.0K	-645	2.23	113.24	48	107	85	164
2018-01-04	$21.18	$22.50	55.6%	14.3%	44.3%	24.9%	51.4%	7.8%	-0.9%	-2.7K	35.9K	-650	2.12	102.10	58	123	89	169
2018-01-05	$21.25	$22.50	71.3%	12.6%	44.4%	35.9%	48.9%	1.0%	8.9%	-2.3K	35.2K	-725	2.12	91.07	59	125	104	177
2018-01-08	$24.23	$22.50	53.5%	11.6%	62.5%	23.4%	42.2%	2.6%	-2.0%	1.8K	-120.6K	-588	0.96	60.02	184	177	107	189
2018-01-09	$21.89	$20.00	31.0%	10.4%	72.9%	7.6%	36.3%	0.3%	1.6%	-1.9K	8.7K	-746	0.81	69.76	177	143	210	310
2018-01-10	$21.32	$22.50	33.3%	9.6%	73.4%	9.2%	32.3%	7.4%	3.7%	-8.7K	117.4K	-811	0.71	102.50	177	126	210	329
2018-01-11	$21.67	$22.50	37.7%	10.8%	73.5%	12.3%	39.1%	3.0%	0.6%	-5.0K	51.8K	-766	1.10	54.98	141	155	210	314
2018-01-12	$21.66	$22.50	37.5%	10.7%	72.4%	12.2%	39.2%	2.7%	1.5%	-5.3K	62.0K	-1.0K	1.24	38.96	135	167	239	347
2018-01-16	$21.30	$22.50	38.8%	11.1%	69.3%	13.1%	40.4%	4.5%	-0.8%	-7.5K	96.7K	-1.0K	1.30	36.33	134	174	239	363
2018-01-17	$21.05	$22.50	42.2%	12.1%	68.6%	15.5%	40.6%	3.9%	0.2%	-8.8K	123.0K	-966	1.22	31.94	143	174	239	357
2018-01-18	$20.71	$22.50	41.6%	11.9%	66.6%	15.1%	40.2%	5.0%	-1.2%	-11.9K	137.1K	-932	1.07	37.45	153	164	247	357
2018-01-19	$21.37	$22.50	38.2%	10.9%	67.7%	12.7%	39.9%	4.7%	-2.7%	-148	34.5K	-989	1.01	49.75	143	145	262	340
2018-01-22	$21.32	$22.50	39.6%	11.4%	67.4%	13.7%	45.6%	3.0%	-0.2%	-89	8.6K	-981	1.53	41.54	137	210	201	238
2018-01-23	$21.84	$22.50	38.8%	11.1%	67.7%	13.1%	45.1%	4.1%	0.5%	1.0K	-40.6K	-1.1K	1.32	67.35	159	210	219	323
2018-01-24	$21.44	$22.50	39.5%	11.3%	67.9%	13.6%	45.7%	0.8%	-1.1%	2.1K	-42.5K	-1.1K	1.46	56.58	144	210	248	323
2018-01-25	$21.46	$22.50	32.2%	9.2%	66.9%	8.5%	39.1%	2.7%	1.8%	2.1K	-39.1K	-1.1K	1.46	60.69	144	210	248	323
2018-01-26	$21.55	$22.50	34.0%	9.7%	66.3%	9.7%	40.5%	2.7%	0.1%	3.0K	-48.3K	-1.1K	1.53	55.49	137	210	248	323
2018-01-29	$21.69	$22.50	39.6%	11.3%	66.1%	13.6%	44.5%	7.8%	-0.8%	2.7K	-47.8K	-1.1K	1.53	73.64	137	210	249	323
2018-01-30	$21.35	$22.50	41.7%	12.0%	65.6%	15.1%	49.2%	6.6%	-1.2%	2.1K	-31.8K	-1.1K	1.53	73.54	137	210	249	323
2018-01-31	$21.44	$22.50	41.7%	12.0%	65.4%	15.2%	46.4%	5.9%	-1.6%	2.0K	-32.8K	-1.0K	1.53	81.88	137	210	249	323