LMNR Options History — March 2018

In March 2018, LMNR traded between $20.73 and $23.64. ATM implied volatility averaged 51.6%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 19.0% (HV 20d: 32.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.30.

Notable Days

2018-03-12: Highest Volume — 427 contracts
2018-03-12: Largest IV drop — 36.8% change
2018-03-09: Highest IV Rank — 47.0%
2018-03-02: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.22	$20.73	$23.64	$21.32	$23.64
Max Pain	$21.79	$20.00	$22.50	$22.50	$22.50
ATM IV	51.6%	36.2%	87.1%	52.1%	41.0%
Expected Move	12.6%	10.2%	19.3%	14.9%	11.8%
HV 20d	32.6%	24.0%	36.6%	32.4%	35.2%
HV 60d	47.5%	46.1%	50.1%	49.4%	46.2%
IV Rank	22.1%	11.2%	47.0%	22.5%	14.7%
IV Percentile	82.4%	57.9%	99.6%	90.5%	74.6%
Term Structure	-0.9%	-21.2%	8.0%	-14.5%	2.8%
VWIV	50.2%	33.3%	79.7%	65.1%	47.6%
Skew 25d	7.8%	-5.9%	18.2%	14.8%	6.2%
Skew 10d	19.6%	10.5%	36.1%	36.1%	12.8%
Call IV 25d	42.5%	30.2%	66.4%	56.3%	37.0%
Put IV 25d	50.3%	39.8%	77.8%	71.1%	43.2%
Bid-Ask Spread %	95.21	72.29	118.05	118.05	91.19
Gamma HHI	0.36	0.27	0.60	0.32	0.27
Net GEX	1.1K	-6.7K	22.4K	-2.3K	-1.4K
Net DEX	-71.3K	-381.3K	33.1K	-2.4K	-64.1K
Net VEX	-1.1K	-1.2K	-968	-1.1K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.30	0.50	3.86	1.60	2.95
Total Volume	306.143	208	427	208	292
Total OI	556.048	461	759	461	540

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
2018-03-01	$21.32	$22.50	52.1%	14.9%	32.4%	22.5%	65.1%	14.8%	-14.5%	-2.3K	-2.4K	-1.1K	1.60	118.05	80	128	174	287
2018-03-02	$20.98	$22.50	67.2%	19.3%	32.9%	33.0%	79.7%	11.4%	-21.2%	-1.1K	4.3K	-1.1K	1.60	110.27	80	128	174	287
2018-03-05	$20.95	$22.50	76.4%	14.0%	31.6%	39.5%	46.0%	4.4%	-3.5%	-984	1.3K	-1.1K	1.60	92.91	80	128	174	287
2018-03-06	$20.85	$22.50	67.7%	15.6%	27.6%	33.4%	50.5%	8.8%	-4.3%	-710	9.1K	-1.0K	1.60	100.78	80	128	174	287
2018-03-07	$20.73	$22.50	65.3%	14.4%	27.7%	31.7%	52.0%	4.8%	3.8%	-1.3K	17.3K	-1.0K	1.60	103.60	80	128	174	287
2018-03-08	$20.76	$22.50	76.1%	14.9%	27.3%	39.3%	48.7%	7.4%	-1.8%	-1.5K	14.9K	-1.0K	0.50	100.53	259	129	174	287
2018-03-09	$21.08	$22.50	87.1%	10.2%	24.0%	47.0%	33.3%	-5.9%	4.7%	10.0K	-90.3K	-1.1K	1.79	97.78	134	240	293	290
2018-03-12	$22.86	$20.00	55.1%	11.3%	36.2%	24.5%	54.3%	15.7%	4.9%	22.4K	-268.3K	-1.2K	2.01	102.39	142	285	314	398
2018-03-13	$22.98	$20.00	55.0%	11.5%	36.2%	24.5%	53.9%	15.8%	2.7%	20.9K	-307.1K	-1.1K	2.52	103.90	113	285	316	443
2018-03-14	$23.34	$20.00	36.2%	10.4%	36.3%	11.2%	47.9%	11.9%	8.0%	9.6K	-381.3K	-1.0K	2.02	111.14	129	261	290	443
2018-03-15	$23.12	$20.00	38.9%	11.1%	36.6%	13.1%	53.6%	18.2%	3.9%	14.7K	-208.9K	-1.2K	2.54	111.81	95	241	244	450
2018-03-16	$23.22	$20.00	37.1%	10.6%	34.0%	11.9%	49.2%	9.4%	7.7%	-3.7K	-280.5K	-968	1.94	90.87	127	246	243	475
2018-03-19	$22.93	$20.00	40.4%	11.6%	32.6%	14.2%	50.5%	3.2%	-2.5%	-4.1K	-11.2K	-1.1K	3.86	105.64	59	228	117	370
2018-03-20	$22.77	$22.50	40.8%	11.7%	32.7%	14.5%	46.6%	6.3%	-11.3%	-5.4K	13.1K	-1.1K	3.01	77.90	79	238	117	388
2018-03-21	$22.86	$22.50	39.7%	11.4%	32.7%	13.7%	44.0%	4.5%	-0.3%	-4.1K	-16.0K	-1.1K	2.89	80.72	79	228	137	398
2018-03-22	$22.34	$22.50	39.5%	11.3%	33.9%	13.6%	44.3%	5.1%	1.7%	-5.8K	19.3K	-1.1K	2.89	72.29	79	228	137	388
2018-03-23	$22.18	$22.50	41.1%	11.8%	33.7%	14.7%	45.3%	4.3%	-0.5%	-6.3K	27.9K	-1.2K	2.89	83.36	79	228	137	388
2018-03-26	$22.18	$22.50	42.3%	12.1%	33.3%	15.6%	47.0%	6.6%	-0.9%	-6.7K	33.1K	-1.1K	2.76	84.88	79	218	137	388
2018-03-27	$22.44	$22.50	42.4%	12.1%	33.3%	15.6%	47.6%	5.4%	1.3%	-6.1K	25.4K	-1.1K	2.76	74.73	79	218	137	398
2018-03-28	$23.19	$22.50	42.4%	12.1%	35.0%	15.6%	48.1%	4.7%	0.4%	-3.8K	-34.0K	-1.1K	2.95	84.68	74	218	137	398
2018-03-29	$23.64	$22.50	41.0%	11.8%	35.2%	14.7%	47.6%	6.2%	2.8%	-1.4K	-64.1K	-1.1K	2.95	91.19	74	218	142	398