LMNR Options History — November 2018

In November 2018, LMNR traded between $24.14 and $25.67. ATM implied volatility averaged 28.9%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.0% (HV 20d: 22.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 5.01.

Notable Days

  • 2018-11-15: Highest Volume — 586 contracts
  • 2018-11-08: Largest IV drop — 31.0% change
  • 2018-11-07: Highest IV Rank — 23.0%
  • 2018-11-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.83$24.14$25.67$25.30$24.14
Max Pain$26.19$25.00$30.00$25.00$25.00
ATM IV28.9%24.3%38.6%36.9%27.0%
Expected Move8.1%7.0%10.6%10.6%7.7%
HV 20d22.0%18.3%26.6%26.6%18.3%
HV 60d40.9%40.6%41.0%40.8%40.6%
IV Rank8.9%4.4%23.0%10.9%8.4%
IV Percentile16.7%2.0%63.9%51.6%7.1%
Term Structure9.2%-2.3%15.1%-2.1%14.5%
VWIV31.7%26.5%43.8%43.8%29.9%
Skew 25d4.9%-3.5%13.6%13.6%4.0%
Skew 10d9.2%-5.0%22.7%22.7%-1.2%
Call IV 25d27.4%20.3%35.6%29.8%28.5%
Put IV 25d32.4%27.6%43.5%43.5%32.6%
Bid-Ask Spread %67.4537.2288.5780.5582.41
Gamma HHI0.390.320.450.370.42
Net GEX-5.5K-12.0K-568-5.0K-6.8K
Net DEX247.8K93.5K362.7K291.8K271.6K
Net VEX-2.9K-3.2K-2.5K-3.1K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.013.557.137.134.82
Total Volume442.381384586431384
Total OI1,206.811,1651,3051,1681,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$25.30$25.0036.9%10.6%26.6%10.9%43.8%13.6%-2.1%-5.0K291.8K-3.1K7.1380.5553378479689
2018-11-02$25.67$25.0036.3%10.4%25.2%10.6%40.0%11.2%-2.3%-3.3K230.8K-3.1K7.1386.2353378479689
2018-11-05$25.35$30.0038.4%10.1%25.5%12.0%40.5%3.6%2.6%-4.4K288.5K-3.0K6.7771.2553359479689
2018-11-06$24.88$30.0038.6%10.0%25.8%12.2%42.2%2.9%2.8%-6.3K362.7K-2.9K6.7773.3653359479690
2018-11-07$25.05$30.0036.6%9.8%22.9%23.0%39.9%2.9%3.3%-5.7K342.9K-2.9K7.1072.3952369477690
2018-11-08$25.23$30.0025.3%7.1%22.4%5.8%26.5%-1.8%8.6%-5.6K343.0K-2.5K3.9781.0996381478700
2018-11-09$25.34$30.0026.0%7.0%22.4%7.0%27.3%5.7%8.8%-4.1K294.0K-2.7K3.5579.88106376520725
2018-11-12$25.47$25.0025.4%7.3%22.1%6.1%28.4%9.0%8.0%-2.8K108.3K-2.8K4.3943.7697426530695
2018-11-13$25.50$25.0029.3%7.2%21.9%11.9%27.4%7.0%8.2%-2.8K93.5K-2.8K4.3957.8597426528770
2018-11-14$24.96$25.0024.3%7.0%22.2%4.4%26.5%-3.5%8.8%-568217.0K-2.6K4.3580.9897422528760
2018-11-15$24.48$25.0025.1%7.2%20.9%5.6%30.0%4.7%9.6%-3.0K207.9K-2.6K5.0474.8897489528704
2018-11-16$24.34$25.0027.5%7.9%20.9%9.2%28.9%2.8%8.7%-12.0K296.4K-3.0K3.8488.57117449538767
2018-11-19$24.43$25.0025.5%7.3%20.2%6.2%30.2%4.4%13.7%-7.5K222.7K-3.1K4.4265.3173323534631
2018-11-20$24.42$25.0026.3%7.5%20.0%7.4%31.4%5.9%13.9%-6.8K214.8K-3.2K4.4253.9973323544641
2018-11-21$24.85$25.0024.5%7.0%20.7%4.6%26.9%7.5%14.9%-4.4K161.0K-3.1K4.3065.2774318544637
2018-11-23$24.71$25.0027.0%7.7%20.0%8.4%29.0%7.6%12.9%-6.2K207.0K-3.1K4.3048.1574318545647
2018-11-26$24.24$25.0027.1%7.8%20.9%8.6%29.0%5.4%14.1%-8.3K287.5K-3.0K4.2449.8875318545647
2018-11-27$24.20$25.0027.6%7.9%20.7%9.3%30.3%3.7%14.3%-7.7K272.7K-3.1K4.6849.5668318555647
2018-11-28$24.42$25.0026.8%7.7%21.0%8.1%28.9%4.1%14.3%-6.1K232.1K-3.1K4.8237.2266318558647
2018-11-29$24.37$25.0026.4%7.6%20.7%7.6%29.1%2.4%15.1%-6.4K256.8K-3.0K4.8273.8166318558647
2018-11-30$24.14$25.0027.0%7.7%18.3%8.4%29.9%4.0%14.5%-6.8K271.6K-3.1K4.8282.4166318558647