LMNR Options History — September 2019

In September 2019, LMNR traded between $18.04 and $20.32. ATM implied volatility averaged 41.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 6.3% (HV 20d: 47.8%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.88.

Notable Days

2019-09-09: Highest Volume — 481 contracts
2019-09-10: Largest IV drop — 37.1% change
2019-09-03: Highest IV Rank — 66.6%
2019-09-03: Largest Expected Move — 21.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.05	$18.04	$20.32	$18.30	$18.41
Max Pain	$19.75	$17.50	$22.50	$17.50	$17.50
ATM IV	41.5%	24.4%	75.4%	75.4%	32.5%
Expected Move	11.2%	7.0%	21.6%	21.6%	9.3%
HV 20d	47.8%	38.5%	54.3%	38.5%	42.4%
HV 60d	35.3%	32.0%	36.9%	33.2%	36.7%
IV Rank	26.0%	5.5%	66.6%	66.6%	15.2%
IV Percentile	50.4%	3.2%	98.8%	98.8%	28.2%
Term Structure	-2.4%	-38.3%	26.9%	-38.3%	10.6%
VWIV	45.1%	24.9%	74.0%	67.4%	24.9%
Skew 25d	6.2%	-6.2%	33.3%	26.9%	0.8%
Skew 10d	6.5%	-10.0%	51.5%	51.5%	0.9%
Call IV 25d	33.8%	21.0%	52.6%	51.4%	32.0%
Put IV 25d	40.0%	23.0%	78.4%	78.4%	32.8%
Bid-Ask Spread %	102.75	88.86	114.18	97.62	98.42
Gamma HHI	0.39	0.31	0.48	0.31	0.46
Net GEX	928	-4.4K	17.4K	-555	-4.2K
Net DEX	-5.8K	-195.6K	98.6K	46.1K	78.1K
Net VEX	-842	-1.1K	-742	-784	-814
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.00	3.80	0.40	0.00
Total Volume	53.05	0	481	1	0
Total OI	540	272	1,010	272	319

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
2019-09-03	$18.30	$17.50	75.4%	21.6%	38.5%	66.6%	67.4%	26.9%	-38.3%	-555	46.1K	-784	0.00	97.62	0	1	128	144
2019-09-04	$18.45	$17.50	57.7%	16.5%	38.7%	45.4%	53.0%	9.2%	-0.6%	-836	46.4K	-767	0.40	105.76	5	2	128	144
2019-09-05	$19.30	$22.50	52.9%	12.3%	41.8%	39.7%	0.0%	4.2%	-10.4%	-178	22.0K	-758	0.83	101.72	6	5	131	146
2019-09-06	$19.48	$22.50	57.1%	10.5%	41.7%	44.6%	43.8%	0.9%	-3.1%	-119	1.8K	-772	0.15	101.52	111	17	129	149
2019-09-09	$18.48	$17.50	66.5%	13.9%	45.9%	55.9%	39.6%	18.6%	-23.3%	1.3K	25.7K	-838	1.12	94.42	227	254	250	157
2019-09-10	$19.12	$20.00	41.8%	11.4%	47.6%	26.3%	74.0%	33.3%	-14.8%	-2.8K	-75.3K	-1.1K	1.14	111.42	97	111	528	482
2019-09-11	$20.16	$20.00	32.2%	9.2%	50.7%	14.8%	32.6%	-5.5%	-5.2%	17.4K	-195.6K	-996	0.18	101.14	62	11	495	393
2019-09-12	$20.32	$20.00	30.6%	8.8%	50.7%	12.8%	0.0%	5.4%	-9.8%	12.3K	-156.4K	-872	0.22	104.49	18	4	439	385
2019-09-13	$20.32	$20.00	32.2%	9.2%	50.7%	14.8%	0.0%	-0.6%	2.6%	9.6K	-139.9K	-948	0.69	104.88	13	9	428	381
2019-09-16	$20.19	$20.00	31.5%	9.0%	49.7%	13.9%	25.6%	-3.6%	2.9%	5.7K	-110.4K	-848	3.80	108.15	5	19	407	371
2019-09-17	$20.10	$20.00	33.1%	9.5%	49.4%	15.8%	0.0%	4.2%	-0.4%	2.9K	-82.5K	-816	0.00	107.10	0	1	402	384
2019-09-18	$19.82	$20.00	32.7%	9.4%	49.7%	15.3%	0.0%	-4.5%	1.4%	3.4K	-70.4K	-864	0.75	108.10	16	12	402	384
2019-09-19	$18.68	$20.00	42.9%	12.3%	54.1%	27.5%	56.6%	-6.2%	-23.5%	-3.0K	26.0K	-792	0.20	114.18	5	1	394	379
2019-09-20	$18.36	$20.00	33.0%	9.5%	54.3%	15.7%	0.0%	10.2%	7.4%	-3.4K	43.3K	-796	2.67	108.43	3	8	399	385
2019-09-23	$18.26	$20.00	36.0%	10.3%	51.2%	19.3%	0.0%	-1.9%	26.3%	-3.5K	84.2K	-775	0.00	104.25	0	2	102	187
2019-09-24	$18.04	$20.00	40.8%	11.7%	51.3%	25.1%	0.0%	11.6%	26.9%	-3.8K	98.6K	-742	1.00	102.74	10	10	102	190
2019-09-25	$18.31	$20.00	41.2%	11.8%	50.8%	25.6%	0.0%	19.7%	8.2%	-3.4K	82.3K	-846	0.00	88.86	10	0	112	200
2019-09-26	$18.39	$20.00	36.3%	10.4%	50.8%	19.7%	34.1%	2.1%	-2.8%	-3.8K	82.5K	-872	0.00	92.98	3	0	122	200
2019-09-27	$18.49	$20.00	24.4%	7.0%	46.8%	5.5%	24.9%	0.2%	-2.4%	-4.4K	78.2K	-806	0.00	98.92	0	3	122	200
2019-09-30	$18.41	$17.50	32.5%	9.3%	42.4%	15.2%	0.0%	0.8%	10.6%	-4.2K	78.1K	-814	0.00	98.42	0	0	122	197