LMNR Options History — November 2019

In November 2019, LMNR traded between $18.39 and $19.75. ATM implied volatility averaged 43.5%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 23.9% (HV 20d: 19.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.48.

Notable Days

2019-11-11: Highest Volume — 20 contracts
2019-11-22: Largest IV spike — 91.5% change
2019-11-12: Highest IV Rank — 64.5%
2019-11-22: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.97	$18.39	$19.75	$19.06	$19.75
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	43.5%	23.3%	73.6%	39.8%	37.3%
Expected Move	10.3%	6.7%	12.8%	11.4%	10.7%
HV 20d	19.6%	16.0%	24.7%	20.0%	23.6%
HV 60d	33.2%	29.0%	34.9%	34.9%	29.0%
IV Rank	28.3%	4.1%	64.5%	23.9%	20.9%
IV Percentile	55.3%	2.4%	98.0%	55.6%	43.3%
Term Structure	3.3%	-17.9%	49.3%	-17.9%	4.2%
VWIV	36.2%	17.8%	49.3%	49.3%	36.5%
Skew 25d	3.2%	-19.0%	24.3%	-19.0%	13.6%
Skew 10d	9.9%	-8.7%	26.6%	-5.7%	20.5%
Call IV 25d	30.7%	20.6%	51.7%	51.7%	28.7%
Put IV 25d	33.9%	21.7%	47.2%	32.7%	42.2%
Bid-Ask Spread %	107.97	87.93	120.86	120.86	100.91
Gamma HHI	0.30	0.24	0.45	0.35	0.24
Net GEX	-458	-2.7K	1.3K	-1.1K	1.2K
Net DEX	4.3K	-46.1K	47.4K	43.3K	-42.4K
Net VEX	-554	-616	-473	-571	-492
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.00	3.33	0.00	0.00
Total Volume	4.7	0	20	10	0
Total OI	267.65	253	278	259	278

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
2019-11-01	$19.06	$20.00	39.8%	11.4%	20.0%	23.9%	0.0%	-19.0%	-17.9%	-1.1K	43.3K	-571	0.00	120.86	0	10	106	153
2019-11-04	$18.89	$20.00	44.1%	10.1%	20.2%	29.0%	49.3%	3.3%	0.5%	-750	32.0K	-587	0.00	110.15	0	10	106	153
2019-11-05	$18.80	$20.00	41.4%	8.2%	19.9%	25.8%	0.0%	-3.4%	7.0%	-2.7K	47.4K	-507	0.00	116.57	0	0	106	147
2019-11-06	$18.60	$20.00	69.6%	8.6%	18.2%	59.7%	36.3%	-8.7%	4.4%	-1.7K	46.4K	-589	0.00	117.69	1	0	106	147
2019-11-07	$18.60	$20.00	71.5%	12.1%	18.0%	61.9%	0.0%	6.5%	-6.8%	-1.1K	33.6K	-549	0.00	119.97	10	0	106	147
2019-11-08	$18.47	$20.00	43.2%	8.8%	17.9%	28.0%	0.0%	12.0%	12.3%	-1.6K	45.1K	-577	0.00	116.25	0	0	116	147
2019-11-11	$18.39	$20.00	47.4%	10.6%	18.0%	33.1%	34.4%	10.1%	3.9%	-1.6K	41.4K	-566	0.00	113.49	20	0	115	143
2019-11-12	$18.78	$20.00	73.6%	10.4%	18.3%	64.5%	0.0%	1.4%	-0.1%	-113	-2.9K	-616	0.00	98.11	0	0	135	143
2019-11-13	$18.84	$20.00	30.4%	8.7%	18.4%	12.6%	17.8%	-0.3%	-2.9%	256	-14.9K	-590	0.00	109.38	20	0	135	143
2019-11-14	$18.85	$20.00	38.0%	10.9%	17.7%	21.8%	0.0%	2.5%	-6.0%	-350	-900	-596	0.00	94.83	0	0	130	143
2019-11-15	$18.90	$20.00	39.1%	11.2%	16.7%	23.0%	0.0%	4.7%	-4.8%	-371	-3.2K	-597	0.00	114.86	0	0	130	143
2019-11-18	$19.00	$20.00	42.0%	12.1%	16.0%	26.6%	42.9%	5.8%	49.3%	57	-10.9K	-580	0.00	87.93	3	0	127	143
2019-11-19	$19.42	$20.00	40.2%	11.5%	17.5%	24.3%	0.0%	12.1%	2.7%	986	-40.8K	-545	0.00	95.64	0	1	124	143
2019-11-20	$19.41	$20.00	41.9%	12.0%	17.5%	26.5%	0.0%	10.5%	-1.4%	317	-28.8K	-568	0.00	106.22	0	0	124	144
2019-11-21	$18.87	$20.00	23.3%	6.7%	20.5%	4.1%	0.0%	24.3%	23.2%	-441	-6.7K	-473	0.00	99.74	0	0	124	144
2019-11-22	$18.49	$20.00	44.7%	12.8%	20.7%	29.7%	36.5%	2.3%	-13.6%	-1.4K	22.2K	-513	3.33	100.36	3	10	124	144
2019-11-25	$19.22	$20.00	30.8%	8.8%	24.7%	13.0%	0.0%	-15.4%	8.8%	-486	-1.3K	-523	0.00	107.86	0	0	124	154
2019-11-26	$19.35	$20.00	40.8%	11.7%	24.6%	25.0%	0.0%	4.8%	7.9%	499	-27.0K	-528	0.00	115.88	0	0	124	154
2019-11-27	$19.62	$20.00	30.9%	8.8%	24.5%	13.2%	0.0%	-3.5%	-5.2%	1.3K	-46.1K	-517	0.00	112.63	6	0	124	154
2019-11-29	$19.75	$20.00	37.3%	10.7%	23.6%	20.9%	0.0%	13.6%	4.2%	1.2K	-42.4K	-492	0.00	100.91	0	0	124	154