LMNR Options History — December 2019

In December 2019, LMNR traded between $18.66 and $21.34. ATM implied volatility averaged 46.3%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 13.1% (HV 20d: 33.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2019-12-27: Highest Volume — 80 contracts
2019-12-09: Largest IV spike — 72.1% change
2019-12-31: Highest IV Rank — 50.4%
2019-12-31: Largest Expected Move — 17.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.80	$18.66	$21.34	$19.98	$19.22
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	46.3%	20.6%	61.9%	46.1%	61.9%
Expected Move	14.2%	11.9%	17.7%	13.2%	17.7%
HV 20d	33.2%	23.0%	39.4%	23.8%	36.5%
HV 60d	26.7%	23.7%	29.0%	29.0%	27.4%
IV Rank	31.7%	0.9%	50.4%	31.4%	50.4%
IV Percentile	65.9%	0.4%	90.9%	69.8%	90.9%
Term Structure	-9.9%	-23.7%	16.6%	-12.9%	-21.0%
VWIV	51.9%	42.2%	67.0%	42.2%	61.0%
Skew 25d	10.7%	-15.7%	21.9%	10.3%	9.9%
Skew 10d	11.1%	-46.6%	46.6%	-16.4%	5.4%
Call IV 25d	41.7%	27.3%	56.3%	27.3%	48.2%
Put IV 25d	52.4%	37.6%	66.6%	37.6%	58.1%
Bid-Ask Spread %	106.80	95.85	120.18	95.85	105.92
Gamma HHI	0.29	0.21	0.47	0.26	0.23
Net GEX	1.5K	-329	4.5K	2.1K	1.4K
Net DEX	-45.7K	-132.2K	9.2K	-71.0K	-36.6K
Net VEX	-372	-518	-258	-455	-518
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.00	1.85	1.00	1.00
Total Volume	10.905	0	80	2	8
Total OI	230.619	121	277	277	247

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
2019-12-02	$19.98	$20.00	46.1%	13.2%	23.8%	31.4%	42.2%	10.3%	-12.9%	2.1K	-71.0K	-455	1.00	95.85	1	1	124	153
2019-12-03	$19.97	$20.00	47.4%	13.6%	23.4%	33.0%	0.0%	16.8%	1.2%	2.1K	-65.8K	-459	0.00	102.36	0	0	124	152
2019-12-04	$20.26	$20.00	55.7%	16.0%	23.6%	43.0%	0.0%	-15.7%	-17.8%	1.4K	-58.2K	-477	0.00	99.89	0	0	124	152
2019-12-05	$20.31	$20.00	45.5%	14.9%	23.0%	30.7%	0.0%	13.1%	-19.7%	2.3K	-68.5K	-452	0.00	102.70	0	0	124	152
2019-12-06	$21.34	$20.00	20.6%	12.3%	27.9%	0.9%	0.0%	15.6%	-5.4%	4.5K	-132.2K	-364	0.09	119.89	32	3	124	152
2019-12-09	$20.30	$20.00	35.5%	14.1%	34.2%	18.7%	0.0%	17.7%	-13.0%	2.3K	-74.6K	-356	0.00	106.30	0	0	96	149
2019-12-10	$20.35	$20.00	31.2%	15.9%	34.0%	13.6%	0.0%	21.9%	-18.2%	3.3K	-74.7K	-359	0.00	106.04	0	0	96	149
2019-12-11	$20.04	$20.00	42.0%	12.0%	34.2%	26.5%	0.0%	19.9%	-6.6%	-154	-40.4K	-405	0.00	120.18	0	0	96	149
2019-12-12	$20.36	$20.00	41.4%	11.9%	34.5%	25.8%	0.0%	6.8%	-8.7%	658	-61.9K	-357	0.00	117.96	0	0	96	149
2019-12-13	$20.04	$20.00	48.6%	13.9%	35.2%	34.4%	0.0%	8.2%	-9.6%	3.2K	-58.2K	-341	0.00	101.79	0	0	96	149
2019-12-16	$20.26	$20.00	46.6%	13.4%	35.3%	32.0%	0.0%	11.9%	-13.7%	3.6K	-72.5K	-304	0.00	110.99	0	0	96	149
2019-12-17	$20.35	$20.00	51.2%	14.7%	35.3%	37.6%	0.0%	9.2%	-13.0%	1.5K	-67.2K	-314	0.00	115.83	0	0	96	149
2019-12-18	$20.00	$20.00	45.9%	13.2%	35.4%	31.2%	43.6%	5.6%	-5.7%	-329	-32.4K	-333	0.00	96.09	7	0	96	149
2019-12-19	$19.07	$20.00	42.8%	12.3%	39.4%	27.5%	0.0%	9.9%	-7.1%	134	7.0K	-266	0.00	107.57	3	0	101	149
2019-12-20	$18.85	$20.00	50.1%	14.4%	38.3%	36.3%	50.3%	9.7%	-11.8%	-73	4.7K	-258	1.85	110.25	13	24	101	145
2019-12-23	$18.66	$20.00	49.2%	14.1%	37.8%	35.2%	0.0%	5.1%	-5.1%	-127	9.2K	-286	1.00	97.96	2	2	56	65
2019-12-24	$18.75	$20.00	43.0%	12.3%	35.0%	27.8%	50.6%	4.4%	16.6%	28	7.0K	-301	0.00	103.69	3	0	58	66
2019-12-26	$19.38	$20.00	51.0%	14.6%	37.0%	37.3%	48.5%	11.6%	1.9%	492	-7.7K	-305	0.16	110.10	31	5	61	66
2019-12-27	$19.16	$20.00	59.7%	17.1%	36.9%	47.7%	67.0%	20.8%	-13.7%	1.3K	-34.6K	-392	1.50	109.07	32	48	86	69
2019-12-30	$19.19	$20.00	57.3%	16.4%	36.8%	44.8%	61.0%	12.3%	-23.7%	1.5K	-30.1K	-503	1.00	102.40	7	7	118	114
2019-12-31	$19.22	$20.00	61.9%	17.7%	36.5%	50.4%	0.0%	9.9%	-21.0%	1.4K	-36.6K	-518	0.00	105.92	0	8	125	122