LMNR Options History — January 2020

In January 2020, LMNR traded between $18.34 and $20.98. ATM implied volatility averaged 50.1%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 14.8% (HV 20d: 35.3%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2020-01-13: Highest Volume — 787 contracts
2020-01-14: Largest IV drop — 49.9% change
2020-01-13: Highest IV Rank — 100.0%
2020-01-02: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.77	$18.34	$20.98	$19.22	$19.52
Max Pain	$18.57	$15.00	$20.00	$20.00	$20.00
ATM IV	50.1%	27.6%	105.1%	59.3%	40.3%
Expected Move	11.9%	7.9%	17.0%	17.0%	11.5%
HV 20d	35.3%	26.5%	41.4%	36.5%	37.2%
HV 60d	30.4%	26.7%	32.6%	27.3%	32.6%
IV Rank	35.9%	9.0%	100.0%	47.3%	23.9%
IV Percentile	61.8%	9.9%	100.0%	89.7%	50.4%
Term Structure	-5.6%	-20.4%	8.1%	-20.4%	-4.5%
VWIV	46.6%	20.8%	112.0%	51.6%	71.6%
Skew 25d	9.8%	-15.3%	39.1%	1.2%	-15.3%
Skew 10d	10.4%	-12.3%	45.1%	13.6%	-12.3%
Call IV 25d	34.5%	20.3%	65.3%	59.4%	43.7%
Put IV 25d	44.4%	28.4%	74.1%	60.7%	28.4%
Bid-Ask Spread %	99.79	86.28	111.15	104.10	109.86
Gamma HHI	0.37	0.23	0.72	0.23	0.31
Net GEX	5.1K	-276	28.1K	1.2K	1.6K
Net DEX	-95.6K	-349.2K	15.4K	-35.3K	-42.1K
Net VEX	-513	-618	-432	-544	-444
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.00	2.50	0.83	0.00
Total Volume	67.429	0	787	1	0
Total OI	382.048	235	912	254	251

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
2020-01-02	$19.22	$20.00	59.3%	17.0%	36.5%	47.3%	0.0%	1.2%	-20.4%	1.2K	-35.3K	-544	0.00	104.10	0	1	125	129
2020-01-03	$19.09	$20.00	51.6%	14.8%	36.0%	38.1%	51.6%	2.2%	-5.4%	658	-25.5K	-534	0.83	109.52	6	5	125	130
2020-01-06	$19.17	$15.00	66.0%	12.3%	36.0%	55.4%	0.0%	3.3%	-5.9%	1.2K	-31.9K	-527	0.00	95.76	0	0	131	135
2020-01-07	$19.23	$15.00	68.5%	13.4%	30.4%	58.3%	0.0%	39.1%	-10.4%	2.0K	-39.7K	-545	0.00	104.28	1	0	150	135
2020-01-08	$18.77	$15.00	56.1%	14.9%	26.5%	43.4%	0.0%	15.9%	-14.3%	907	-14.8K	-537	0.00	100.88	2	0	151	135
2020-01-09	$18.44	$15.00	70.5%	13.1%	26.8%	60.7%	42.4%	14.7%	-4.9%	-160	5.8K	-508	0.33	98.99	9	3	151	137
2020-01-10	$18.34	$15.00	82.8%	12.9%	26.5%	75.4%	47.2%	14.5%	2.9%	-276	15.4K	-498	1.93	102.50	14	27	156	138
2020-01-13	$19.31	$15.00	105.1%	14.9%	32.5%	100.0%	49.9%	20.8%	-16.1%	2.3K	-63.3K	-591	1.46	109.87	320	467	189	187
2020-01-14	$20.51	$20.00	52.6%	11.1%	39.0%	38.5%	32.7%	8.4%	-10.0%	28.1K	-349.2K	-612	0.32	95.59	347	111	493	419
2020-01-15	$20.01	$20.00	48.4%	13.9%	39.8%	33.5%	50.2%	22.1%	-19.2%	24.0K	-182.4K	-618	0.06	102.57	36	2	518	346
2020-01-16	$20.65	$20.00	43.8%	12.6%	41.4%	28.1%	25.2%	10.9%	-8.5%	17.3K	-298.4K	-515	0.38	103.23	8	3	507	345
2020-01-17	$20.72	$20.00	27.6%	7.9%	40.9%	9.0%	27.5%	2.6%	6.0%	3.9K	-338.9K	-475	0.00	97.34	17	0	511	344
2020-01-21	$20.98	$20.00	31.6%	9.1%	36.6%	13.8%	112.0%	6.3%	-13.9%	4.1K	-106.1K	-494	2.50	86.39	4	10	131	104
2020-01-22	$20.60	$20.00	31.5%	9.0%	37.1%	13.6%	0.0%	6.9%	6.5%	3.1K	-85.1K	-505	0.00	86.95	0	0	133	114
2020-01-23	$20.41	$20.00	34.3%	9.8%	37.0%	16.9%	27.7%	18.2%	-2.5%	3.1K	-82.7K	-471	0.33	86.28	3	1	133	114
2020-01-24	$20.05	$20.00	29.3%	8.4%	37.8%	11.0%	20.8%	15.8%	4.3%	2.4K	-62.0K	-456	0.17	96.41	6	1	135	113
2020-01-27	$20.08	$20.00	39.5%	11.3%	36.2%	23.0%	71.6%	6.7%	-5.7%	2.9K	-70.3K	-487	0.00	106.20	0	1	138	114
2020-01-28	$20.06	$20.00	42.0%	12.0%	35.9%	26.0%	0.0%	7.9%	8.1%	2.8K	-74.8K	-516	0.00	100.19	0	1	138	114
2020-01-29	$20.04	$20.00	34.8%	10.0%	35.9%	17.5%	0.0%	-3.7%	3.3%	2.6K	-63.6K	-463	0.00	87.50	10	0	138	115
2020-01-30	$20.02	$20.00	37.2%	10.7%	35.9%	20.3%	0.0%	8.4%	-6.2%	2.9K	-62.7K	-432	0.00	111.15	0	0	136	115
2020-01-31	$19.52	$20.00	40.3%	11.5%	37.2%	23.9%	0.0%	-15.3%	-4.5%	1.6K	-42.1K	-444	0.00	109.86	0	0	136	115