LMNR Options History — February 2020 In February 2020, LMNR traded between $16.53 and $21.75. ATM implied volatility averaged 45.2%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 10.9% (HV 20d: 34.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2020-02-28 : Highest Volume — 22 contracts2020-02-28 : Largest IV spike — 70.0% change2020-02-28 : Highest IV Rank — 95.3%2020-02-28 : Largest Expected Move — 29.0%Monthly Statistics Metric Avg Min Max Open Close Price $20.09 $16.53 $21.75 $20.03 $16.53 Max Pain $17.89 $17.50 $20.00 $20.00 $17.50 ATM IV 45.2% 26.4% 101.1% 35.2% 101.1% Expected Move 12.9% 8.3% 29.0% 10.1% 29.0% HV 20d 34.4% 25.1% 49.3% 38.1% 49.3% HV 60d 34.6% 32.9% 41.0% 32.9% 41.0% IV Rank 29.8% 7.7% 95.3% 18.0% 95.3% IV Percentile 57.4% 6.3% 99.2% 37.7% 99.2% Term Structure 0.4% -21.3% 35.0% 1.3% 2.7% VWIV 57.0% 33.8% 93.2% 44.1% 93.2% Skew 25d 6.3% -25.9% 43.4% 1.3% -25.9% Skew 10d 20.5% -13.1% 100.0% 2.5% 80.6% Call IV 25d 40.0% 20.4% 107.5% 38.6% 107.5% Put IV 25d 46.3% 28.1% 81.6% 40.0% 81.6% Bid-Ask Spread % 107.17 85.67 140.64 102.90 140.64 Gamma HHI 0.41 0.22 0.67 0.37 0.27 Net GEX 2.5K -576 6.9K 2.3K -576 Net DEX -62.6K -135.6K 33.6K -54.5K 33.6K Net VEX -345 -440 -252 -412 -288 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 3.737 0 22 0 22 Total OI 233.474 186 254 251 187
Daily Data (19 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 2020-02-03 $20.03 $20.00 35.2% 10.1% 38.1% 18.0% 0.0% 1.3% 1.3% 2.3K -54.5K -412 0.00 102.90 0 0 136 115 2020-02-04 $20.25 $20.00 28.9% 8.3% 38.2% 10.6% 0.0% 15.4% -6.1% 2.6K -67.5K -426 0.00 91.11 0 0 136 115 2020-02-05 $20.48 $20.00 36.2% 10.4% 38.3% 19.2% 0.0% 5.5% -7.1% 3.3K -75.7K -394 0.00 98.26 0 1 136 115 2020-02-06 $20.87 $17.50 48.4% 10.6% 37.3% 33.4% 0.0% 4.8% -1.1% 4.3K -104.9K -440 0.00 93.92 0 1 136 116 2020-02-07 $20.86 $17.50 48.5% 8.9% 36.4% 33.6% 0.0% 6.3% 8.8% 3.6K -94.9K -440 0.00 106.31 0 1 136 116 2020-02-10 $21.27 $17.50 26.4% 12.0% 36.4% 7.7% 0.0% 9.6% -12.5% 4.8K -111.9K -403 0.00 85.67 0 0 136 116 2020-02-11 $20.55 $17.50 36.4% 12.3% 35.4% 19.3% 0.0% 17.4% -6.6% 3.1K -82.7K -383 0.00 98.70 0 0 136 116 2020-02-12 $20.69 $17.50 37.5% 10.8% 28.3% 20.7% 0.0% 6.0% 4.2% 3.5K -83.1K -380 0.00 102.69 0 0 136 116 2020-02-13 $20.76 $17.50 43.8% 12.6% 26.7% 28.1% 44.1% 24.0% -10.0% 3.2K -86.4K -386 0.00 99.92 2 0 136 116 2020-02-14 $21.14 $17.50 38.9% 11.1% 25.1% 22.3% 0.0% 9.5% 1.0% 4.6K -108.9K -368 0.00 96.30 0 0 138 116 2020-02-18 $21.75 $17.50 41.3% 11.8% 26.9% 25.2% 33.8% -12.3% -10.4% 6.9K -135.6K -316 0.00 109.99 10 0 138 116 2020-02-19 $20.75 $17.50 37.7% 10.8% 31.8% 21.0% 0.0% 43.4% -3.9% 2.4K -73.7K -286 0.00 105.04 0 0 128 116 2020-02-20 $20.52 $17.50 49.8% 14.3% 31.4% 35.1% 0.0% 3.7% -21.3% 2.5K -70.6K -309 0.00 114.21 0 0 128 116 2020-02-21 $19.82 $17.50 42.8% 12.3% 33.6% 26.9% 0.0% -15.9% -12.3% 247 -28.6K -252 0.00 117.30 0 3 128 116 2020-02-24 $19.27 $17.50 45.0% 12.9% 34.4% 29.5% 0.0% 11.2% 35.0% 520 -13.4K -253 0.00 109.22 0 20 90 96 2020-02-25 $19.16 $17.50 48.4% 13.9% 34.4% 33.5% 0.0% 8.3% -6.0% 485 -22.0K -271 0.00 119.80 0 10 90 96 2020-02-26 $18.78 $17.50 53.5% 15.3% 35.0% 39.5% 0.0% -8.9% 26.0% 149 -6.3K -264 0.00 119.82 0 0 90 96 2020-02-27 $18.26 $17.50 59.5% 17.1% 36.0% 46.5% 0.0% 17.0% 26.7% 101 -1.5K -284 0.00 124.37 0 1 90 96 2020-02-28 $16.53 $17.50 101.1% 29.0% 49.3% 95.3% 93.2% -25.9% 2.7% -576 33.6K -288 0.00 140.64 0 22 90 97
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