LMNR Options History — March 2020

In March 2020, LMNR traded between $11.47 and $16.98. ATM implied volatility averaged 87.2%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded below realized volatility by 15.2% (HV 20d: 102.4%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2020-03-13: Highest Volume — 37 contracts
2020-03-12: Largest IV spike — 99.3% change
2020-03-06: Highest IV Rank — 100.0%
2020-03-12: Largest Expected Move — 36.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.37	$11.47	$16.98	$16.35	$13.01
Max Pain	$14.12	$10.00	$17.50	$17.50	$12.50
ATM IV	87.2%	51.6%	145.6%	55.9%	79.5%
Expected Move	23.7%	14.8%	36.4%	16.0%	22.8%
HV 20d	102.4%	47.8%	137.2%	48.9%	133.5%
HV 60d	67.3%	38.9%	84.2%	41.1%	84.2%
IV Rank	56.7%	34.9%	100.0%	42.2%	47.5%
IV Percentile	94.6%	80.2%	100.0%	86.5%	92.9%
Term Structure	-20.0%	-66.1%	5.6%	-14.5%	-34.1%
VWIV	69.8%	40.6%	110.0%	48.1%	40.6%
Skew 25d	24.5%	-15.1%	65.4%	34.2%	39.5%
Skew 10d	21.3%	-27.2%	98.6%	32.5%	25.9%
Call IV 25d	72.4%	40.0%	160.1%	55.2%	45.9%
Put IV 25d	96.9%	49.2%	190.2%	89.4%	85.4%
Bid-Ask Spread %	127.14	105.13	153.33	118.92	134.00
Gamma HHI	0.45	0.27	0.70	0.49	0.40
Net GEX	-868	-2.8K	-190	-1.8K	-428
Net DEX	68.2K	25.2K	119.9K	78.0K	38.4K
Net VEX	-225	-372	-149	-293	-164
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.00	4.00	0.00	0.00
Total Volume	4.636	0	37	0	3
Total OI	167.273	82	235	209	85

Daily Data (22 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
2020-03-02	$16.35	$17.50	55.9%	16.0%	48.9%	42.2%	0.0%	34.2%	-14.5%	-1.8K	78.0K	-293	0.00	118.92	0	0	90	119
2020-03-03	$16.85	$17.50	51.6%	14.8%	49.4%	37.3%	48.1%	10.0%	-7.3%	-2.8K	73.9K	-249	0.00	122.93	0	2	90	119
2020-03-04	$16.91	$17.50	69.7%	20.0%	49.0%	58.5%	50.6%	13.4%	-20.5%	-1.6K	64.8K	-290	0.00	105.13	3	0	90	118
2020-03-05	$16.86	$0.00	86.4%	15.6%	48.5%	78.1%	0.0%	9.3%	-13.1%	-1.1K	53.6K	-314	0.00	135.75	1	0	93	118
2020-03-06	$16.98	$0.00	145.6%	34.3%	47.8%	100.0%	0.0%	30.1%	-66.1%	-455	25.2K	-372	0.00	126.42	0	0	94	118
2020-03-09	$15.77	$0.00	111.8%	26.4%	52.6%	73.1%	0.0%	36.7%	-22.8%	-1.4K	83.6K	-262	0.50	119.62	12	6	94	118
2020-03-10	$15.48	$0.00	111.5%	25.6%	51.1%	72.9%	0.0%	51.6%	5.6%	-1.3K	74.6K	-349	0.00	119.35	0	0	106	124
2020-03-11	$15.16	$0.00	63.7%	18.3%	50.7%	34.9%	60.6%	12.5%	-8.6%	-1.5K	98.0K	-285	0.00	134.63	4	0	106	126
2020-03-12	$11.47	$17.50	127.1%	36.4%	105.8%	85.3%	0.0%	-15.1%	-32.9%	-190	119.9K	-170	0.00	135.79	0	19	109	126
2020-03-13	$13.99	$17.50	89.1%	25.5%	133.0%	55.1%	0.0%	44.7%	-8.6%	-875	83.6K	-243	0.09	153.33	34	3	109	98
2020-03-16	$13.39	$17.50	96.3%	27.6%	132.5%	60.8%	0.0%	50.6%	-25.7%	-361	99.1K	-181	0.00	146.76	0	0	89	97
2020-03-17	$12.78	$17.50	79.9%	22.9%	131.3%	47.7%	110.0%	21.7%	-13.2%	-668	95.1K	-168	0.00	119.87	0	1	89	97
2020-03-18	$12.55	$10.00	117.1%	33.6%	131.1%	77.3%	0.0%	12.5%	-36.3%	-747	92.8K	-171	0.33	123.69	3	1	89	98
2020-03-19	$13.22	$10.00	88.8%	25.5%	133.9%	54.9%	0.0%	20.3%	-7.9%	-808	96.6K	-178	0.00	114.25	0	0	89	98
2020-03-20	$14.02	$10.00	66.2%	19.0%	136.8%	36.8%	0.0%	-4.5%	-24.7%	-379	104.9K	-177	0.00	140.15	0	3	89	98
2020-03-23	$13.84	$12.50	71.4%	20.5%	136.7%	40.9%	109.1%	26.6%	0.0%	-416	35.1K	-198	4.00	125.21	1	4	30	52
2020-03-24	$13.61	$12.50	69.2%	19.8%	136.7%	39.2%	0.0%	-7.9%	0.0%	-536	34.5K	-180	0.00	119.84	0	0	31	52
2020-03-25	$13.85	$12.50	84.0%	24.1%	137.2%	51.0%	0.0%	65.4%	-5.9%	-349	32.3K	-196	0.00	132.24	0	0	31	52
2020-03-26	$13.84	$12.50	82.6%	23.7%	137.2%	49.9%	0.0%	11.1%	-8.6%	-441	37.7K	-180	0.00	124.72	0	0	31	52
2020-03-27	$13.15	$12.50	90.2%	25.9%	134.3%	55.9%	0.0%	29.2%	-49.3%	-389	35.3K	-185	0.00	119.78	0	0	31	52
2020-03-30	$13.01	$12.50	79.8%	22.9%	134.3%	47.7%	0.0%	46.0%	-6.7%	-461	42.1K	-149	1.00	124.59	1	1	31	52
2020-03-31	$13.01	$12.50	79.5%	22.8%	133.5%	47.5%	40.6%	39.5%	-34.1%	-428	38.4K	-164	0.00	134.00	3	0	32	53