LMNR Options History — May 2020

In May 2020, LMNR traded between $11.57 and $13.69. ATM implied volatility averaged 82.2%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded below realized volatility by 8.2% (HV 20d: 90.4%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.03.

Notable Days

2020-05-11: Highest Volume — 98 contracts
2020-05-26: Largest IV spike — 75.1% change
2020-05-11: Highest IV Rank — 100.0%
2020-05-26: Largest Expected Move — 35.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.59	$11.57	$13.69	$11.79	$13.36
Max Pain	$16.13	$12.50	$20.00	$12.50	$15.00
ATM IV	82.2%	54.2%	156.3%	82.3%	76.5%
Expected Move	20.8%	15.3%	35.7%	23.6%	21.9%
HV 20d	90.4%	80.5%	94.9%	90.1%	80.5%
HV 60d	100.6%	98.0%	102.7%	98.1%	101.3%
IV Rank	46.5%	24.8%	100.0%	49.3%	41.2%
IV Percentile	87.6%	67.1%	100.0%	93.3%	88.1%
Term Structure	0.4%	-109.7%	114.6%	-33.1%	77.2%
VWIV	80.5%	56.9%	109.5%	83.6%	109.5%
Skew 25d	3.9%	-18.2%	49.4%	14.2%	13.7%
Skew 10d	4.5%	-35.7%	58.5%	58.5%	40.7%
Call IV 25d	76.4%	51.3%	121.1%	61.4%	96.0%
Put IV 25d	80.3%	53.3%	137.6%	75.6%	109.7%
Bid-Ask Spread %	120.28	105.90	139.26	126.98	127.84
Gamma HHI	0.53	0.24	0.72	0.50	0.63
Net GEX	-765	-2.3K	1.3K	355	-2.1K
Net DEX	44.0K	-26.0K	82.2K	26.1K	68.4K
Net VEX	-380	-513	-201	-219	-509
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.24	0.24	0.00
Total Volume	10.05	0	98	21	0
Total OI	211.05	150	285	150	227

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
2020-05-01	$11.79	$12.50	82.3%	23.6%	90.1%	49.3%	83.6%	14.2%	-33.1%	355	26.1K	-219	0.24	126.98	17	4	94	56
2020-05-04	$11.97	$20.00	62.8%	15.3%	90.3%	33.7%	0.0%	-7.9%	10.1%	341	31.1K	-201	0.00	120.73	20	0	99	61
2020-05-05	$12.09	$20.00	73.3%	17.0%	89.8%	42.1%	0.0%	7.0%	-5.5%	598	6.6K	-215	0.00	129.76	0	0	119	61
2020-05-06	$12.12	$20.00	80.7%	21.8%	87.6%	48.0%	0.0%	-1.2%	-5.7%	714	2.4K	-231	0.00	112.21	0	0	119	61
2020-05-07	$12.34	$20.00	91.0%	17.7%	87.9%	56.4%	0.0%	-14.5%	-4.4%	551	3.2K	-218	0.00	107.00	1	0	119	61
2020-05-08	$13.46	$20.00	93.9%	25.4%	93.4%	58.7%	0.0%	-13.1%	-10.1%	1.1K	-18.3K	-248	0.00	139.26	26	0	118	61
2020-05-11	$12.84	$15.00	156.3%	18.3%	94.9%	100.0%	0.0%	2.3%	4.4%	1.3K	-26.0K	-229	0.00	115.34	0	98	138	50
2020-05-12	$12.49	$15.00	122.0%	23.3%	92.7%	74.7%	0.0%	-12.0%	-25.2%	-193	33.6K	-492	0.00	118.92	0	0	138	147
2020-05-13	$11.57	$15.00	64.0%	18.3%	93.4%	31.9%	0.0%	-18.2%	2.3%	-1.3K	59.9K	-437	0.00	120.24	0	0	138	147
2020-05-14	$11.68	$15.00	58.7%	16.8%	93.5%	28.1%	0.0%	-11.5%	-44.3%	-1.6K	57.7K	-426	0.00	113.59	0	0	138	147
2020-05-15	$11.91	$15.00	63.9%	18.3%	91.7%	31.9%	0.0%	5.8%	47.8%	-1.4K	63.6K	-428	0.00	105.90	0	0	138	147
2020-05-18	$13.04	$15.00	56.5%	16.2%	92.6%	26.5%	56.9%	1.6%	0.0%	-1.5K	70.9K	-469	0.00	123.34	2	0	50	143
2020-05-19	$13.06	$15.00	78.6%	22.5%	91.7%	42.7%	0.0%	-6.6%	0.0%	-1.5K	66.9K	-475	0.00	128.22	0	0	52	143
2020-05-20	$12.65	$15.00	58.1%	16.6%	91.4%	27.6%	0.0%	3.2%	0.0%	-1.6K	82.2K	-428	0.00	115.29	0	0	52	144
2020-05-21	$12.80	$15.00	97.3%	27.9%	90.9%	56.5%	0.0%	49.4%	0.0%	-1.6K	74.4K	-439	0.00	123.84	2	0	52	144
2020-05-22	$12.57	$15.00	71.0%	20.4%	91.1%	37.1%	72.1%	32.5%	-3.8%	-1.5K	66.2K	-452	0.00	112.20	0	20	53	144
2020-05-26	$12.99	$15.00	124.4%	35.7%	88.4%	76.4%	0.0%	16.5%	-109.7%	-2.3K	80.5K	-481	0.00	125.97	0	0	52	165
2020-05-27	$13.41	$15.00	54.2%	15.5%	89.2%	24.8%	109.5%	27.9%	-7.3%	-2.0K	74.1K	-494	0.00	115.42	0	9	52	165
2020-05-28	$13.69	$15.00	78.6%	22.5%	86.8%	42.7%	0.0%	-11.8%	114.6%	-1.7K	57.5K	-513	0.00	123.47	2	0	52	174
2020-05-29	$13.36	$15.00	76.5%	21.9%	80.5%	41.2%	0.0%	13.7%	77.2%	-2.1K	68.4K	-509	0.00	127.84	0	0	53	174