LMNR Options History — September 2020

In September 2020, LMNR traded between $13.93 and $16.27. ATM implied volatility averaged 61.1%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 11.1% (HV 20d: 49.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.13.

Notable Days

2020-09-09: Highest Volume — 146 contracts
2020-09-02: Largest IV spike — 31.6% change
2020-09-02: Highest IV Rank — 42.9%
2020-09-02: Largest Expected Move — 26.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.74	$13.93	$16.27	$14.43	$14.22
Max Pain	$15.24	$15.00	$17.50	$17.50	$15.00
ATM IV	61.1%	49.3%	93.4%	71.0%	49.3%
Expected Move	17.1%	14.1%	26.8%	20.3%	14.1%
HV 20d	49.9%	43.3%	53.7%	45.5%	51.8%
HV 60d	47.6%	45.8%	49.8%	49.2%	46.9%
IV Rank	24.9%	18.3%	42.9%	30.4%	18.3%
IV Percentile	54.5%	36.1%	87.3%	70.6%	36.1%
Term Structure	11.9%	-30.9%	143.5%	25.4%	-0.2%
VWIV	55.1%	46.8%	71.8%	61.4%	52.8%
Skew 25d	6.5%	-16.4%	33.1%	-14.1%	12.7%
Skew 10d	4.4%	-28.7%	58.5%	-5.8%	-2.4%
Call IV 25d	56.4%	37.9%	78.5%	78.5%	55.1%
Put IV 25d	62.8%	45.4%	106.6%	64.4%	67.8%
Bid-Ask Spread %	110.32	97.27	117.55	116.08	114.60
Gamma HHI	0.46	0.33	0.63	0.57	0.61
Net GEX	311	-3.8K	2.5K	-2.1K	2.2K
Net DEX	-11.6K	-123.4K	46.8K	29.0K	-6.5K
Net VEX	-288	-439	-236	-297	-272
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.50	0.00	0.50
Total Volume	16.238	0	146	3	20
Total OI	240.619	146	368	241	176

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
2020-09-01	$14.43	$17.50	71.0%	20.3%	45.5%	30.4%	61.4%	-14.1%	25.4%	-2.1K	29.0K	-297	0.00	116.08	0	3	56	185
2020-09-02	$14.84	$17.50	93.4%	26.8%	46.1%	42.9%	71.8%	33.1%	-30.9%	-2.0K	28.3K	-329	0.00	110.25	17	0	56	188
2020-09-03	$14.53	$15.00	87.7%	20.9%	46.5%	39.8%	0.0%	12.5%	-18.3%	-2.1K	32.4K	-305	0.00	111.26	0	15	58	188
2020-09-04	$14.37	$15.00	71.9%	19.8%	43.9%	30.9%	0.0%	30.0%	-0.2%	-3.8K	46.8K	-286	0.00	114.32	0	0	58	200
2020-09-08	$14.50	$15.00	80.9%	19.4%	43.3%	35.9%	0.0%	-0.3%	-8.9%	-2.2K	30.8K	-274	0.00	113.85	3	0	58	200
2020-09-09	$15.08	$15.00	66.9%	19.2%	45.5%	28.1%	63.1%	12.7%	-4.5%	-2.1K	22.5K	-283	0.05	97.27	139	7	63	200
2020-09-10	$16.27	$15.00	50.3%	14.4%	52.5%	18.9%	46.8%	2.7%	-2.2%	2.5K	-123.4K	-439	0.06	112.86	77	5	165	203
2020-09-11	$15.62	$15.00	53.0%	15.2%	51.8%	20.4%	51.5%	0.9%	9.1%	1.3K	-52.0K	-341	0.50	103.35	4	2	127	202
2020-09-14	$15.71	$15.00	52.1%	14.9%	51.5%	19.9%	49.5%	7.0%	-0.6%	977	-51.8K	-311	0.00	105.48	7	0	123	202
2020-09-15	$15.23	$15.00	58.2%	16.7%	52.9%	23.3%	0.0%	21.4%	-0.4%	646	-30.7K	-306	0.00	117.55	0	0	123	202
2020-09-16	$14.90	$15.00	49.6%	14.2%	53.5%	18.5%	0.0%	17.9%	-2.3%	106	-10.9K	-302	0.00	105.69	0	0	123	198
2020-09-17	$14.67	$15.00	56.0%	16.0%	51.8%	22.0%	56.1%	-8.7%	143.5%	1.2K	2.1K	-262	0.50	108.12	2	1	123	198
2020-09-18	$15.23	$15.00	50.8%	14.6%	53.7%	19.1%	50.8%	5.1%	140.5%	2.1K	-52.6K	-259	0.00	113.56	2	0	121	198
2020-09-21	$14.31	$15.00	59.3%	17.0%	52.2%	23.9%	50.6%	13.6%	9.8%	1.2K	-17.0K	-256	0.00	105.91	3	0	88	58
2020-09-22	$14.50	$15.00	59.9%	17.2%	49.0%	24.2%	57.1%	14.4%	-0.2%	1.3K	-22.9K	-263	0.00	106.68	2	0	88	58
2020-09-23	$13.93	$15.00	57.8%	16.6%	50.9%	23.0%	49.2%	-9.1%	-3.8%	1.2K	-6.0K	-236	0.00	106.47	0	1	88	58
2020-09-24	$14.12	$15.00	58.8%	16.9%	51.2%	23.6%	0.0%	12.3%	-5.9%	1.2K	-13.0K	-249	0.00	112.99	1	0	88	60
2020-09-25	$14.25	$15.00	56.1%	16.1%	51.2%	22.1%	0.0%	-16.4%	0.7%	1.2K	-13.9K	-237	0.00	113.00	0	0	89	60
2020-09-28	$14.54	$15.00	49.6%	14.2%	51.8%	18.5%	52.8%	-7.6%	0.3%	1.8K	-20.0K	-242	0.50	112.16	20	10	88	60
2020-09-29	$14.25	$15.00	50.2%	14.4%	52.1%	18.8%	0.0%	-4.5%	-0.8%	2.1K	-14.9K	-297	0.00	115.27	0	0	106	70
2020-09-30	$14.22	$15.00	49.3%	14.1%	51.8%	18.3%	0.0%	12.7%	-0.2%	2.2K	-6.5K	-272	0.00	114.60	0	20	106	70