LMNR Options History — November 2020

In November 2020, LMNR traded between $13.49 and $15.27. ATM implied volatility averaged 58.8%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 16.5% (HV 20d: 42.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.35.

Notable Days

2020-11-30: Highest Volume — 22 contracts
2020-11-04: Largest IV spike — 67.9% change
2020-11-09: Highest IV Rank — 39.6%
2020-11-04: Largest Expected Move — 22.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.60	$13.49	$15.27	$13.81	$14.58
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	58.8%	45.2%	87.4%	45.2%	62.1%
Expected Move	16.0%	13.0%	22.4%	13.0%	17.8%
HV 20d	42.2%	33.8%	46.1%	40.3%	37.8%
HV 60d	43.8%	42.1%	45.9%	44.6%	42.9%
IV Rank	23.6%	16.0%	39.6%	16.0%	25.5%
IV Percentile	46.0%	21.4%	84.5%	22.6%	54.8%
Term Structure	-1.3%	-51.4%	17.0%	17.0%	-1.6%
VWIV	57.3%	45.9%	73.5%	45.9%	73.5%
Skew 25d	18.1%	-13.9%	35.6%	33.3%	26.9%
Skew 10d	17.2%	-12.4%	39.1%	24.3%	31.2%
Call IV 25d	47.6%	36.2%	67.0%	41.2%	51.5%
Put IV 25d	65.7%	38.4%	80.5%	74.6%	78.4%
Bid-Ask Spread %	116.85	105.76	126.99	121.58	119.02
Gamma HHI	0.38	0.34	0.44	0.37	0.34
Net GEX	-41	-455	197	-32	-232
Net DEX	2.9K	-10.4K	22.9K	11.4K	2.3K
Net VEX	-362	-393	-324	-366	-352
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.00	1.00	0.40	1.00
Total Volume	3.25	0	22	0	22
Total OI	176.15	167	199	167	199

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
2020-11-02	$13.81	$15.00	45.2%	13.0%	40.3%	16.0%	0.0%	33.3%	17.0%	-32	11.4K	-366	0.00	121.58	0	0	87	80
2020-11-03	$13.91	$15.00	46.5%	13.3%	39.0%	16.7%	0.0%	11.9%	1.2%	-168	17.0K	-343	0.40	117.43	5	2	87	80
2020-11-04	$13.49	$15.00	78.1%	22.4%	37.0%	34.4%	45.9%	20.6%	-34.8%	-161	22.9K	-324	0.00	119.94	0	3	87	82
2020-11-05	$14.01	$15.00	60.7%	14.1%	40.2%	24.6%	0.0%	-13.9%	3.5%	-116	16.2K	-344	0.00	116.48	0	0	87	83
2020-11-06	$14.01	$15.00	56.2%	16.9%	39.3%	22.1%	55.2%	11.2%	-6.4%	-112	16.0K	-352	0.00	111.95	0	1	87	83
2020-11-09	$14.76	$15.00	87.4%	15.8%	43.9%	39.6%	0.0%	7.4%	9.5%	92	-3.6K	-393	0.00	126.99	0	2	87	84
2020-11-10	$14.68	$15.00	70.0%	14.7%	42.9%	29.8%	0.0%	27.4%	15.6%	88	4.4K	-367	0.00	121.01	0	0	87	84
2020-11-11	$14.93	$15.00	56.6%	16.2%	43.3%	22.4%	0.0%	27.7%	10.1%	171	-6.7K	-390	0.00	124.79	0	0	87	84
2020-11-12	$14.36	$15.00	45.4%	13.0%	44.7%	16.1%	0.0%	14.6%	7.6%	68	1.6K	-364	0.00	120.03	0	0	87	84
2020-11-13	$14.77	$15.00	56.3%	16.1%	46.0%	22.2%	0.0%	11.3%	2.4%	74	-1.5K	-366	0.00	117.48	0	0	87	84
2020-11-16	$14.91	$15.00	63.8%	18.3%	46.1%	26.4%	0.0%	11.7%	-4.9%	130	-5.2K	-372	0.00	116.73	0	0	87	84
2020-11-17	$14.91	$15.00	54.7%	15.7%	45.9%	21.3%	0.0%	3.6%	-4.9%	107	-3.0K	-354	0.00	115.60	0	0	87	84
2020-11-18	$14.88	$15.00	56.9%	16.3%	45.9%	22.5%	53.7%	26.3%	-10.1%	171	-4.5K	-350	0.00	113.15	0	21	87	84
2020-11-19	$14.72	$15.00	53.5%	15.3%	45.6%	20.6%	0.0%	26.1%	-51.4%	-243	1.9K	-373	0.00	105.76	1	0	87	100
2020-11-20	$14.66	$15.00	59.1%	16.9%	45.6%	23.7%	0.0%	8.4%	0.0%	-192	10.4K	-364	0.00	110.11	0	0	88	100
2020-11-23	$14.92	$15.00	55.2%	15.8%	45.5%	21.6%	0.0%	13.5%	11.1%	-284	81	-374	0.00	115.02	1	0	86	98
2020-11-24	$15.26	$15.00	58.4%	16.7%	45.7%	23.4%	58.4%	26.7%	-3.4%	197	-10.4K	-375	1.00	109.16	1	1	86	98
2020-11-25	$15.27	$15.00	53.7%	15.4%	36.3%	20.7%	0.0%	31.1%	3.9%	84	-7.5K	-368	0.00	113.08	0	0	86	99
2020-11-27	$15.26	$15.00	55.7%	16.0%	33.8%	21.9%	73.5%	35.6%	11.0%	-455	-4.0K	-342	0.00	121.79	0	5	86	99
2020-11-30	$14.58	$15.00	62.1%	17.8%	37.8%	25.5%	0.0%	26.9%	-1.6%	-232	2.3K	-352	0.00	119.02	0	22	95	104