LMNR Options History — December 2020

In December 2020, LMNR traded between $14.53 and $17.26. ATM implied volatility averaged 60.9%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 26.4% (HV 20d: 34.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.32.

Notable Days

2020-12-21: Highest Volume — 83 contracts
2020-12-07: Largest IV spike — 103.5% change
2020-12-07: Highest IV Rank — 40.3%
2020-12-31: Largest Expected Move — 23.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.74	$14.53	$17.26	$14.53	$16.78
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	60.9%	43.6%	88.6%	60.4%	81.8%
Expected Move	17.1%	14.3%	23.4%	17.3%	23.4%
HV 20d	34.5%	26.8%	40.8%	37.8%	39.4%
HV 60d	38.4%	34.9%	43.0%	42.9%	38.8%
IV Rank	24.8%	15.1%	40.3%	24.5%	36.4%
IV Percentile	47.6%	14.3%	85.3%	52.0%	80.6%
Term Structure	-7.3%	-40.8%	41.0%	-9.9%	-33.3%
VWIV	62.1%	33.3%	80.4%	33.3%	77.3%
Skew 25d	11.1%	-17.3%	29.9%	23.2%	5.3%
Skew 10d	11.0%	-16.6%	31.6%	30.2%	-4.5%
Call IV 25d	52.0%	31.4%	76.3%	54.2%	69.5%
Put IV 25d	63.1%	49.2%	91.2%	77.4%	74.8%
Bid-Ask Spread %	114.42	107.90	122.27	111.17	108.39
Gamma HHI	0.46	0.32	0.61	0.32	0.44
Net GEX	-517	-3.9K	3.1K	-580	3.1K
Net DEX	-27.3K	-130.3K	46.3K	14.1K	-121.7K
Net VEX	-479	-696	-306	-392	-696
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.00	2.00	0.00	0.67
Total Volume	12.318	0	83	0	5
Total OI	254.591	132	282	220	282

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
2020-12-01	$14.53	$15.00	60.4%	17.3%	37.8%	24.5%	0.0%	23.2%	-9.9%	-580	14.1K	-392	0.00	111.17	0	0	95	125
2020-12-02	$14.80	$15.00	49.8%	14.3%	38.2%	18.5%	33.3%	-0.2%	-9.7%	-770	14.9K	-388	0.00	112.01	0	50	95	125
2020-12-03	$15.00	$0.00	61.8%	16.0%	36.2%	25.3%	0.0%	11.3%	-1.3%	-2.4K	46.3K	-434	0.00	113.94	0	0	95	175
2020-12-04	$15.48	$0.00	43.6%	16.6%	35.5%	15.1%	0.0%	5.6%	-14.6%	-2.9K	23.4K	-447	0.00	113.85	7	0	95	175
2020-12-07	$15.18	$0.00	88.6%	17.2%	36.5%	40.3%	0.0%	23.4%	-11.0%	-1.6K	23.2K	-452	0.60	117.09	5	3	100	175
2020-12-08	$15.14	$0.00	59.5%	14.6%	31.8%	24.0%	0.0%	18.3%	0.0%	-2.5K	20.7K	-421	0.00	112.39	0	0	105	172
2020-12-09	$15.14	$0.00	66.9%	19.2%	31.7%	28.1%	0.0%	24.1%	-8.4%	-2.5K	14.0K	-415	0.00	110.27	0	1	105	172
2020-12-10	$14.95	$0.00	55.9%	16.0%	31.5%	22.0%	0.0%	12.2%	0.0%	-2.2K	31.0K	-422	0.00	119.43	0	0	105	171
2020-12-11	$15.18	$0.00	61.8%	17.7%	28.4%	25.2%	0.0%	11.9%	-18.1%	-3.1K	23.4K	-408	0.00	119.88	1	0	105	171
2020-12-14	$15.26	$0.00	62.3%	17.9%	26.8%	25.6%	0.0%	6.8%	-15.5%	-3.9K	21.6K	-374	0.00	122.27	0	0	105	171
2020-12-15	$15.80	$0.00	54.3%	15.6%	29.2%	21.1%	52.9%	10.1%	-6.1%	-2.1K	-1.3K	-367	0.17	113.73	6	1	105	171
2020-12-16	$15.75	$15.00	62.6%	17.9%	29.2%	25.7%	0.0%	12.6%	-5.6%	-1.5K	-11.0K	-365	0.00	120.86	1	0	109	171
2020-12-17	$15.64	$15.00	52.7%	15.1%	29.4%	20.2%	56.1%	17.9%	41.0%	-2.4K	-2.2K	-351	0.17	111.63	6	1	109	171
2020-12-18	$15.22	$15.00	56.3%	16.1%	30.9%	22.2%	0.0%	8.9%	11.5%	-924	-34.7K	-306	0.00	116.06	0	13	109	172
2020-12-21	$15.68	$15.00	66.7%	19.1%	32.4%	28.0%	65.9%	18.1%	-5.3%	176	-141	-344	0.02	111.62	81	2	59	73
2020-12-22	$16.03	$15.00	58.9%	16.9%	32.7%	23.6%	0.0%	9.6%	-10.1%	2.3K	-74.4K	-592	2.00	117.66	5	10	140	74
2020-12-23	$17.22	$15.00	58.1%	16.7%	40.2%	23.2%	53.3%	-17.3%	3.7%	2.3K	-118.2K	-656	0.00	116.83	10	0	145	83
2020-12-24	$17.00	$15.00	56.4%	16.2%	40.7%	22.2%	0.0%	10.0%	-14.0%	2.6K	-125.5K	-680	0.00	113.04	0	0	156	83
2020-12-28	$17.26	$15.00	62.7%	18.0%	40.8%	25.8%	72.0%	10.9%	-40.8%	2.4K	-130.3K	-679	0.47	107.90	15	7	156	83
2020-12-29	$16.60	$15.00	58.9%	16.9%	39.8%	23.7%	80.4%	-7.4%	0.3%	2.1K	-101.4K	-666	0.07	110.11	29	2	151	90
2020-12-30	$16.69	$15.00	60.5%	17.4%	39.6%	24.6%	67.9%	29.9%	-13.5%	3.0K	-113.0K	-689	0.00	117.18	10	0	180	92
2020-12-31	$16.78	$15.00	81.8%	23.4%	39.4%	36.4%	77.3%	5.3%	-33.3%	3.1K	-121.7K	-696	0.67	108.39	3	2	190	92