LMNR Options History — January 2021

In January 2021, LMNR traded between $15.46 and $17.56. ATM implied volatility averaged 70.5%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 24.7% (HV 20d: 45.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.74.

Notable Days

2021-01-11: Highest Volume — 366 contracts
2021-01-13: Largest IV drop — 52.0% change
2021-01-11: Highest IV Rank — 56.7%
2021-01-29: Largest Expected Move — 21.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.47	$15.46	$17.56	$16.39	$16.03
Max Pain	$15.44	$15.00	$17.50	$17.50	$15.00
ATM IV	70.5%	53.0%	118.0%	76.6%	73.1%
Expected Move	17.3%	15.2%	21.0%	17.2%	21.0%
HV 20d	45.9%	39.7%	52.1%	40.6%	43.6%
HV 60d	40.7%	38.5%	43.5%	38.5%	40.1%
IV Rank	30.1%	20.4%	56.7%	33.6%	31.6%
IV Percentile	57.5%	25.4%	94.8%	76.2%	71.0%
Term Structure	-6.3%	-22.0%	8.7%	-12.7%	-10.8%
VWIV	57.1%	47.8%	72.2%	58.4%	55.0%
Skew 25d	13.4%	-13.4%	33.1%	25.9%	33.1%
Skew 10d	11.2%	-38.7%	86.3%	31.7%	86.3%
Call IV 25d	49.2%	34.6%	71.5%	38.7%	66.8%
Put IV 25d	62.6%	46.2%	99.9%	64.6%	99.9%
Bid-Ask Spread %	109.33	95.51	121.64	103.74	119.58
Gamma HHI	0.43	0.31	0.64	0.43	0.32
Net GEX	1.9K	-592	5.6K	3.1K	214
Net DEX	-65.4K	-176.2K	15.7K	-101.7K	-36.9K
Net VEX	-820	-1.2K	-617	-661	-790
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	0.00	15.00	0.50	15.00
Total Volume	63.316	0	366	3	0
Total OI	410.053	285	642	285	372

Daily Data (19 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
2021-01-04	$16.39	$0.00	76.6%	17.2%	40.6%	33.6%	0.0%	25.9%	-12.7%	3.1K	-101.7K	-661	0.50	103.74	2	1	193	92
2021-01-05	$16.68	$0.00	68.7%	16.4%	39.7%	29.1%	58.4%	31.3%	-7.7%	3.3K	-119.5K	-662	0.05	108.62	20	1	195	92
2021-01-06	$17.39	$17.50	63.8%	16.9%	40.9%	26.4%	0.0%	12.7%	-7.3%	4.2K	-166.3K	-666	1.33	106.83	6	8	207	92
2021-01-07	$17.56	$17.50	87.6%	18.6%	40.7%	39.7%	0.0%	10.7%	-10.8%	4.3K	-176.2K	-674	0.00	102.91	3	0	208	92
2021-01-08	$17.23	$17.50	80.8%	16.1%	41.7%	35.9%	72.2%	24.7%	5.8%	4.1K	-155.3K	-658	0.37	110.99	54	20	208	92
2021-01-11	$17.20	$15.00	118.0%	17.1%	41.2%	56.7%	57.5%	32.7%	-10.8%	5.6K	-169.1K	-694	0.66	95.51	221	145	238	107
2021-01-12	$16.08	$15.00	110.8%	16.8%	48.8%	52.6%	59.0%	13.5%	-22.0%	3.5K	10.3K	-742	0.77	103.77	118	91	364	278
2021-01-13	$15.63	$15.00	53.1%	15.2%	50.0%	20.4%	47.8%	7.2%	8.7%	1.4K	-7.3K	-620	0.00	111.59	2	0	302	225
2021-01-14	$16.02	$15.00	66.7%	19.1%	49.2%	28.0%	0.0%	20.4%	-21.1%	1.6K	-33.0K	-617	0.00	109.10	44	0	300	218
2021-01-15	$15.46	$15.00	53.8%	15.4%	50.9%	20.8%	55.1%	16.3%	-2.0%	635	15.7K	-826	4.56	107.87	34	155	301	268
2021-01-19	$15.52	$15.00	53.0%	15.2%	50.9%	20.4%	50.4%	3.6%	7.6%	-588	9.1K	-978	3.03	97.70	30	91	170	228
2021-01-20	$16.00	$15.00	72.3%	20.7%	50.9%	31.1%	49.2%	17.4%	-6.5%	-592	30	-1.2K	0.00	112.80	20	0	182	282
2021-01-21	$16.70	$15.00	64.3%	18.4%	52.1%	26.6%	65.2%	4.4%	-2.9%	553	-41.4K	-1.2K	0.00	111.12	83	0	191	282
2021-01-22	$16.81	$15.00	57.6%	16.5%	51.6%	22.9%	0.0%	0.3%	-9.9%	486	-46.1K	-1.1K	0.00	104.27	5	0	170	282
2021-01-25	$16.99	$15.00	55.8%	16.0%	44.9%	21.9%	58.1%	-13.4%	1.2%	1.4K	-80.1K	-886	1.56	110.34	9	14	174	232
2021-01-26	$16.77	$15.00	63.6%	18.2%	44.9%	26.3%	55.0%	-7.5%	-2.7%	1.2K	-64.4K	-879	15.00	121.64	1	15	173	218
2021-01-27	$16.30	$15.00	60.3%	17.3%	45.5%	24.4%	0.0%	17.6%	-11.0%	688	-46.4K	-865	0.00	120.16	0	0	173	208
2021-01-28	$16.08	$15.00	60.1%	17.2%	43.7%	24.3%	0.0%	3.5%	-4.6%	597	-33.8K	-791	0.00	118.73	0	10	174	208
2021-01-29	$16.03	$15.00	73.1%	21.0%	43.6%	31.6%	0.0%	33.1%	-10.8%	214	-36.9K	-790	0.00	119.58	0	0	174	198