LMNR Options History — September 2021

In September 2021, LMNR traded between $15.07 and $16.27. ATM implied volatility averaged 48.4%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 22.4% (HV 20d: 26.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.21.

Notable Days

2021-09-15: Highest Volume — 39 contracts
2021-09-27: Largest IV spike — 42.8% change
2021-09-07: Highest IV Rank — 57.1%
2021-09-01: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.62	$15.07	$16.27	$16.08	$16.21
Max Pain	$15.12	$15.00	$17.50	$17.50	$15.00
ATM IV	48.4%	31.0%	78.9%	57.9%	46.4%
Expected Move	13.2%	8.9%	16.6%	16.6%	13.3%
HV 20d	26.0%	23.2%	28.0%	26.2%	25.7%
HV 60d	28.2%	27.3%	28.9%	28.7%	28.9%
IV Rank	23.8%	4.9%	57.1%	34.2%	21.7%
IV Percentile	36.7%	2.4%	92.5%	66.7%	32.9%
Term Structure	0.7%	-18.7%	13.3%	-18.7%	4.2%
VWIV	42.3%	28.0%	64.0%	64.0%	44.3%
Skew 25d	8.5%	-13.9%	25.2%	8.1%	25.2%
Skew 10d	4.8%	-21.2%	29.0%	12.4%	16.6%
Call IV 25d	38.5%	29.1%	52.7%	52.7%	29.6%
Put IV 25d	47.0%	32.7%	60.8%	60.8%	54.8%
Bid-Ask Spread %	106.36	97.72	114.33	104.01	111.41
Gamma HHI	0.31	0.25	0.44	0.33	0.28
Net GEX	607	-3.5K	3.5K	3.4K	839
Net DEX	-44.9K	-75.7K	-20.5K	-70.9K	-67.4K
Net VEX	-713	-825	-595	-715	-759
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.21	0.00	38.00	0.00	1.00
Total Volume	10.476	0	39	2	0
Total OI	404.095	322	532	388	370

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
2021-09-01	$16.08	$17.50	57.9%	16.6%	26.2%	34.2%	0.0%	8.1%	-18.7%	3.4K	-70.9K	-715	0.00	104.01	0	2	285	103
2021-09-02	$16.15	$15.00	58.6%	14.8%	25.9%	35.0%	0.0%	18.5%	2.3%	3.5K	-74.9K	-727	0.00	99.30	7	0	290	114
2021-09-03	$16.27	$15.00	61.9%	13.9%	26.2%	38.6%	0.0%	14.5%	-1.1%	3.2K	-75.7K	-745	0.00	101.08	0	1	290	116
2021-09-07	$15.80	$15.00	78.9%	15.5%	27.8%	57.1%	0.0%	8.6%	-4.9%	2.9K	-58.5K	-684	0.00	101.68	24	0	289	115
2021-09-08	$15.67	$15.00	54.4%	15.6%	27.5%	30.4%	64.0%	6.6%	1.4%	2.2K	-42.1K	-677	0.44	104.01	18	8	289	116
2021-09-09	$15.73	$15.00	50.2%	14.4%	26.5%	25.8%	0.0%	10.1%	-4.0%	1.9K	-43.3K	-642	0.00	106.14	16	0	314	116
2021-09-10	$15.70	$15.00	41.4%	11.9%	26.5%	16.3%	43.1%	-4.1%	6.8%	2.3K	-57.3K	-652	2.00	102.08	5	10	332	121
2021-09-13	$15.59	$15.00	38.0%	10.9%	26.2%	12.5%	0.0%	-9.9%	9.2%	499	-39.8K	-597	0.00	103.64	1	0	330	120
2021-09-14	$15.42	$15.00	44.5%	12.8%	26.0%	19.6%	0.0%	5.1%	-6.0%	-493	-40.3K	-618	0.10	112.46	31	3	332	129
2021-09-15	$15.55	$15.00	43.4%	12.4%	26.3%	18.4%	0.0%	-1.5%	4.7%	-209	-34.6K	-595	38.00	97.72	1	38	333	129
2021-09-16	$15.12	$15.00	41.3%	11.8%	27.5%	16.1%	0.0%	8.5%	0.6%	-372	-36.1K	-667	1.00	105.07	1	1	362	131
2021-09-17	$15.07	$15.00	37.7%	10.8%	27.5%	12.1%	37.7%	1.0%	4.6%	-3.5K	-21.9K	-712	1.33	108.08	6	8	363	169
2021-09-20	$15.23	$15.00	46.1%	13.2%	28.0%	21.3%	36.0%	13.6%	1.0%	66	-28.3K	-747	1.00	114.33	10	10	182	140
2021-09-21	$15.22	$15.00	45.7%	13.1%	23.7%	20.9%	0.0%	6.7%	6.4%	-380	-20.5K	-751	0.00	107.08	0	0	187	148
2021-09-22	$15.32	$15.00	47.7%	13.7%	23.2%	23.1%	28.0%	14.7%	-3.8%	-328	-23.2K	-759	0.00	106.16	2	0	197	158
2021-09-23	$15.73	$15.00	52.5%	15.1%	24.5%	28.4%	52.4%	21.9%	-3.0%	-87	-42.7K	-825	0.00	111.64	8	0	197	158
2021-09-24	$15.37	$15.00	31.0%	8.9%	25.3%	4.9%	32.7%	-13.9%	13.3%	-1.4K	-42.4K	-795	0.00	109.06	0	5	198	158
2021-09-27	$15.64	$15.00	44.3%	12.7%	25.7%	19.4%	44.3%	10.1%	-0.1%	-154	-45.3K	-762	1.00	109.45	2	2	207	158
2021-09-28	$15.47	$15.00	47.1%	13.5%	24.5%	22.4%	0.0%	18.6%	4.9%	-488	-28.6K	-777	0.00	106.25	0	0	207	163
2021-09-29	$15.78	$15.00	46.5%	13.3%	25.1%	21.8%	0.0%	17.0%	-2.6%	-521	-48.3K	-770	0.00	112.96	0	0	207	163
2021-09-30	$16.21	$15.00	46.4%	13.3%	25.7%	21.7%	0.0%	25.2%	4.2%	839	-67.4K	-759	0.00	111.41	0	0	207	163