LMNR Options History — September 2022

In September 2022, LMNR traded between $11.64 and $13.81. ATM implied volatility averaged 57.5%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 0.3% (HV 20d: 57.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2022-09-16: Highest Volume — 400 contracts
2022-09-02: Largest IV spike — 99.3% change
2022-09-02: Highest IV Rank — 50.3%
2022-09-02: Largest Expected Move — 30.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.77	$11.64	$13.81	$12.07	$12.89
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	57.5%	34.1%	105.1%	52.7%	45.6%
Expected Move	14.5%	9.8%	30.1%	15.1%	13.1%
HV 20d	57.7%	47.9%	68.8%	58.8%	56.6%
HV 60d	45.6%	41.2%	58.7%	58.7%	48.1%
IV Rank	17.9%	2.1%	50.3%	14.7%	9.4%
IV Percentile	44.6%	1.2%	97.6%	37.7%	17.5%
Term Structure	-3.1%	-68.0%	28.8%	5.0%	4.8%
VWIV	53.9%	36.8%	106.2%	106.2%	47.4%
Skew 25d	11.4%	-22.6%	150.3%	24.3%	150.3%
Skew 10d	30.3%	-29.7%	322.8%	37.1%	322.8%
Call IV 25d	51.6%	32.9%	79.7%	49.6%	54.2%
Put IV 25d	63.0%	35.8%	204.6%	73.8%	204.6%
Bid-Ask Spread %	107.60	84.78	128.88	84.97	113.28
Gamma HHI	0.36	0.27	0.52	0.41	0.27
Net GEX	-1.3K	-3.6K	2.3K	-3.2K	-1.1K
Net DEX	-23.5K	-159.3K	68.5K	42.8K	-23.9K
Net VEX	-518	-683	-371	-440	-664
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.00	2.50	0.00	0.91
Total Volume	117.619	0	400	4	197
Total OI	445.762	280	636	465	381

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
2022-09-01	$12.07	$12.50	52.7%	15.1%	58.8%	14.7%	0.0%	24.3%	5.0%	-3.2K	42.8K	-440	0.00	84.97	4	0	160	305
2022-09-02	$11.64	$12.50	105.1%	30.1%	58.3%	50.3%	106.2%	28.1%	-68.0%	-3.6K	68.5K	-473	0.60	96.45	20	12	158	305
2022-09-06	$11.76	$0.00	72.9%	16.0%	58.5%	28.4%	0.0%	22.4%	-16.7%	-3.0K	48.6K	-536	0.48	112.91	83	40	178	317
2022-09-07	$11.75	$0.00	75.1%	12.6%	58.5%	29.9%	0.0%	-3.9%	12.7%	-3.1K	35.1K	-489	0.46	120.53	87	40	184	317
2022-09-08	$12.16	$0.00	59.8%	15.3%	60.2%	19.5%	0.0%	-12.5%	-2.2%	-1.9K	572	-457	0.14	116.44	94	13	199	317
2022-09-09	$13.22	$0.00	72.7%	10.9%	67.8%	28.3%	0.0%	18.5%	1.4%	2.3K	-159.3K	-566	0.06	111.98	233	14	306	330
2022-09-12	$13.25	$0.00	84.5%	13.5%	67.7%	36.3%	0.0%	-4.5%	-9.7%	-190	-91.5K	-503	0.27	90.06	11	3	276	344
2022-09-13	$12.86	$0.00	67.9%	13.6%	68.3%	25.0%	0.0%	5.4%	-4.7%	-3.1K	-28.9K	-461	0.15	100.18	341	50	267	345
2022-09-14	$13.11	$0.00	42.2%	12.1%	68.8%	7.6%	0.0%	2.0%	-3.8%	-459	-64.0K	-562	2.50	111.75	4	10	268	350
2022-09-15	$12.66	$0.00	43.8%	12.6%	59.7%	8.7%	0.0%	-15.1%	10.9%	-617	-51.5K	-521	0.00	100.09	0	0	272	340
2022-09-16	$13.14	$0.00	46.6%	13.3%	48.4%	10.5%	36.8%	-7.9%	-33.1%	-192	-84.3K	-463	0.18	105.39	340	60	272	340
2022-09-19	$13.19	$12.50	34.1%	9.8%	47.9%	2.1%	38.9%	-22.6%	11.6%	-741	-18.2K	-500	0.00	116.22	0	11	98	182
2022-09-20	$13.01	$12.50	44.1%	12.7%	48.1%	8.9%	43.7%	0.7%	-5.0%	-1.1K	-16.4K	-438	0.00	84.78	52	0	98	192
2022-09-21	$13.72	$12.50	36.4%	10.4%	51.8%	3.7%	0.0%	-13.3%	28.8%	-596	-33.8K	-572	0.00	106.72	1	0	107	192
2022-09-22	$13.81	$12.50	66.7%	19.1%	51.8%	24.2%	0.0%	-10.6%	-2.2%	233	-74.5K	-371	0.00	111.05	0	0	109	192
2022-09-23	$12.91	$12.50	35.8%	10.3%	56.9%	3.3%	0.0%	55.0%	14.9%	-1.7K	-8.9K	-562	0.00	97.10	0	0	109	192
2022-09-26	$12.86	$12.50	61.4%	17.6%	56.0%	20.6%	60.0%	1.8%	-8.6%	-1.2K	-11.3K	-492	0.56	118.05	73	41	109	192
2022-09-27	$12.73	$12.50	56.0%	16.1%	56.1%	16.5%	51.3%	-1.0%	-0.9%	-1.2K	-8.2K	-544	1.35	128.88	103	139	109	192
2022-09-28	$13.03	$12.50	58.0%	16.6%	55.2%	17.9%	56.3%	17.5%	-2.3%	-1.9K	-22.6K	-581	0.91	118.75	103	94	140	236
2022-09-29	$12.50	$12.50	45.2%	13.0%	56.3%	9.1%	45.1%	5.0%	2.9%	-1.7K	8.9K	-683	0.91	114.02	103	94	140	241
2022-09-30	$12.89	$12.50	45.6%	13.1%	56.6%	9.4%	47.4%	150.3%	4.8%	-1.1K	-23.9K	-664	0.91	113.28	103	94	140	241