LMNR Options History — September 2023

In September 2023, LMNR traded between $14.55 and $15.47. ATM implied volatility averaged 33.7%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.2% (HV 20d: 25.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.52.

Notable Days

2023-09-07: Highest Volume — 106 contracts
2023-09-08: Largest IV drop — 68.2% change
2023-09-07: Highest IV Rank — 77.2%
2023-09-01: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.03	$14.55	$15.47	$15.47	$15.29
Max Pain	$15.13	$15.00	$17.50	$17.50	$15.00
ATM IV	33.7%	23.6%	74.2%	60.7%	26.6%
Expected Move	8.4%	6.8%	17.4%	17.4%	7.6%
HV 20d	25.5%	17.7%	28.1%	17.7%	25.6%
HV 60d	23.6%	22.3%	25.3%	24.8%	22.8%
IV Rank	13.4%	0.0%	77.2%	44.3%	4.7%
IV Percentile	20.1%	0.0%	96.4%	83.7%	4.8%
Term Structure	-1.0%	-20.4%	1.8%	-20.4%	1.2%
VWIV	35.9%	25.6%	66.6%	66.6%	26.2%
Skew 25d	58.0%	-5.2%	124.5%	9.3%	80.5%
Skew 10d	97.9%	-7.6%	186.3%	24.9%	174.5%
Call IV 25d	30.3%	24.7%	62.2%	62.2%	29.8%
Put IV 25d	88.3%	21.4%	155.1%	71.4%	110.4%
Bid-Ask Spread %	99.97	83.51	113.39	88.95	108.83
Gamma HHI	0.76	0.52	0.97	0.81	0.60
Net GEX	-11.2K	-57.8K	7.4K	-9.6K	7.4K
Net DEX	152.4K	-166.6K	600.9K	265.7K	-166.6K
Net VEX	-431	-900	-265	-900	-405
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.00	2.93	1.00	0.00
Total Volume	22.65	0	106	2	10
Total OI	700.3	208	1,202	1,086	312

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
2023-09-01	$15.47	$17.50	60.7%	17.4%	17.7%	44.3%	66.6%	9.3%	-20.4%	-9.6K	265.7K	-900	1.00	88.95	1	1	515	571
2023-09-05	$15.09	$15.00	65.3%	11.3%	19.6%	50.0%	39.2%	4.1%	-5.0%	-11.0K	349.6K	-710	0.00	85.50	0	3	515	572
2023-09-06	$15.09	$15.00	66.1%	10.9%	19.6%	51.1%	0.0%	5.5%	-2.4%	-11.5K	355.7K	-673	0.13	88.99	31	4	515	575
2023-09-07	$15.30	$15.00	74.2%	11.7%	19.9%	77.2%	40.8%	7.2%	-6.1%	-9.8K	294.0K	-725	2.93	94.23	27	79	541	579
2023-09-08	$14.55	$15.00	23.6%	7.5%	26.4%	0.0%	26.1%	-5.2%	0.9%	-23.8K	581.6K	-404	2.67	93.39	24	64	565	637
2023-09-11	$14.55	$15.00	24.1%	7.2%	26.3%	0.9%	0.0%	-4.2%	0.6%	-22.8K	600.9K	-318	0.00	83.51	0	16	558	623
2023-09-12	$14.86	$15.00	26.7%	7.3%	27.4%	4.7%	0.0%	-1.5%	0.5%	-45.0K	491.1K	-378	0.00	89.62	0	2	553	616
2023-09-13	$15.12	$15.00	24.8%	7.1%	28.1%	1.9%	0.0%	79.1%	1.8%	-33.2K	350.8K	-372	0.00	99.83	31	0	553	614
2023-09-14	$15.22	$15.00	24.8%	7.1%	27.9%	1.9%	0.0%	72.7%	0.8%	-50.0K	224.1K	-324	0.00	105.39	0	0	556	614
2023-09-15	$15.07	$15.00	24.3%	7.0%	28.0%	1.1%	0.0%	84.5%	0.9%	-57.8K	354.9K	-273	0.39	106.37	18	7	556	614
2023-09-18	$15.11	$15.00	23.9%	6.8%	27.8%	0.4%	0.0%	84.2%	0.7%	2.8K	-42.9K	-265	0.00	110.51	17	0	131	77
2023-09-19	$15.18	$15.00	24.7%	7.1%	27.2%	1.7%	0.0%	80.5%	1.1%	3.3K	-56.8K	-331	0.00	109.53	2	0	148	77
2023-09-20	$15.12	$15.00	23.9%	6.8%	27.3%	0.4%	0.0%	2.6%	1.2%	3.4K	-55.9K	-329	0.00	104.98	0	0	150	77
2023-09-21	$14.98	$15.00	26.7%	7.7%	27.5%	4.8%	26.7%	99.5%	-0.1%	3.2K	-50.2K	-329	0.00	109.95	42	0	150	77
2023-09-22	$14.93	$15.00	25.6%	7.3%	27.1%	3.1%	25.6%	105.1%	0.1%	5.0K	-63.5K	-358	0.00	104.07	11	0	172	77
2023-09-25	$14.77	$15.00	26.2%	7.5%	26.6%	4.0%	26.2%	107.4%	1.3%	5.1K	-68.0K	-354	0.15	84.21	20	3	183	77
2023-09-26	$14.75	$15.00	27.9%	8.0%	26.6%	6.6%	0.0%	124.5%	0.3%	6.0K	-76.0K	-370	0.00	113.39	20	0	195	77
2023-09-27	$14.93	$15.00	26.6%	7.6%	27.0%	4.6%	0.0%	120.7%	1.0%	6.7K	-112.7K	-398	0.00	110.08	0	0	215	77
2023-09-28	$15.14	$15.00	26.9%	7.7%	26.8%	5.1%	0.0%	102.7%	0.7%	7.0K	-127.2K	-397	0.00	107.98	20	0	215	77
2023-09-29	$15.29	$15.00	26.6%	7.6%	25.6%	4.7%	0.0%	80.5%	1.2%	7.4K	-166.6K	-405	0.00	108.83	10	0	235	77