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Lemonade options imply 12.8% move in share price post-earnings

Lemonade options imply 12.8% move in share price post-earnings

Pre-earnings options volume in Lemonade (LMND) is 3.7x normal with calls leading puts 10:9. Implied volatility suggests the market is anticipating a move near 12.8%, or $2.42, after results are released. Median move over the past eight quarters is 20.9%.

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