MANH Options History — August 2007

In August 2007, MANH traded between $6.30 and $7.22. ATM implied volatility averaged 37.7%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 8.6% (HV 20d: 46.3%). Max pain ranged from $5.63 to $7.50. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 5.50.

Notable Days

  • 2007-08-10: Highest Volume — 1,792 contracts
  • 2007-08-09: Largest IV spike — 43.2% change
  • 2007-08-09: Highest IV Rank — 87.6%
  • 2007-08-16: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.94$6.30$7.22$6.99$7.22
Max Pain$6.41$5.63$7.50$7.50$6.25
ATM IV37.7%25.6%49.9%37.1%33.5%
Expected Move11.0%8.8%14.2%10.6%9.6%
HV 20d46.3%40.2%55.0%40.2%41.3%
HV 60d36.8%33.0%38.6%33.0%38.3%
IV Rank55.3%23.2%87.6%53.8%44.3%
IV Percentile74.8%30.2%98.0%80.7%60.5%
Term Structure1.0%-4.3%13.9%-2.2%4.1%
VWIV36.7%21.2%50.5%36.8%35.5%
Skew 25d3.2%-8.3%14.1%-8.3%-3.7%
Skew 10d6.0%-11.4%25.2%-11.4%-3.0%
Call IV 25d36.2%26.9%43.1%36.8%31.8%
Put IV 25d39.4%28.1%52.0%28.5%28.1%
Bid-Ask Spread %59.8728.4287.9965.8859.14
Gamma HHI0.390.250.530.280.49
Net GEX13.6K-10.2K29.6K-7.6K29.6K
Net DEX-324.6K-954.0K765.1K228.6K-954.0K
Net VEX-9.6K-10.7K-7.3K-10.7K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.500.0078.002.180.00
Total Volume352.34801,7921,12080
Total OI7,908.1746,9968,9008,6567,444

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$6.99$7.5037.1%10.6%40.2%53.8%36.8%-8.3%-2.2%-7.6K228.6K-10.7K2.1865.883527684,3124,344
2007-08-02$7.04$7.5039.0%11.2%40.3%58.9%39.0%-8.0%-4.3%-10.2K195.8K-10.3K1.0043.5440404,0444,244
2007-08-03$6.83$7.5030.8%8.8%41.3%37.2%25.4%-3.3%13.9%-6.9K537.5K-9.4K0.0034.880924,0444,244
2007-08-06$6.88$7.5027.3%11.2%41.3%27.9%0.0%5.0%-1.0%-7.1K478.2K-9.4K0.0029.4001,2004,0444,216
2007-08-07$6.82$7.5025.6%10.8%41.2%23.2%0.0%2.6%-0.8%1.6K257.5K-9.1K0.0028.4201884,0443,752
2007-08-08$6.58$7.5034.8%10.6%42.3%47.8%21.2%-3.7%-1.0%1.9K427.8K-8.3K1.0845.8148524,0443,512
2007-08-09$6.30$5.6349.9%10.7%44.4%87.6%36.9%14.1%2.1%-2.7K765.1K-7.3K0.2147.749321924,0483,544
2007-08-10$6.83$5.6335.3%10.4%54.4%49.0%36.8%-0.4%1.9%22.3K-551.0K-8.9K0.0049.711,78844,9163,464
2007-08-13$6.96$5.6334.2%11.0%54.7%46.0%38.8%7.0%-0.1%23.2K-629.1K-9.4K5.0072.05964805,1403,468
2007-08-14$6.92$5.6335.2%11.3%54.5%48.7%26.6%5.9%-0.2%19.4K-515.1K-9.9K0.0056.454805,0763,788
2007-08-15$6.81$5.6348.6%12.0%54.8%84.2%0.0%2.5%0.4%16.6K-353.2K-9.7K0.0064.720405,1123,788
2007-08-16$6.95$5.6349.4%14.2%54.8%86.4%50.5%7.3%-3.3%17.6K-495.3K-10.1K78.0066.0543125,1123,788
2007-08-17$6.95$6.2545.5%13.0%54.8%76.0%45.6%12.9%-0.4%15.7K-582.8K-9.9K0.4871.742601245,1163,716
2007-08-20$7.03$6.2544.8%12.8%55.0%74.2%44.9%11.3%0.1%16.3K-583.2K-9.8K0.0073.5322804,0282,968
2007-08-21$7.04$6.2541.5%11.9%54.3%65.4%41.5%4.5%-0.5%19.3K-675.1K-10.1K0.0072.4616404,1962,968
2007-08-22$7.02$6.2539.4%11.3%44.6%60.0%39.4%5.5%2.1%21.1K-649.7K-10.1K0.0074.6112004,3162,968
2007-08-23$6.98$6.2535.7%10.2%42.1%50.2%35.8%5.8%2.4%21.4K-580.8K-9.9K0.7759.4152404,3042,968
2007-08-24$7.07$6.2535.8%10.3%40.8%50.5%0.0%6.4%2.5%22.4K-667.0K-9.9K0.0063.4612804,2762,968
2007-08-27$7.09$6.2535.1%10.1%40.8%48.5%35.1%6.5%1.8%24.2K-746.0K-9.8K0.2477.6884204,3522,968
2007-08-28$6.93$6.2538.2%10.9%41.3%56.6%0.0%1.4%-0.3%21.5K-634.7K-9.5K0.0066.77004,4322,968
2007-08-29$7.16$6.2534.6%9.9%42.9%47.3%34.7%7.0%2.8%26.1K-830.0K-9.7K0.0065.678404,4322,968
2007-08-30$7.16$6.2535.5%10.2%42.8%49.5%35.5%-4.9%3.1%27.5K-910.3K-9.7K10.0087.994404,4762,968
2007-08-31$7.22$6.2533.5%9.6%41.3%44.3%0.0%-3.7%4.1%29.6K-954.0K-9.7K0.0059.148004,4762,968