MANH Options History — December 2009

In December 2009, MANH traded between $5.91 and $6.22. ATM implied volatility averaged 27.9%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.8% (HV 20d: 25.0%). Max pain ranged from $5.00 to $5.63. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.09.

Notable Days

  • 2009-12-29: Highest Volume — 124 contracts
  • 2009-12-10: Largest IV spike — 23.4% change
  • 2009-12-17: Highest IV Rank — 19.3%
  • 2009-12-17: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.05$5.91$6.22$6.00$6.01
Max Pain$5.54$5.00$5.63$5.00$5.63
ATM IV27.9%22.5%32.0%30.4%22.5%
Expected Move8.1%6.5%9.2%8.7%6.5%
HV 20d25.0%18.4%27.4%25.7%22.5%
HV 60d37.1%36.7%37.5%37.5%37.4%
IV Rank12.1%2.7%19.3%16.5%2.7%
IV Percentile18.4%2.8%42.9%29.0%2.8%
Term Structure6.2%1.3%9.8%1.3%9.8%
VWIV28.5%27.8%29.2%27.8%29.2%
Skew 25d0.7%-9.2%6.8%3.2%-9.2%
Skew 10d-0.3%-15.9%21.0%21.0%-10.4%
Call IV 25d28.8%25.5%35.2%30.9%26.7%
Put IV 25d29.5%17.5%34.2%34.1%17.5%
Bid-Ask Spread %77.1732.15104.8675.7432.15
Gamma HHI0.640.540.940.590.64
Net GEX45.3K30.6K79.1K36.5K46.3K
Net DEX-1.1M-1.4M-798.5K-994.1K-1.0M
Net VEX-4.5K-5.4K-3.3K-5.4K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.550.000.55
Total Volume18.909012400
Total OI5,944.1825,7246,0766,0765,736

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$6.00$5.0030.4%8.7%25.7%16.5%0.0%3.2%1.3%36.5K-994.1K-5.4K0.0075.74004,3441,732
2009-12-02$5.99$5.0025.8%7.4%25.6%8.4%0.0%3.2%2.6%37.2K-965.0K-5.3K0.0045.46004,3441,732
2009-12-03$5.91$5.0030.1%8.6%26.0%16.0%0.0%-0.4%6.3%35.2K-897.9K-5.2K0.0044.44004,3441,732
2009-12-04$6.07$5.6328.8%8.9%27.1%13.7%0.0%4.5%3.0%42.1K-1.1M-5.2K0.0061.31004,3441,732
2009-12-07$6.09$5.6329.9%9.1%27.1%15.6%0.0%5.5%3.9%44.1K-1.2M-5.1K0.0088.33004,3441,732
2009-12-08$6.00$5.6330.6%9.0%27.4%16.8%0.0%3.5%3.0%41.1K-1.0M-5.1K0.0096.43004,3441,732
2009-12-09$6.03$5.6325.1%8.7%27.2%7.3%0.0%6.8%4.6%42.5K-1.0M-5.0K0.0051.03004,3441,732
2009-12-10$6.02$5.6331.0%8.9%27.1%17.6%0.0%4.5%3.8%42.5K-1.0M-4.9K0.0050.13004,3441,732
2009-12-11$6.04$5.6330.9%8.9%26.7%17.4%0.0%2.2%3.8%44.5K-1.1M-4.9K0.0047.19004,3441,732
2009-12-14$6.13$5.6330.4%8.7%26.6%16.4%0.0%4.4%4.3%52.8K-1.2M-4.7K0.0092.11004,3441,732
2009-12-15$6.04$5.6327.9%8.0%25.5%12.1%27.8%2.4%7.6%47.1K-1.1M-4.6K0.0094.324004,3441,732
2009-12-16$5.99$5.6329.3%8.4%25.7%14.6%29.2%1.6%6.6%42.0K-957.9K-4.5K0.0097.0212004,3441,732
2009-12-17$5.91$5.6332.0%9.2%26.0%19.3%0.0%4.3%5.4%31.0K-798.5K-4.3K0.0090.361204,2721,732
2009-12-18$5.94$5.6327.2%7.8%25.2%10.8%0.0%4.7%7.3%30.6K-827.7K-4.2K0.0088.754004,2601,732
2009-12-21$5.95$5.6327.3%7.8%25.0%11.0%0.0%3.0%9.7%32.3K-877.7K-4.2K0.0094.68004,0521,672
2009-12-22$6.05$5.6325.4%7.3%25.3%7.7%0.0%4.5%9.0%41.9K-1.0M-4.0K0.0080.98004,0521,672
2009-12-23$6.15$5.6325.1%7.2%25.5%7.2%0.0%-4.4%8.8%51.3K-1.2M-3.8K0.0087.05004,0521,672
2009-12-24$6.20$5.6325.6%7.3%24.9%8.0%0.0%-4.3%8.7%53.8K-1.3M-3.6K0.0081.30004,0521,672
2009-12-28$6.14$5.6327.1%7.8%21.1%10.8%0.0%-7.1%8.5%53.6K-1.2M-3.7K0.00104.868004,0521,672
2009-12-29$6.19$5.6325.1%7.2%19.4%7.3%0.0%-8.1%9.7%69.5K-1.4M-3.6K0.55100.2380444,1001,672
2009-12-30$6.22$5.6326.1%7.5%18.4%9.0%0.0%-9.0%9.3%79.1K-1.4M-3.3K0.0093.95004,0201,716
2009-12-31$6.01$5.6322.5%6.5%22.5%2.7%0.0%-9.2%9.8%46.3K-1.0M-3.5K0.0032.15004,0201,716