MANH Options History — March 2011

In March 2011, MANH traded between $7.31 and $8.19. ATM implied volatility averaged 68.4%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 42.5% (HV 20d: 25.9%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.01.

Notable Days

  • 2011-03-01: Highest Volume — 332 contracts
  • 2011-03-15: Largest IV spike — 120.1% change
  • 2011-03-09: Highest IV Rank — 100.0%
  • 2011-03-03: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.80$7.31$8.19$7.97$8.19
Max Pain$6.25$6.25$6.25$6.25$6.25
ATM IV68.4%30.4%114.6%84.1%51.3%
Expected Move17.4%8.7%26.1%24.1%14.7%
HV 20d25.9%22.4%29.2%24.7%25.7%
HV 60d22.3%20.5%23.9%20.6%23.3%
IV Rank53.3%13.8%100.0%70.8%35.2%
IV Percentile86.5%34.5%100.0%98.8%79.0%
Term Structure-13.9%-41.0%19.9%-41.0%9.2%
VWIV46.2%46.2%46.2%46.2%46.2%
Skew 25d31.9%5.1%64.5%12.1%20.8%
Skew 10d47.3%9.1%106.8%16.2%33.7%
Call IV 25d40.3%24.7%120.6%88.0%35.9%
Put IV 25d72.1%38.5%125.7%100.1%56.8%
Bid-Ask Spread %137.83120.42152.03148.38142.61
Gamma HHI0.310.210.430.210.42
Net GEX4.2K5868.1K5867.8K
Net DEX-138.9K-223.1K-53.1K-104.7K-223.1K
Net VEX-1.8K-2.1K-1.2K-1.2K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.141.540.141.00
Total Volume31.652033233248
Total OI1,720.6961,1481,8281,1481,828

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$7.97$0.0084.1%24.1%24.7%70.8%0.0%12.1%-41.0%586-104.7K-1.2K0.14148.3829240376772
2011-03-02$7.98$0.0072.9%20.9%24.6%59.0%0.0%22.7%-16.1%4.4K-167.1K-1.6K1.36135.7888120668812
2011-03-03$8.07$0.0091.1%26.1%23.8%78.1%0.0%5.1%-20.7%6.2K-198.9K-1.9K0.00152.0300756932
2011-03-04$8.05$6.2592.2%16.5%22.4%79.2%0.0%50.0%-14.9%5.8K-194.0K-1.8K0.00137.5400756932
2011-03-07$7.96$6.25104.3%16.7%23.0%92.1%0.0%53.0%-12.5%5.2K-178.9K-1.9K0.00140.2500756932
2011-03-08$8.05$6.2598.0%16.6%23.2%85.4%0.0%36.9%-12.1%7.1K-181.8K-1.7K0.00134.6700756932
2011-03-09$8.11$6.25114.6%17.8%23.1%100.0%0.0%49.9%-15.5%6.1K-201.8K-1.7K0.00137.5300756932
2011-03-10$7.85$6.2553.6%15.4%25.8%37.5%0.0%26.9%-9.5%5.2K-155.9K-1.8K0.00138.9500756932
2011-03-11$7.61$6.2562.4%17.9%28.4%46.6%0.0%54.9%-18.4%2.9K-112.4K-1.9K0.00141.9300756932
2011-03-14$7.57$6.2530.4%8.7%27.2%13.8%0.0%23.0%19.9%2.6K-64.8K-1.5K0.00140.9000756932
2011-03-15$7.46$6.2566.9%19.2%27.5%51.1%0.0%64.5%-24.7%1.9K-71.6K-1.9K0.00142.0900756932
2011-03-16$7.34$6.2546.3%13.3%27.8%30.1%46.2%42.6%-0.0%2.5K-62.8K-1.7K1.54122.495280756932
2011-03-17$7.31$6.2569.6%20.0%26.9%54.0%0.0%52.5%-30.8%1.2K-53.1K-2.0K0.00142.55008081,012
2011-03-18$7.37$6.2577.4%22.2%27.1%62.0%0.0%23.4%-30.4%1.2K-59.5K-2.1K0.00137.11008081,012
2011-03-21$7.59$6.2573.5%21.1%29.2%57.9%0.0%35.8%-24.5%2.4K-106.4K-2.0K0.00143.33008081,012
2011-03-22$7.58$6.2556.1%16.1%28.8%40.1%0.0%5.6%-22.4%2.9K-92.6K-1.8K0.00134.33008081,012
2011-03-23$7.63$6.2569.0%19.8%26.7%53.4%0.0%34.2%-5.3%2.2K-116.7K-2.0K1.00139.01448081,012
2011-03-24$7.78$6.2564.1%18.4%26.9%48.4%0.0%27.9%-17.8%3.2K-134.5K-1.7K0.00136.61008121,016
2011-03-25$7.93$6.2556.8%16.3%27.0%40.8%0.0%47.3%-8.6%5.1K-182.5K-1.5K0.00140.53008121,016
2011-03-28$7.93$6.2553.5%15.3%25.3%37.5%0.0%12.1%-21.2%6.7K-175.1K-1.7K0.00136.72008121,016
2011-03-29$7.98$6.2538.0%10.9%25.2%21.6%0.0%9.8%5.7%5.2K-153.5K-1.6K0.00120.42008121,016
2011-03-30$8.10$6.2547.1%13.5%25.8%30.9%0.0%21.8%-8.4%8.1K-203.0K-1.6K0.00124.29008121,016
2011-03-31$8.19$6.2551.3%14.7%25.7%35.2%0.0%20.8%9.2%7.8K-223.1K-1.7K0.00142.610488121,016