MANH Options History — August 2011

In August 2011, MANH traded between $7.84 and $9.37. ATM implied volatility averaged 56.0%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 3.2% (HV 20d: 52.8%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.27.

Notable Days

  • 2011-08-23: Highest Volume — 496 contracts
  • 2011-08-10: Largest IV drop — 57.9% change
  • 2011-08-09: Highest IV Rank — 77.8%
  • 2011-08-22: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.58$7.84$9.37$9.37$8.92
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV56.0%33.8%102.5%67.5%36.9%
Expected Move15.2%9.7%22.0%19.3%10.6%
HV 20d52.8%37.6%61.7%37.6%61.2%
HV 60d36.7%27.3%42.9%27.3%42.9%
IV Rank35.6%15.4%77.8%46.0%18.2%
IV Percentile57.8%19.8%98.0%82.9%24.2%
Term Structure-11.5%-40.6%8.0%-12.4%5.1%
VWIV36.1%36.1%36.1%36.1%36.1%
Skew 25d4.7%-33.5%36.6%24.1%36.6%
Skew 10d13.3%-57.1%67.4%37.9%67.4%
Call IV 25d67.9%32.2%92.8%55.1%33.5%
Put IV 25d72.5%35.6%101.9%79.2%70.1%
Bid-Ask Spread %123.88109.58132.06129.82112.00
Gamma HHI0.520.350.720.720.54
Net GEX3.9K7206.9K6.5K6.8K
Net DEX-50.4K-173.7K96.5K-139.9K-173.2K
Net VEX-1.6K-2.1K-1.1K-1.6K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.000.001.00
Total Volume35.478049600
Total OI1,387.6521,1321,4921,3721,492

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$9.37$8.7567.5%19.3%37.6%46.0%0.0%24.1%-12.4%6.5K-139.9K-1.6K0.00129.8200644728
2011-08-02$9.11$8.7548.4%13.9%39.1%28.7%0.0%5.4%-22.2%4.2K-101.5K-1.6K0.00128.8100644728
2011-08-03$9.22$8.7544.2%12.7%39.0%24.8%0.0%-19.8%-21.0%4.0K-114.7K-1.7K0.00131.0800644728
2011-08-04$8.87$8.7556.9%16.3%41.5%36.4%0.0%-11.2%-40.6%4.6K-79.8K-1.5K0.00128.7900644728
2011-08-05$8.69$8.7564.3%14.2%42.0%43.2%0.0%4.5%-9.6%2.5K-28.1K-1.5K0.00132.05080644728
2011-08-08$8.05$8.7584.7%19.0%49.4%61.7%0.0%27.1%-6.7%72061.7K-1.5K0.00124.7200644716
2011-08-09$8.50$8.75102.5%15.4%53.6%77.8%0.0%16.8%-8.5%2.3K-13.1K-1.5K0.00130.69800644716
2011-08-10$8.13$8.7543.1%16.1%55.5%23.9%0.0%20.5%-17.3%1.5K71.2K-1.5K0.00127.9300724716
2011-08-11$8.49$8.7559.1%17.0%57.3%38.4%0.0%13.7%-18.4%2.0K17.5K-1.5K0.00127.8400724716
2011-08-12$8.54$8.7555.5%15.9%57.3%35.1%0.0%5.0%-16.5%3.8K-46.6K-1.6K0.00132.0200724716
2011-08-15$8.77$8.7556.1%16.1%57.6%35.7%0.0%6.1%-16.9%3.0K-26.9K-1.5K0.00132.06400724716
2011-08-16$8.61$8.7550.0%14.3%57.3%30.2%36.1%13.4%-25.2%4.0K-70.9K-1.7K0.00124.87040764676
2011-08-17$8.60$8.7551.4%14.7%47.0%31.4%0.0%0.1%-19.0%3.9K-48.1K-1.6K0.00124.2300764676
2011-08-18$8.01$8.7570.0%20.1%52.7%48.3%0.0%7.9%-16.3%1.8K96.5K-1.3K0.00127.5100764676
2011-08-19$7.84$8.7570.3%20.1%52.8%48.6%0.0%8.9%-18.4%1.6K90.0K-1.3K0.00125.9500764676
2011-08-22$8.03$8.7576.8%22.0%54.1%54.5%0.0%9.1%-11.7%1.7K10.1K-1.1K0.00128.2200564568
2011-08-23$8.47$8.7560.0%17.2%58.3%39.2%0.0%4.4%-14.7%3.6K-11.9K-1.1K0.09123.4645640564568
2011-08-24$8.53$8.7538.3%11.0%58.3%19.5%0.0%-29.5%8.0%5.8K-98.0K-1.8K0.00111.0200804608
2011-08-25$8.32$8.7533.8%9.7%58.6%15.4%0.0%-14.6%6.4%5.7K-112.6K-1.8K0.00109.5800804608
2011-08-26$8.70$8.7539.8%11.4%61.2%20.8%0.0%-33.5%4.0%5.5K-100.6K-1.9K0.00110.8800804608
2011-08-29$8.86$8.7538.8%11.1%61.7%19.9%0.0%10.4%5.6%6.8K-166.9K-1.9K0.00112.4400804608
2011-08-30$8.76$8.7539.5%11.3%61.0%20.5%0.0%2.3%0.5%6.9K-173.7K-2.0K1.00113.224040804608
2011-08-31$8.92$8.7536.9%10.6%61.2%18.2%0.0%36.6%5.1%6.8K-173.2K-2.1K0.00112.0000844648