AMC Options History — March 2014 In March 2014, AMC traded between $114.75 and $127.35. ATM implied volatility averaged 32.9%. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 2.5% (HV 20d: 30.4%). Max pain ranged from $87.50 to $112.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.28.
Notable Days 2014-03-05 : Highest Volume — 112 contracts2014-03-07 : Largest IV spike — 97.2% change2014-03-10 : Largest Expected Move — 15.6%Monthly Statistics Metric Avg Min Max Open Close Price $120.14 $114.75 $127.35 $114.75 $121.25 Max Pain $107.14 $87.50 $112.50 $100.00 $112.50 ATM IV 32.9% 19.7% 63.4% 25.7% 33.2% Expected Move 9.2% 5.6% 15.6% 7.4% 9.5% HV 20d 30.4% 11.8% 40.9% 11.8% 40.9% HV 60d 25.0% 21.8% 26.5% 21.8% 26.4% Term Structure 2.3% -0.7% 16.3% -0.7% 0.7% VWIV 30.0% 12.0% 39.7% 25.8% 33.0% Skew 25d 1.8% -14.2% 42.2% 1.4% -1.4% Skew 10d 2.4% -12.9% 56.4% -0.1% 19.4% Call IV 25d 31.3% 16.9% 43.8% 22.6% 34.7% Put IV 25d 33.1% 18.7% 75.0% 23.9% 33.3% Bid-Ask Spread % 98.72 86.10 128.48 97.57 99.58 Gamma HHI 0.59 0.47 0.96 0.96 0.64 Net GEX 115.2K 62.6K 163.5K 99.1K 163.5K Net DEX -2.2M -3.4M -1.4M -1.7M -2.2M Net VEX -8.6K -11.7K -4.8K -5.8K -11.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.28 0.00 1.84 0.04 0.00 Total Volume 34.571 4 112 18 45 Total OI 517.952 304 706 325 632
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-03-03 $114.75 $100.00 25.7% 7.4% 11.8% 0.0% 25.8% 1.4% -0.7% 99.1K -1.7M -5.8K 0.04 97.57 N/A N/A 17 1 274 51 2014-03-04 $119.90 $100.00 19.7% 5.6% 16.9% 0.0% 12.0% 11.6% 7.0% 79.0K -2.2M -5.1K 0.00 110.69 N/A N/A 45 0 270 52 2014-03-05 $123.30 $100.00 24.5% 7.0% 18.2% 0.0% 24.6% -5.3% 3.4% 62.6K -2.2M -4.8K 0.02 98.36 N/A N/A 110 2 252 52 2014-03-06 $126.10 $112.50 32.1% 9.2% 18.7% 0.0% 24.3% 42.2% 4.9% 76.6K -2.8M -6.0K 0.17 121.96 N/A N/A 12 2 323 54 2014-03-07 $127.35 $87.50 63.4% 10.1% 18.7% 0.0% 22.6% 12.3% 16.3% 70.8K -2.8M -6.3K 0.00 115.07 N/A N/A 11 0 323 52 2014-03-10 $124.05 $87.50 45.6% 15.6% 22.5% 0.0% 39.7% -14.2% 1.4% 67.2K -2.6M -6.5K 0.15 128.48 N/A N/A 5 1 331 52 2014-03-11 $119.90 $87.50 32.2% 8.7% 26.9% 0.0% 30.7% -12.1% -0.3% 100.8K -2.2M -6.3K 0.04 110.57 N/A N/A 59 2 335 52 2014-03-12 $116.45 $112.50 27.5% 8.6% 29.2% 0.0% 29.7% 2.7% 1.0% 113.5K -1.8M -6.5K 0.19 86.10 N/A N/A 47 9 386 54 2014-03-13 $119.35 $112.50 30.4% 8.7% 30.0% 0.0% 34.3% 1.4% 1.6% 128.8K -2.3M -7.4K 0.65 88.53 N/A N/A 43 28 426 63 2014-03-14 $120.55 $112.50 31.3% 9.0% 30.0% 0.0% 0.0% 2.3% 1.1% 136.3K -2.6M -8.9K 1.30 91.52 N/A N/A 9 12 467 91 2014-03-17 $125.30 $112.50 30.3% 8.7% 32.2% 0.0% 30.2% 4.2% 1.8% 146.6K -3.4M -9.1K 0.25 96.71 N/A N/A 33 8 475 103 2014-03-18 $122.00 $112.50 31.3% 9.0% 34.2% 0.0% 31.5% 0.5% 0.2% 132.5K -2.7M -9.4K 0.93 91.62 N/A N/A 27 25 464 111 2014-03-19 $117.90 $112.50 33.7% 9.7% 36.9% 0.0% 33.0% -0.6% 0.8% 119.1K -2.0M -10.1K 0.02 94.83 N/A N/A 77 1 478 136 2014-03-20 $117.55 $112.50 33.2% 9.5% 37.0% 0.0% 32.9% -1.2% 2.1% 134.0K -2.1M -10.7K 1.84 87.50 N/A N/A 10 19 546 136 2014-03-21 $115.30 $112.50 30.8% 8.8% 37.5% 0.0% 31.5% 2.3% 2.8% 120.4K -1.6M -10.5K 0.19 89.18 N/A N/A 10 2 553 153 2014-03-24 $115.90 $112.50 33.8% 9.7% 37.5% 0.0% 33.3% -4.2% 0.2% 111.1K -1.4M -10.8K 0.15 93.95 N/A N/A 13 2 491 122 2014-03-25 $120.05 $112.50 34.0% 9.8% 39.3% 0.0% 34.0% -0.6% 0.1% 144.1K -2.1M -11.7K 0.02 90.89 N/A N/A 25 1 504 124 2014-03-26 $119.30 $112.50 33.3% 9.6% 39.5% 0.0% 33.7% -0.2% 0.5% 138.7K -2.0M -11.5K 0.00 95.57 N/A N/A 5 0 503 125 2014-03-27 $117.10 $112.50 32.4% 9.3% 40.1% 0.0% 0.0% -2.2% 2.3% 127.6K -1.6M -11.1K 0.00 95.07 N/A N/A 4 0 504 125 2014-03-28 $119.50 $112.50 33.1% 9.5% 40.6% 0.0% 33.5% -1.0% 0.2% 146.4K -2.0M -11.4K 0.00 89.31 N/A N/A 4 0 507 125 2014-03-31 $121.25 $112.50 33.2% 9.5% 40.9% 0.0% 33.0% -1.4% 0.7% 163.5K -2.2M -11.2K 0.00 99.58 N/A N/A 45 0 507 125
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