AMC Options History — May 2014

In May 2014, AMC traded between $105.70 and $120.00. ATM implied volatility averaged 32.0%. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 9.6% (HV 20d: 41.6%). Max pain ranged from $112.50 to $112.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2014-05-08: Highest Volume — 112 contracts
  • 2014-05-13: Largest IV drop — 31.6% change
  • 2014-05-09: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.24$105.70$120.00$120.00$113.35
Max Pain$112.50$112.50$112.50$112.50$112.50
ATM IV32.0%21.1%34.4%31.9%34.4%
Expected Move9.7%9.0%10.4%9.1%9.9%
HV 20d41.6%29.4%50.6%50.6%29.4%
HV 60d39.6%37.7%40.8%37.7%39.4%
Term Structure1.0%-1.3%2.5%2.4%-1.0%
VWIV34.2%31.3%38.4%31.8%34.4%
Skew 25d2.4%0.8%5.7%1.0%5.7%
Skew 10d4.5%-3.6%10.2%-2.6%8.4%
Call IV 25d33.7%31.3%35.8%33.0%33.3%
Put IV 25d36.1%33.1%39.0%34.0%39.0%
Bid-Ask Spread %80.0970.9794.4494.4489.69
Gamma HHI0.520.480.610.580.50
Net GEX117.2K70.9K174.3K174.3K132.4K
Net DEX-659.1K-2.4M392.9K-2.4M-1.1M
Net VEX-9.2K-11.5K-7.7K-11.5K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.007.080.134.50
Total Volume30.0952112622
Total OI823.381733955755792

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$120.00$112.5031.9%9.1%50.6%0.0%31.8%1.0%2.4%174.3K-2.4M-11.5K0.1394.44N/AN/A557579176
2014-05-02$118.70$112.5033.3%9.5%46.7%0.0%32.7%0.8%2.4%160.4K-2.1M-11.3K0.0887.76N/AN/A635576175
2014-05-05$114.45$112.5033.6%10.0%48.1%0.0%34.7%1.6%1.1%124.4K-1.2M-10.3K0.2573.98N/AN/A5012573177
2014-05-06$111.00$112.5033.6%9.9%49.2%0.0%35.2%1.5%1.3%103.8K-549.6K-9.6K0.5377.66N/AN/A105612189
2014-05-07$110.10$112.5034.1%9.8%46.7%0.0%35.0%1.9%2.2%96.0K-304.4K-9.1K0.1170.97N/AN/A496611189
2014-05-08$106.55$112.5028.4%10.2%47.7%0.0%35.4%3.2%0.7%77.4K194.5K-8.1K0.1074.76N/AN/A10210655195
2014-05-09$105.70$112.5033.3%10.4%46.6%0.0%34.7%2.8%0.0%87.4K226.1K-8.6K0.0072.43N/AN/A440724204
2014-05-12$108.05$112.5030.8%10.1%45.8%0.0%36.3%2.3%1.1%121.8K-238.3K-9.3K0.1073.31N/AN/A101744204
2014-05-13$108.30$112.5021.1%9.8%45.8%0.0%34.8%1.3%2.0%123.5K-140.9K-9.0K2.1177.42N/AN/A24751202
2014-05-14$107.15$112.5026.6%9.9%42.4%0.0%36.2%3.4%1.3%113.4K5.4K-8.5K3.7378.66N/AN/A728751203
2014-05-15$107.30$112.5033.7%9.7%42.4%0.0%38.4%3.4%2.5%98.2K180.3K-8.4K0.0074.54N/AN/A80727228
2014-05-16$106.35$112.5033.7%9.7%42.4%0.0%34.0%3.5%2.5%70.9K392.9K-7.7K2.2079.70N/AN/A12727228
2014-05-19$109.80$112.5033.8%9.7%40.2%0.0%34.0%2.9%-0.0%93.1K-287.8K-8.5K0.2683.92N/AN/A51537196
2014-05-20$109.80$112.5033.1%9.5%39.3%0.0%31.3%1.9%0.6%96.9K-315.6K-8.4K0.0276.71N/AN/A220539197
2014-05-21$110.40$112.5032.1%9.2%39.3%0.0%32.6%1.4%1.3%109.2K-512.6K-9.0K0.0780.99N/AN/A191561197
2014-05-22$111.95$112.5032.3%9.3%38.8%0.0%32.9%2.5%0.8%125.6K-850.3K-9.3K0.0480.31N/AN/A171571197
2014-05-23$112.85$112.5031.5%9.0%33.1%0.0%31.5%1.1%1.0%130.9K-902.8K-9.3K1.0284.86N/AN/A1010571197
2014-05-27$116.00$112.5033.8%9.7%33.6%0.0%32.6%4.3%-1.3%149.1K-1.7M-9.8K0.5579.58N/AN/A2413576207
2014-05-28$115.00$112.5033.3%9.6%33.7%0.0%33.7%2.9%0.4%142.5K-1.4M-9.4K0.6887.58N/AN/A43566210
2014-05-29$113.20$112.5033.2%9.5%32.5%0.0%36.1%1.8%-0.1%130.2K-938.0K-8.9K7.0882.62N/AN/A217566211
2014-05-30$113.35$112.5034.4%9.9%29.4%0.0%34.4%5.7%-1.0%132.4K-1.1M-9.0K4.5089.69N/AN/A02568224