AMC Options History — June 2014 In June 2014, AMC traded between $112.75 and $124.35. ATM implied volatility averaged 31.5%. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 8.0% (HV 20d: 23.5%). 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 20 of 21 days. Put/call ratio averaged 1.17.
Notable Days 2014-06-19 : Highest Volume — 481 contracts2014-06-09 : Largest IV spike — 7.0% change2014-06-04 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $120.04 $112.75 $124.35 $113.05 $124.35 Max Pain $112.50 $112.50 $112.50 $112.50 $112.50 ATM IV 31.5% 29.5% 33.5% 33.5% 29.6% Expected Move 9.0% 8.5% 9.6% 9.6% 8.5% HV 20d 23.5% 20.9% 29.2% 29.2% 20.9% HV 60d 37.0% 33.8% 39.1% 39.1% 33.8% Term Structure 2.2% -0.1% 3.7% -0.1% 3.6% VWIV 32.0% 29.6% 33.6% 32.7% 29.6% Skew 25d 2.8% -4.7% 12.4% 2.4% 3.3% Skew 10d 4.7% -7.6% 19.9% 3.5% 5.1% Call IV 25d 31.2% 27.3% 37.0% 37.0% 32.1% Put IV 25d 34.0% 31.3% 39.7% 39.4% 35.4% Bid-Ask Spread % 86.18 54.50 97.81 93.40 88.16 Gamma HHI 0.67 0.50 0.94 0.55 0.86 Net GEX 165.5K 78.6K 335.8K 131.3K 114.6K Net DEX -2.4M -4.5M -661.7K -764.4K -2.5M Net VEX -9.1K -11.9K -6.4K -8.3K -11.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.17 0.00 6.13 2.68 0.53 Total Volume 41.905 0 481 14 6 Total OI 748.238 516 994 793 564
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 2014-06-02 $113.05 $112.50 33.5% 9.6% 29.2% 0.0% 32.7% 2.4% -0.1% 131.3K -764.4K -8.3K 2.68 93.40 N/A N/A 4 10 567 226 2014-06-03 $112.80 $112.50 33.1% 9.5% 26.3% 0.0% 32.2% 12.4% 0.3% 130.6K -661.7K -8.2K 0.72 93.55 N/A N/A 25 18 567 232 2014-06-04 $112.75 $112.50 33.5% 9.6% 23.8% 0.0% 32.5% -4.7% 0.1% 137.7K -786.8K -8.6K 3.71 96.36 N/A N/A 8 28 566 238 2014-06-05 $114.75 $112.50 32.8% 9.4% 24.3% 0.0% 32.8% -0.7% 0.1% 156.6K -1.3M -8.8K 0.68 97.81 N/A N/A 4 3 571 245 2014-06-06 $120.00 $112.50 31.2% 9.2% 25.1% 0.0% 33.0% 4.0% 2.0% 179.4K -2.7M -8.9K 0.44 83.20 N/A N/A 83 36 572 244 2014-06-09 $120.90 $112.50 33.4% 9.4% 24.6% 0.0% 33.2% 4.3% 1.2% 183.0K -3.0M -8.6K 1.47 77.34 N/A N/A 12 18 578 241 2014-06-10 $120.95 $112.50 32.8% 9.3% 24.0% 0.0% 33.6% 3.5% 2.0% 191.6K -3.1M -8.3K 6.13 82.11 N/A N/A 2 10 578 236 2014-06-11 $120.60 $112.50 31.0% 9.1% 24.1% 0.0% 0.0% 3.5% 2.5% 191.4K -2.9M -8.0K 0.04 84.94 N/A N/A 10 0 578 242 2014-06-12 $120.25 $112.50 31.3% 9.0% 23.6% 0.0% 31.3% 3.1% 3.7% 188.8K -2.9M -7.8K 0.68 80.86 N/A N/A 8 5 575 242 2014-06-13 $121.10 $112.50 31.2% 9.0% 23.6% 0.0% 31.8% 3.4% 3.1% 188.2K -3.0M -7.4K 0.43 90.42 N/A N/A 1 1 570 247 2014-06-16 $121.40 $112.50 31.9% 9.1% 22.9% 0.0% 0.0% 3.5% 2.6% 191.6K -3.1M -6.9K 0.07 87.20 N/A N/A 25 2 570 247 2014-06-17 $119.55 $112.50 31.6% 9.0% 22.1% 0.0% 31.6% 2.0% 2.3% 138.7K -2.6M -6.6K 3.15 82.80 N/A N/A 4 13 588 247 2014-06-18 $122.00 $112.50 30.5% 8.8% 22.8% 0.0% 0.0% 3.2% 3.2% 216.7K -3.3M -6.7K 0.42 84.96 N/A N/A 2 1 588 240 2014-06-19 $123.25 $112.50 30.4% 8.7% 22.9% 0.0% 30.4% 3.8% 3.5% 335.8K -3.3M -6.4K 0.00 96.51 N/A N/A 481 0 577 232 2014-06-20 $123.05 $112.50 30.8% 8.8% 22.8% 0.0% 0.0% 2.3% 3.0% 301.1K -4.5M -11.7K 0.00 90.79 N/A N/A 2 0 762 232 2014-06-23 $120.85 $112.50 31.6% 9.1% 24.1% 0.0% 31.6% 0.4% 2.3% 78.6K -1.8M -11.0K 0.00 85.75 N/A N/A 28 0 399 117 2014-06-24 $121.20 $112.50 31.0% 8.9% 22.4% 0.0% 0.0% 1.6% 2.5% 93.4K -1.9M -11.2K 0.00 85.57 N/A N/A 28 0 423 117 2014-06-25 $122.20 $112.50 30.7% 8.8% 22.1% 0.0% 0.0% 1.7% 2.5% 103.0K -2.1M -11.9K 0.00 82.71 N/A N/A 0 1 448 117 2014-06-26 $122.70 $112.50 29.7% 8.5% 20.9% 0.0% 0.0% 2.0% 3.1% 112.5K -2.2M -11.7K 0.00 90.89 N/A N/A 0 1 448 117 2014-06-27 $123.05 $112.50 29.5% 8.5% 20.9% 0.0% 0.0% 3.5% 3.3% 112.1K -2.2M -11.7K 0.00 54.50 N/A N/A 0 0 448 117 2014-06-30 $124.35 $112.50 29.6% 8.5% 20.9% 0.0% 29.6% 3.3% 3.6% 114.6K -2.5M -11.5K 0.53 88.16 N/A N/A 4 2 448 116
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