AMC Options History — September 2014

In September 2014, AMC traded between $114.95 and $124.00. ATM implied volatility averaged 24.3%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 11.2% (HV 20d: 13.1%). Max pain ranged from $112.50 to $125.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.14.

Notable Days

  • 2014-09-22: Highest Volume — 308 contracts
  • 2014-09-30: Largest IV spike — 19.0% change
  • 2014-09-30: Highest IV Rank — 18.0%
  • 2014-09-02: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.01$114.95$124.00$119.70$114.95
Max Pain$122.02$112.50$125.00$112.50$125.00
ATM IV24.3%21.9%27.5%24.2%27.5%
Expected Move7.9%7.5%8.2%8.2%7.9%
HV 20d13.1%8.7%17.6%14.8%17.6%
HV 60d17.5%16.7%18.1%17.7%17.7%
IV Rank10.6%5.1%18.0%10.3%18.0%
IV Percentile13.8%4.4%34.9%9.6%34.9%
Term Structure3.1%0.4%14.8%1.1%0.9%
VWIV28.2%26.3%30.0%30.0%26.3%
Skew 25d3.2%-1.9%10.0%4.5%6.3%
Skew 10d5.7%-4.7%42.4%-0.4%9.2%
Call IV 25d25.1%17.9%29.0%24.4%21.8%
Put IV 25d28.3%26.1%31.7%28.9%28.1%
Bid-Ask Spread %60.5241.8797.3245.5175.92
Gamma HHI0.760.580.930.780.60
Net GEX701.4K391.0K1.5M397.9K440.2K
Net DEX-8.1M-10.5M-5.2M-6.6M-5.2M
Net VEX-31.0K-35.1K-26.5K-35.1K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.0038.000.070.00
Total Volume36.333030815150
Total OI2,012.8571,2702,3052,2291,652

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$119.70$112.5024.2%8.2%14.8%10.3%30.0%4.5%1.1%397.9K-6.6M-35.1K0.0745.51N/AN/A1411,684545
2014-09-03$120.05$112.5024.0%8.1%14.4%9.9%0.0%4.6%0.4%453.7K-7.2M-34.6K0.0045.61N/AN/A301,653544
2014-09-04$121.10$112.5023.8%8.1%12.9%9.5%0.0%6.5%1.3%538.9K-8.0M-34.7K0.0046.96N/AN/A101,651544
2014-09-05$122.25$112.5023.7%8.0%13.1%9.1%0.0%2.3%1.4%645.1K-8.9M-34.0K2.6042.78N/AN/A381,651544
2014-09-08$124.00$112.5023.7%8.1%13.2%9.2%28.4%3.1%1.5%802.9K-10.5M-32.4K38.0045.55N/AN/A1301,654539
2014-09-09$122.95$125.0023.7%8.1%13.8%9.3%29.4%2.1%1.9%772.8K-9.5M-33.0K2.3347.94N/AN/A111,654569
2014-09-10$122.65$125.0023.9%8.1%13.3%9.7%28.4%2.7%2.0%762.8K-9.1M-32.6K4.0041.87N/AN/A141,654570
2014-09-11$123.05$125.0024.9%8.0%12.9%11.9%0.0%3.2%1.7%826.5K-9.1M-32.1K0.0053.85N/AN/A001,654574
2014-09-12$123.05$125.0024.8%7.8%11.0%11.9%29.1%3.5%1.4%624.6K-9.3M-32.9K0.0055.13N/AN/A001,654574
2014-09-15$123.00$125.0025.1%7.8%10.1%12.4%0.0%0.2%1.5%933.7K-9.4M-30.2K0.0667.89N/AN/A6541,654574
2014-09-16$123.50$125.0024.3%7.9%9.3%10.7%0.0%3.6%2.9%950.9K-10.0M-30.8K0.0055.18N/AN/A101,714578
2014-09-17$123.95$125.0023.5%8.0%9.2%8.8%0.0%2.8%3.4%998.0K-10.4M-29.8K0.0062.33N/AN/A001,714578
2014-09-18$123.45$125.0024.2%7.7%9.5%10.5%0.0%3.0%2.3%1.5M-8.9M-29.1K0.0073.37N/AN/A1801,712576
2014-09-19$123.00$125.0024.0%7.9%8.7%10.0%0.0%2.2%2.1%1.3M-8.4M-28.5K0.0254.38N/AN/A5011,729576
2014-09-22$122.95$125.0026.3%7.9%8.7%15.2%27.5%2.1%0.8%391.0K-7.8M-27.4K0.0067.92N/AN/A30711,17694
2014-09-23$118.85$125.0021.9%7.9%15.5%5.1%26.7%2.5%3.5%502.6K-7.5M-30.3K0.0082.74N/AN/A1701,46695
2014-09-24$118.00$125.0023.6%8.1%15.7%9.0%0.0%-0.5%10.7%507.9K-6.8M-30.1K0.0072.97N/AN/A0201,47895
2014-09-25$116.25$125.0026.4%7.8%16.6%15.4%26.3%-1.9%0.6%457.4K-5.6M-27.8K0.0068.78N/AN/A6101,478115
2014-09-26$117.45$125.0023.8%7.5%17.0%9.6%0.0%5.5%9.1%498.0K-6.2M-29.4K0.0097.32N/AN/A001,537115
2014-09-29$117.15$125.0023.1%8.0%17.0%7.9%0.0%10.0%14.8%488.9K-5.9M-28.4K0.0067.01N/AN/A001,537115
2014-09-30$114.95$125.0027.5%7.9%17.6%18.0%0.0%6.3%0.9%440.2K-5.2M-26.5K0.0075.92N/AN/A15001,537115