AMC Options History — November 2014

In November 2014, AMC traded between $122.25 and $132.10. ATM implied volatility averaged 31.2%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 1.7% (HV 20d: 29.5%). Max pain ranged from $112.50 to $125.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2014-11-21: Highest Volume — 450 contracts
  • 2014-11-28: Largest IV drop — 6.4% change
  • 2014-11-12: Highest IV Rank — 28.3%
  • 2014-11-10: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.82$122.25$132.10$124.55$131.10
Max Pain$123.03$112.50$125.00$125.00$125.00
ATM IV31.2%26.4%34.0%32.9%26.4%
Expected Move9.7%8.6%10.1%8.6%9.7%
HV 20d29.5%23.6%35.6%35.6%24.7%
HV 60d25.2%24.1%26.6%24.1%26.6%
IV Rank22.9%13.4%28.3%26.2%13.4%
IV Percentile54.9%25.9%82.9%68.1%25.9%
Term Structure2.6%-1.5%7.9%-0.8%7.6%
VWIV34.2%30.1%37.4%30.7%37.4%
Skew 25d6.2%-9.7%12.6%-4.0%8.2%
Skew 10d11.8%-11.3%50.0%-6.2%50.0%
Call IV 25d27.0%19.7%35.2%31.5%22.9%
Put IV 25d33.3%25.6%42.0%27.5%31.1%
Bid-Ask Spread %66.9356.0182.3568.5070.65
Gamma HHI0.600.470.900.500.90
Net GEX340.2K284.2K451.4K317.1K362.0K
Net DEX-9.6M-11.1M-6.4M-7.7M-10.0M
Net VEX-18.3K-22.3K-11.5K-22.3K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.001.141.030.00
Total Volume177.57904501300
Total OI1,684.3161,4201,7881,6831,421

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$124.55$125.0032.9%8.6%35.6%26.2%30.7%-4.0%-0.8%317.1K-7.7M-22.3K1.0368.50N/AN/A64661,167516
2014-11-04$122.55$125.0033.6%9.6%33.8%27.6%33.6%-9.7%-1.3%314.0K-6.8M-22.3K1.0382.35N/AN/A64661,169527
2014-11-05$122.25$125.0032.8%9.7%33.9%26.0%34.0%2.1%-1.5%336.2K-6.4M-21.8K1.0972.26N/AN/A61661,169527
2014-11-06$125.45$125.0031.6%10.0%34.2%23.6%35.5%7.8%-0.7%330.8K-8.1M-21.2K0.6362.69N/AN/A106661,168527
2014-11-07$128.75$112.5033.1%9.8%34.4%26.5%34.2%11.2%1.2%315.2K-10.3M-21.8K0.6167.46N/AN/A101621,248527
2014-11-10$127.85$112.5033.3%10.1%32.0%27.0%35.7%8.5%3.6%334.4K-10.2M-21.0K0.6164.72N/AN/A101621,248529
2014-11-11$129.30$125.0032.0%9.8%31.9%24.4%34.0%9.8%2.9%317.9K-10.3M-17.5K0.6265.67N/AN/A101621,169497
2014-11-12$129.50$112.5034.0%10.0%31.9%28.3%35.5%9.6%3.2%325.3K-11.1M-19.2K0.6170.69N/AN/A112681,248529
2014-11-13$128.55$125.0031.9%9.9%31.0%24.1%35.4%7.7%2.6%328.0K-10.5M-19.8K0.6372.18N/AN/A112701,239541
2014-11-14$127.60$125.0030.8%10.0%29.0%22.0%0.0%7.1%4.1%346.4K-10.0M-19.8K0.0072.59N/AN/A201,243541
2014-11-17$127.35$125.0032.0%9.9%29.1%24.3%35.8%7.8%2.5%352.5K-10.0M-19.0K0.6066.66N/AN/A113681,247541
2014-11-18$128.70$125.0030.6%9.7%27.2%21.7%35.0%8.4%3.1%348.1K-11.0M-17.7K0.2261.59N/AN/A312681,247541
2014-11-19$128.30$125.0030.7%9.5%24.5%21.8%30.1%7.2%2.5%362.5K-11.0M-17.5K0.1363.62N/AN/A811,246541
2014-11-20$127.80$125.0030.7%9.5%23.6%21.9%35.0%6.6%2.1%375.9K-10.5M-17.3K0.2458.56N/AN/A315771,243534
2014-11-21$125.05$125.0030.1%9.6%25.0%20.7%35.5%3.7%2.8%451.4K-8.9M-17.8K0.4460.25N/AN/A3131371,243528
2014-11-24$129.75$125.0030.3%9.3%27.5%21.0%33.6%4.1%1.8%343.6K-10.2M-14.3K0.0456.01N/AN/A21291,090410
2014-11-25$132.05$125.0028.4%9.1%26.9%17.3%30.1%10.0%5.1%317.8K-10.0M-12.7K0.0775.43N/AN/A306201,012408
2014-11-26$132.10$125.0028.2%9.8%24.7%17.0%37.4%12.6%7.9%284.2K-10.1M-13.0K1.1459.78N/AN/A121,014407
2014-11-28$131.10$125.0026.4%9.7%24.7%13.4%0.0%8.2%7.6%362.0K-10.0M-11.5K0.0070.65N/AN/A001,015406