AMC Options History — December 2014

In December 2014, AMC traded between $121.15 and $134.25. ATM implied volatility averaged 31.3%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 5.7% (HV 20d: 25.7%). Max pain ranged from $112.50 to $125.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2014-12-19: Highest Volume — 449 contracts
  • 2014-12-03: Largest IV drop — 11.8% change
  • 2014-12-01: Highest IV Rank — 29.3%
  • 2014-12-23: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.48$121.15$134.25$132.90$130.90
Max Pain$115.00$112.50$125.00$125.00$112.50
ATM IV31.3%28.5%34.5%34.5%34.4%
Expected Move9.4%8.8%9.9%9.9%9.4%
HV 20d25.7%22.6%30.6%25.1%25.4%
HV 60d28.0%26.7%29.0%26.7%28.7%
IV Rank23.1%17.5%29.3%29.3%29.2%
IV Percentile56.2%37.2%87.2%86.9%87.2%
Term Structure1.8%-1.5%9.1%-1.5%-0.8%
VWIV35.1%32.2%38.2%36.1%33.4%
Skew 25d5.7%0.3%11.8%11.1%1.3%
Skew 10d7.7%2.6%16.9%12.4%4.0%
Call IV 25d27.9%22.2%33.7%23.9%33.7%
Put IV 25d33.6%30.3%38.6%35.0%35.0%
Bid-Ask Spread %76.6365.05104.8965.2496.27
Gamma HHI0.740.390.940.750.43
Net GEX333.7K93.3K690.2K287.7K108.5K
Net DEX-4.7M-10.3M-2.3M-10.3M-3.1M
Net VEX-11.2K-12.6K-7.4K-11.9K-11.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.002.200.080.00
Total Volume156.27304493240
Total OI993.5455531,4281,421572

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$132.90$125.0034.5%9.9%25.1%29.3%36.1%11.1%-1.5%287.7K-10.3M-11.9K0.0865.24N/AN/A300241,015406
2014-12-02$130.25$125.0032.3%9.5%25.0%25.1%35.7%5.5%-1.0%354.0K-9.4M-12.6K0.0865.38N/AN/A305241,018410
2014-12-03$127.85$125.0028.5%9.2%25.3%17.5%32.8%7.0%5.0%328.3K-5.3M-11.8K0.0865.05N/AN/A29325703410
2014-12-04$128.55$112.5030.0%9.1%25.3%20.5%0.0%3.1%-0.5%371.6K-5.5M-12.6K2.2070.52N/AN/A24732411
2014-12-05$126.25$112.5029.2%8.8%24.7%18.8%32.8%6.9%1.3%427.1K-4.5M-12.6K0.1470.84N/AN/A24635732412
2014-12-08$126.50$112.5030.2%8.9%22.8%20.9%32.2%5.6%1.4%454.0K-4.7M-12.2K0.5471.94N/AN/A4725741415
2014-12-09$125.05$112.5029.4%9.0%23.0%19.3%35.5%4.6%1.4%486.2K-4.2M-12.0K0.5265.15N/AN/A4926742417
2014-12-10$123.95$112.5031.9%9.2%22.7%24.1%34.5%4.4%0.7%459.0K-3.4M-11.7K0.4766.86N/AN/A5124745417
2014-12-11$123.95$112.5029.9%9.4%22.6%20.2%35.6%5.5%2.5%512.9K-3.9M-11.6K0.4766.27N/AN/A5124749416
2014-12-12$124.30$112.5031.1%9.5%22.6%22.7%36.2%4.8%1.1%524.4K-4.0M-11.3K0.5172.42N/AN/A4925749416
2014-12-15$124.70$112.5032.5%9.6%22.6%25.4%36.6%9.7%0.5%570.6K-4.1M-10.5K0.4569.48N/AN/A5525753417
2014-12-16$121.15$112.5031.6%9.8%24.6%23.6%38.2%4.1%1.6%618.2K-2.3M-10.0K0.5072.35N/AN/A5226764418
2014-12-17$126.50$112.5031.3%9.4%29.2%22.9%36.2%7.2%1.2%690.2K-5.4M-9.8K0.6572.96N/AN/A5133763422
2014-12-18$129.50$112.5032.3%9.7%30.4%24.9%35.3%7.8%1.8%450.6K-6.8M-8.9K0.3667.10N/AN/A9032761427
2014-12-19$130.85$112.5031.9%9.7%30.6%24.1%33.4%5.8%2.0%96.3K-7.5M-7.4K0.0370.97N/AN/A43514720427
2014-12-22$132.30$0.0031.6%9.7%29.5%23.6%0.0%4.0%3.9%95.0K-3.0M-12.1K0.1188.40N/AN/A24727449104
2014-12-23$134.25$0.0029.9%9.9%27.1%20.3%0.0%11.0%5.8%93.3K-3.3M-11.8K0.19104.89N/AN/A13827449104
2014-12-24$133.10$0.0029.4%9.7%26.6%19.2%0.0%11.8%9.1%93.6K-3.2M-11.5K0.1993.86N/AN/A13827450104
2014-12-26$131.85$0.0031.4%9.4%26.9%23.2%0.0%2.3%2.4%98.0K-3.0M-11.6K0.1785.53N/AN/A15928449104
2014-12-29$131.40$0.0033.1%9.3%26.7%26.5%0.0%1.0%-0.1%112.2K-3.1M-11.2K0.1791.48N/AN/A16328469105
2014-12-30$130.50$0.0033.2%9.5%26.4%26.8%0.0%0.3%0.8%110.8K-3.0M-11.0K1.4692.90N/AN/A68466105
2014-12-31$130.90$0.0034.4%9.4%25.4%29.2%0.0%1.3%-0.8%108.5K-3.1M-11.1K0.0096.27N/AN/A00468104