AMC Options History — March 2015

In March 2015, AMC traded between $169.00 and $179.30. ATM implied volatility averaged 25.4%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.9% (HV 20d: 24.5%). Max pain ranged from $125.00 to $175.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-03-06: Highest Volume — 882 contracts
  • 2015-03-11: Largest IV drop — 8.6% change
  • 2015-03-10: Highest IV Rank — 15.7%
  • 2015-03-10: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$174.80$169.00$179.30$176.85$177.55
Max Pain$168.18$125.00$175.00$125.00$175.00
ATM IV25.4%22.9%28.8%25.6%24.4%
Expected Move7.2%6.6%7.7%7.3%7.0%
HV 20d24.5%15.6%28.2%15.6%24.5%
HV 60d24.7%23.8%26.4%24.6%23.9%
IV Rank9.2%3.7%15.7%11.8%6.7%
IV Percentile14.0%2.0%30.2%13.5%10.3%
Term Structure1.8%-0.4%4.8%-0.4%4.8%
VWIV25.7%23.0%31.7%25.8%24.8%
Skew 25d1.8%0.8%2.8%0.8%2.7%
Skew 10d5.2%0.2%12.6%12.6%3.9%
Call IV 25d24.8%22.4%26.5%25.6%24.6%
Put IV 25d26.6%24.3%28.0%26.4%27.2%
Bid-Ask Spread %71.5940.21105.8988.05105.16
Gamma HHI0.430.170.630.330.46
Net GEX228.4K54.5K416.4K54.5K277.2K
Net DEX-5.4M-9.6M-3.2M-9.6M-5.4M
Net VEX-18.7K-26.3K-4.7K-4.7K-26.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.003.081.330.90
Total Volume174.0911882194181
Total OI925.5457911,134848978

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$176.85$125.0025.6%7.3%15.6%11.8%25.8%0.8%-0.4%54.5K-9.6M-4.7K1.3388.05N/AN/A83111598250
2015-03-03$174.05$125.0026.1%7.5%18.4%12.8%26.4%2.1%0.8%61.3K-8.4M-6.5K1.4777.47N/AN/A71104575284
2015-03-04$175.15$125.0026.0%7.5%17.4%12.6%31.7%1.7%0.6%80.4K-8.6M-7.0K0.1171.84N/AN/A78590601298
2015-03-05$174.25$175.0025.6%7.3%18.1%9.1%26.4%2.5%1.5%81.1K-6.3M-7.8K0.1740.21N/AN/A53690487304
2015-03-06$169.80$175.0026.8%7.6%21.8%11.6%26.0%1.1%1.2%80.0K-5.7M-7.8K0.1241.48N/AN/A79191489304
2015-03-09$174.40$175.0027.3%7.5%22.7%12.6%26.5%2.0%2.0%211.2K-4.2M-16.9K0.1058.70N/AN/A12112496312
2015-03-10$169.00$175.0028.8%7.7%26.4%15.7%25.8%1.5%1.1%215.6K-3.4M-18.6K0.3454.23N/AN/A5017549322
2015-03-11$172.50$175.0026.3%7.6%26.9%10.7%26.0%2.3%1.0%264.0K-4.2M-20.2K2.7568.79N/AN/A12593337
2015-03-12$171.60$175.0026.4%7.6%27.2%10.8%26.5%2.0%1.5%263.7K-4.0M-19.9K1.1846.67N/AN/A1518593335
2015-03-13$174.50$175.0025.4%7.3%27.4%8.9%26.7%2.2%1.6%283.5K-4.9M-20.3K0.5444.85N/AN/A8345598348
2015-03-16$175.80$175.0026.2%7.5%27.4%10.3%27.3%1.9%1.2%303.9K-5.6M-23.1K1.4073.45N/AN/A1217664388
2015-03-17$175.70$175.0026.0%7.5%27.6%10.0%0.0%1.5%1.3%309.6K-5.4M-23.5K0.2757.60N/AN/A4011669404
2015-03-18$176.60$175.0026.2%7.5%27.3%10.5%25.8%1.6%0.7%385.9K-6.0M-23.5K1.6180.93N/AN/A915693415
2015-03-19$177.25$175.0024.8%7.1%25.5%7.6%24.7%1.4%2.0%416.4K-6.3M-23.8K0.5664.46N/AN/A53700425
2015-03-20$178.40$175.0023.1%6.6%25.5%4.2%23.0%1.8%2.6%236.4K-6.9M-23.3K3.0850.91N/AN/A27706428
2015-03-23$179.30$175.0022.9%6.6%25.5%3.7%24.0%2.0%3.1%245.3K-5.0M-22.9K0.0058.53N/AN/A10578264
2015-03-24$174.75$175.0024.1%6.9%27.7%6.1%24.3%1.5%2.7%228.5K-3.7M-22.8K0.2594.66N/AN/A195579264
2015-03-25$172.55$175.0023.8%6.8%28.2%5.6%23.8%1.7%2.8%225.5K-3.2M-22.9K0.0687.69N/AN/A201594268
2015-03-26$173.15$175.0024.6%7.0%27.2%7.1%24.5%1.1%2.4%253.1K-3.6M-23.3K0.53101.44N/AN/A11360618269
2015-03-27$174.75$175.0024.6%7.1%26.4%7.2%0.0%1.3%1.9%272.1K-4.0M-23.3K1.63105.89N/AN/A35618269
2015-03-30$177.80$175.0024.6%7.0%25.2%7.1%24.4%2.8%3.3%274.7K-4.9M-23.3K0.79102.08N/AN/A10481624274
2015-03-31$177.55$175.0024.4%7.0%24.5%6.7%24.8%2.7%4.8%277.2K-5.4M-26.3K0.90105.16N/AN/A9586682296