AMC Options History — August 2015

In August 2015, AMC traded between $141.25 and $160.85. ATM implied volatility averaged 39.3%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 1.8% (HV 20d: 37.5%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.38.

Notable Days

  • 2015-08-07: Highest Volume — 300 contracts
  • 2015-08-24: Largest IV spike — 48.2% change
  • 2015-08-24: Highest IV Rank — 75.5%
  • 2015-08-24: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$148.08$141.25$160.85$160.85$145.15
Max Pain$145.71$145.00$150.00$150.00$145.00
ATM IV39.3%29.0%58.4%29.3%53.9%
Expected Move11.1%8.3%16.7%8.4%15.5%
HV 20d37.5%30.4%42.3%30.4%37.5%
HV 60d32.2%29.2%34.7%29.2%33.6%
IV Rank36.5%16.1%75.5%16.8%66.2%
IV Percentile85.7%50.4%99.6%52.4%98.4%
Term Structure-2.2%-10.4%0.5%-0.7%-8.9%
VWIV39.0%21.9%59.6%21.9%49.6%
Skew 25d5.4%1.4%13.1%2.0%12.3%
Skew 10d13.8%-8.9%53.7%5.7%37.9%
Call IV 25d37.3%29.3%57.4%29.6%51.6%
Put IV 25d42.7%31.0%70.2%31.7%63.9%
Bid-Ask Spread %83.4969.82101.9788.72101.97
Gamma HHI0.170.150.200.160.18
Net GEX147.4K49.6K326.5K326.5K73.6K
Net DEX-1.4M-6.5M1.1M-6.5M102.1K
Net VEX-25.6K-28.6K-23.3K-28.4K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.2429.000.920.69
Total Volume127.2381830025151
Total OI1,705.7141,6091,8281,6091,674

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$160.85$150.0029.3%8.4%30.4%16.8%21.9%2.0%-0.7%326.5K-6.5M-28.4K0.9288.72N/AN/A13121,010599
2015-08-04$157.65$150.0029.0%8.3%31.3%16.1%29.6%2.0%0.1%294.9K-5.2M-28.6K0.5380.60N/AN/A150791,015629
2015-08-05$152.70$150.0029.2%8.4%33.2%16.4%33.4%1.4%-0.5%210.4K-2.8M-27.5K0.4986.88N/AN/A161781,019633
2015-08-06$147.35$145.0035.1%9.8%35.4%28.5%34.0%2.1%-0.1%120.5K-843.2K-26.8K0.2469.82N/AN/A241571,015634
2015-08-07$147.90$145.0035.3%9.6%34.6%28.8%34.2%3.8%-1.0%166.3K-1.5M-28.0K0.2471.77N/AN/A241591,078633
2015-08-10$148.40$145.0035.7%9.3%33.9%29.7%33.1%2.3%-0.0%172.9K-1.5M-26.8K1.1373.69N/AN/A48541,080633
2015-08-11$141.40$145.0037.8%9.6%35.6%34.0%34.1%2.9%0.2%74.6K1.1M-23.7K29.0081.28N/AN/A1171,078632
2015-08-12$141.65$145.0035.8%10.3%35.7%28.7%35.2%2.5%-0.5%67.6K826.5K-24.1K1.1972.88N/AN/A43521,082640
2015-08-13$145.65$145.0033.9%9.7%37.7%24.9%33.8%2.8%-0.9%118.6K-408.9K-25.2K1.1972.83N/AN/A43521,092647
2015-08-14$147.20$145.0034.9%10.0%37.9%26.8%35.6%3.7%-1.1%133.2K-897.7K-25.5K1.7676.85N/AN/A28501,093647
2015-08-17$153.50$145.0032.4%9.3%41.4%21.7%34.8%3.1%0.1%239.5K-3.6M-25.8K0.6677.80N/AN/A81541,098663
2015-08-18$152.95$145.0032.5%9.3%40.2%21.9%34.9%3.3%0.5%232.2K-3.4M-25.1K0.6678.53N/AN/A81541,098679
2015-08-19$155.00$145.0032.0%9.2%40.2%20.9%34.8%3.6%-0.4%267.5K-4.2M-25.1K0.5681.15N/AN/A56311,095679
2015-08-20$149.50$145.0035.5%10.2%42.0%28.1%36.1%3.4%-0.7%144.6K-1.8M-25.2K1.1790.67N/AN/A63731,102697
2015-08-21$146.50$145.0039.4%11.3%40.6%36.2%40.6%5.2%-1.8%111.3K-686.6K-25.9K1.3081.58N/AN/A41531,114714
2015-08-24$141.25$145.0058.4%16.7%42.3%75.5%59.6%12.7%-2.2%49.6K1.1M-24.8K1.0999.76N/AN/A4246957697
2015-08-25$142.15$145.0056.3%16.1%41.6%71.1%56.2%13.1%-5.4%72.8K301.6K-25.6K1.6993.29N/AN/A3355966697
2015-08-26$143.70$145.0053.4%15.3%41.2%65.2%52.4%8.0%-10.4%61.8K572.5K-24.5K1.7887.34N/AN/A3359963702
2015-08-27$144.35$145.0048.0%13.7%38.2%53.9%47.3%9.7%-3.5%80.0K44.2K-24.6K1.7889.53N/AN/A3359963702
2015-08-28$144.85$145.0048.5%13.9%37.4%55.1%47.5%12.9%-8.6%77.5K324.3K-23.8K1.8796.40N/AN/A3362963708
2015-08-31$145.15$145.0053.9%15.5%37.5%66.2%49.6%12.3%-8.9%73.6K102.1K-23.3K0.69101.97N/AN/A8962963711