AMC Options History — September 2015

In September 2015, AMC traded between $121.40 and $140.20. ATM implied volatility averaged 51.9%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 18.4% (HV 20d: 33.5%). Max pain ranged from $125.00 to $145.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2015-09-29: Highest Volume — 643 contracts
  • 2015-09-03: Largest IV spike — 87.1% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.44$121.40$140.20$138.40$126.20
Max Pain$137.62$125.00$145.00$145.00$140.00
ATM IV51.9%36.6%104.4%82.9%44.4%
Expected Move12.8%10.5%23.8%23.8%12.7%
HV 20d33.5%27.7%40.1%40.1%34.4%
HV 60d34.2%33.0%35.4%34.9%35.3%
IV Rank38.4%17.9%100.0%100.0%26.3%
IV Percentile93.7%86.5%100.0%100.0%93.7%
Term Structure-1.8%-24.8%2.4%-24.8%-1.5%
VWIV44.1%37.5%61.1%61.1%47.2%
Skew 25d9.4%4.3%27.3%27.3%15.4%
Skew 10d21.5%-15.3%43.7%24.5%14.2%
Call IV 25d41.3%35.9%52.0%52.0%39.3%
Put IV 25d50.7%43.4%79.2%79.2%54.7%
Bid-Ask Spread %89.7574.57111.79106.35102.86
Gamma HHI0.260.180.850.190.22
Net GEX-67.7K-921.3K50.5K45.8K-13.3K
Net DEX2.5M333.7K4.7M1.2M1.9M
Net VEX-15.4K-21.8K-10.3K-21.8K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.002.860.640.55
Total Volume3070643159643
Total OI1,429.3815121,8121,6921,061

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$138.40$145.0082.9%23.8%40.1%100.0%61.1%27.3%-24.8%45.8K1.2M-21.8K0.64106.35N/AN/A9762981711
2015-09-02$139.80$145.0053.5%15.3%39.4%51.8%52.9%18.1%-8.0%28.0K2.3M-20.0K1.2088.11N/AN/A5262982711
2015-09-03$137.45$125.00100.1%12.4%37.9%100.0%45.1%7.1%0.1%47.7K1.6M-20.5K1.3389.88N/AN/A4863996711
2015-09-04$139.15$130.0079.3%12.6%38.3%73.4%47.7%10.0%-1.2%32.3K2.1M-19.7K1.2374.57N/AN/A5365996711
2015-09-08$139.55$130.00104.4%12.5%38.3%100.0%0.0%8.6%-1.4%50.5K1.3M-18.8K0.0083.43N/AN/A00994713
2015-09-09$136.00$130.0043.6%12.5%35.5%26.2%45.5%8.3%0.6%-23.8K3.4M-14.7K1.1275.81N/AN/A6067997713
2015-09-10$135.70$135.0044.2%12.7%35.4%27.0%45.6%9.8%-1.5%-58.6K4.1M-13.6K1.4582.75N/AN/A65941,006716
2015-09-11$134.55$135.0043.9%12.6%33.7%26.6%44.6%8.1%-2.8%-92.8K4.7M-12.4K1.3778.14N/AN/A69951,011719
2015-09-14$134.55$135.0042.4%12.1%33.3%24.8%43.4%8.0%-1.2%-71.3K4.2M-12.0K2.8674.86N/AN/A651851,015718
2015-09-15$135.60$140.0040.1%11.5%28.9%22.0%0.0%7.8%-0.7%-144.5K4.6M-12.1K2.1187.53N/AN/A6121,018794
2015-09-16$136.15$140.0040.2%11.5%29.1%22.2%42.0%6.0%-0.8%-212.1K4.7M-11.3K2.7687.92N/AN/A661831,024786
2015-09-17$137.95$140.0038.5%11.0%29.1%20.1%41.8%5.2%-0.8%-88.2K3.1M-12.1K2.79111.79N/AN/A651821,035748
2015-09-18$140.20$140.0036.6%10.5%27.7%17.9%41.0%7.5%2.1%-921.3K2.5M-10.9K2.5890.20N/AN/A641651,035748
2015-09-21$135.75$140.0037.5%10.7%29.0%18.9%39.4%7.5%2.2%-47.5K1.4M-10.3K0.2889.22N/AN/A396112218294
2015-09-22$130.10$140.0040.5%11.6%30.0%22.5%39.9%6.8%1.7%37.0K333.7K-17.0K0.2887.49N/AN/A396112568304
2015-09-23$125.80$140.0041.5%11.9%31.4%23.7%40.1%7.7%0.2%4.2K1.5M-16.1K0.2690.26N/AN/A410107569379
2015-09-24$128.10$140.0041.0%11.8%32.1%22.2%39.3%8.2%2.4%6.9K1.4M-16.7K0.2793.16N/AN/A410112590402
2015-09-25$127.45$140.0040.5%11.6%31.8%21.6%37.5%8.2%0.2%3.8K1.3M-18.1K0.2794.88N/AN/A414112590409
2015-09-28$122.35$140.0047.7%13.7%33.9%30.4%43.3%4.3%-1.2%2371.9M-14.8K0.5398.30N/AN/A416219594409
2015-09-29$121.40$140.0046.7%13.4%33.6%29.2%41.4%7.2%-1.9%-4.5K2.1M-14.9K0.5597.28N/AN/A414229596445
2015-09-30$126.20$140.0044.4%12.7%34.4%26.3%47.2%15.4%-1.5%-13.3K1.9M-16.3K0.55102.86N/AN/A414229595466