AMC Options History — October 2015

In October 2015, AMC traded between $123.30 and $136.90. ATM implied volatility averaged 38.9%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 3.4% (HV 20d: 35.5%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.70.

Notable Days

  • 2015-10-01: Highest Volume — 643 contracts
  • 2015-10-02: Largest IV drop — 13.3% change
  • 2015-10-01: Highest IV Rank — 28.4%
  • 2015-10-01: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.89$123.30$136.90$123.30$136.90
Max Pain$131.59$130.00$140.00$140.00$130.00
ATM IV38.9%35.6%46.1%46.1%39.5%
Expected Move11.3%10.4%13.2%13.2%11.3%
HV 20d35.5%30.7%37.5%34.6%30.7%
HV 60d35.6%34.9%36.1%35.5%34.9%
IV Rank19.6%15.6%28.4%28.4%20.3%
IV Percentile85.5%77.8%93.7%93.7%86.5%
Term Structure-1.3%-3.2%3.0%-2.9%-3.1%
VWIV45.9%37.4%50.8%45.2%41.5%
Skew 25d5.0%2.9%8.9%8.9%4.3%
Skew 10d21.6%-2.6%31.3%-1.4%26.7%
Call IV 25d39.2%37.1%43.2%43.2%38.7%
Put IV 25d44.2%42.0%52.1%52.1%43.0%
Bid-Ask Spread %84.9069.91102.8099.2996.31
Gamma HHI0.310.220.440.220.44
Net GEX29.0K-19.2K87.4K-17.5K87.4K
Net DEX717.8K-172.8K2.2M2.2M60.1K
Net VEX-16.0K-18.2K-13.2K-14.9K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.700.553.630.553.00
Total Volume286.9099643643229
Total OI1,057.9551,0051,1511,0611,035

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$123.30$140.0046.1%13.2%34.6%28.4%45.2%8.9%-2.9%-17.5K2.2M-14.9K0.5599.29N/AN/A414229595466
2015-10-02$126.10$140.0039.9%11.4%35.8%20.9%40.1%6.6%3.0%-19.2K2.0M-15.2K0.5597.02N/AN/A414229595466
2015-10-05$128.50$130.0039.2%11.7%36.2%20.0%0.0%5.4%0.3%-14.3K1.5M-16.1K3.5073.45N/AN/A27595466
2015-10-06$130.75$130.0039.8%11.7%37.0%20.7%48.9%5.0%-0.7%-10.8K1.3M-16.7K2.6269.91N/AN/A87227595472
2015-10-07$133.45$130.0035.9%11.4%36.9%15.9%47.1%5.1%-1.5%-4.5K725.9K-17.2K2.3773.06N/AN/A96228595474
2015-10-08$135.95$130.0035.6%11.2%37.5%15.6%50.8%5.0%-0.9%20.5K77.0K-18.2K2.4477.19N/AN/A79193603476
2015-10-09$135.80$130.0036.2%10.6%37.4%16.3%47.6%4.7%1.1%18.9K49.3K-17.8K2.2881.51N/AN/A85193601475
2015-10-12$136.30$130.0038.3%11.3%37.4%18.9%50.1%3.6%-0.0%17.4K-104.3K-17.3K2.2679.18N/AN/A85192608475
2015-10-13$136.00$130.0037.4%11.2%37.3%17.8%49.4%3.8%-0.7%21.6K-172.8K-17.1K2.3477.70N/AN/A89208608475
2015-10-14$134.80$130.0038.7%11.1%37.4%19.3%48.4%3.5%-1.2%-19.0K503.4K-17.3K2.3481.18N/AN/A87204612515
2015-10-15$136.50$130.0038.1%10.9%37.4%18.6%49.2%5.0%-0.5%672218.1K-17.5K2.5875.63N/AN/A81209616519
2015-10-16$134.25$135.0036.4%10.4%37.3%16.5%46.2%5.2%-1.2%63.7K753.9K-16.9K2.6379.66N/AN/A81212624527
2015-10-19$136.55$135.0038.8%11.1%36.1%19.5%49.7%5.8%-1.2%74.6K136.0K-16.8K3.6180.99N/AN/A51185591414
2015-10-20$130.70$130.0039.4%11.3%36.3%20.2%47.6%2.9%-2.1%45.3K921.4K-15.0K3.6388.83N/AN/A51186595415
2015-10-21$127.65$130.0039.5%11.3%35.2%20.3%45.3%4.3%-2.6%26.2K1.5M-13.2K3.3084.62N/AN/A56185595417
2015-10-22$129.60$130.0039.4%11.3%35.0%20.2%47.0%6.0%-2.5%34.1K1.3M-14.2K3.3281.76N/AN/A57189594427
2015-10-23$133.25$130.0037.6%10.8%36.2%18.0%47.9%6.0%-1.3%56.0K766.2K-15.4K3.3489.61N/AN/A57189594430
2015-10-26$133.00$130.0038.9%11.1%32.5%19.6%42.4%3.1%-2.2%58.2K796.7K-14.3K3.3097.57N/AN/A57189594430
2015-10-27$131.15$135.0040.6%11.6%32.9%21.6%37.4%5.9%-1.8%42.1K1.1M-14.1K3.3592.55N/AN/A56186596430
2015-10-28$136.35$130.0040.3%11.5%32.9%21.3%41.1%4.2%-3.2%78.1K25.7K-15.9K3.02102.80N/AN/A57172598432
2015-10-29$136.75$130.0040.1%11.5%31.3%21.0%41.1%5.9%-2.7%78.4K124.8K-15.6K3.0288.03N/AN/A57172600435
2015-10-30$136.90$130.0039.5%11.3%30.7%20.3%41.5%4.3%-3.1%87.4K60.1K-15.0K3.0096.31N/AN/A57172600435