AMC Options History — November 2015

In November 2015, AMC traded between $124.40 and $137.50. ATM implied volatility averaged 36.6%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.1% (HV 20d: 32.5%). Max pain ranged from $130.00 to $145.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.94.

Notable Days

  • 2015-11-03: Highest Volume — 317 contracts
  • 2015-11-04: Largest IV drop — 10.1% change
  • 2015-11-03: Highest IV Rank — 22.1%
  • 2015-11-03: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.67$124.40$137.50$137.05$127.05
Max Pain$143.75$130.00$145.00$130.00$145.00
ATM IV36.6%34.8%40.9%39.7%36.2%
Expected Move10.5%10.0%11.7%11.4%10.4%
HV 20d32.5%27.2%36.9%30.2%27.9%
HV 60d33.5%31.7%35.5%34.9%31.7%
IV Rank16.8%14.6%22.1%20.6%16.3%
IV Percentile76.2%67.5%90.5%86.9%73.8%
Term Structure-0.8%-2.9%1.2%-2.9%-2.5%
VWIV35.0%27.2%43.1%41.1%27.2%
Skew 25d5.4%3.1%11.2%5.4%4.5%
Skew 10d11.2%-9.4%30.1%30.1%11.2%
Call IV 25d35.6%31.8%42.8%38.5%35.1%
Put IV 25d41.0%37.4%53.9%44.0%39.7%
Bid-Ask Spread %91.0777.43102.5177.43102.51
Gamma HHI0.370.300.520.460.30
Net GEX50.4K-8.6K141.7K96.0K-7.2K
Net DEX1.4M-93.5K2.5M73.9K2.5M
Net VEX-10.7K-14.3K-6.7K-14.3K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.003.143.140.00
Total Volume174.2031726511
Total OI1,084.459371,1481,038992

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$137.05$130.0039.7%11.4%30.2%20.6%41.1%5.4%-2.9%96.0K73.9K-14.3K3.1477.43N/AN/A64201603435
2015-11-03$132.55$140.0040.9%11.7%32.3%22.1%43.1%11.2%-2.8%40.5K1.2M-14.3K2.1387.63N/AN/A101216619465
2015-11-04$129.05$140.0036.8%10.5%32.9%17.0%36.8%6.8%-1.7%13.6K1.7M-12.8K2.2493.68N/AN/A85191636475
2015-11-05$131.90$145.0036.5%10.2%33.1%16.6%33.7%5.3%0.1%44.4K1.3M-12.9K1.9787.98N/AN/A95188636473
2015-11-06$135.40$145.0034.8%10.0%34.6%14.6%32.4%3.1%0.1%104.9K308.4K-14.2K1.0090.55N/AN/A00661471
2015-11-09$133.80$145.0036.6%10.1%34.8%16.8%0.0%5.2%-0.3%89.2K710.9K-13.3K0.0991.60N/AN/A20662472
2015-11-10$136.45$145.0036.4%10.2%35.5%16.6%36.4%5.9%-1.3%115.4K71.5K-14.1K2.4989.53N/AN/A75187663472
2015-11-11$137.50$145.0035.4%10.1%35.5%15.3%29.7%6.2%0.2%141.7K-93.5K-13.7K2.4992.03N/AN/A75187662472
2015-11-12$133.40$145.0035.3%10.1%36.8%15.2%28.5%3.3%0.1%99.3K715.0K-12.3K2.4288.54N/AN/A66160663475
2015-11-13$131.10$145.0037.5%10.8%36.9%18.0%35.0%4.8%-0.8%64.0K1.3M-11.3K2.4898.95N/AN/A66164664475
2015-11-16$130.70$145.0038.5%11.0%36.3%19.2%0.0%3.8%-1.6%55.3K1.5M-10.3K0.0085.35N/AN/A00664479
2015-11-17$129.65$145.0037.1%10.6%32.9%17.4%37.8%5.5%0.1%39.8K1.7M-9.6K2.5191.71N/AN/A66165664479
2015-11-18$130.50$145.0036.4%10.5%31.8%16.6%36.8%5.3%0.5%57.8K1.7M-9.4K2.4489.79N/AN/A68166665481
2015-11-19$128.00$145.0036.3%10.4%32.1%16.4%35.3%5.7%0.6%4.7K2.3M-7.8K2.8587.96N/AN/A65184667481
2015-11-20$127.85$145.0035.9%10.3%30.3%16.0%34.5%4.2%1.2%45.7K2.0M-8.6K2.4388.87N/AN/A71173673475
2015-11-23$125.60$145.0035.8%10.3%30.8%15.8%34.4%5.5%-1.6%7.0K2.3M-6.9K0.8390.95N/AN/A76619318
2015-11-24$124.40$145.0035.0%10.0%30.6%14.8%35.8%4.0%-0.8%-1282.4M-6.7K0.0094.10N/AN/A30621321
2015-11-25$126.20$145.0035.7%10.2%27.3%15.7%35.8%5.6%-1.9%4.1K2.3M-6.8K2.6295.66N/AN/A52136623321
2015-11-27$125.25$145.0035.9%10.3%27.2%16.0%34.9%6.4%-0.6%-8.6K2.5M-7.2K2.6296.56N/AN/A52136635357
2015-11-30$127.05$145.0036.2%10.4%27.9%16.3%27.2%4.5%-2.5%-7.2K2.5M-7.0K0.00102.51N/AN/A110635357