AMC Options History — December 2015

In December 2015, AMC traded between $114.50 and $127.20. ATM implied volatility averaged 36.4%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.0% (HV 20d: 32.4%). Max pain ranged from $120.00 to $145.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2015-12-21: Highest Volume — 539 contracts
  • 2015-12-07: Largest IV spike — 14.4% change
  • 2015-12-07: Highest IV Rank — 23.1%
  • 2015-12-11: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.82$114.50$127.20$127.20$120.40
Max Pain$122.50$120.00$145.00$145.00$120.00
ATM IV36.4%32.3%41.7%35.5%34.6%
Expected Move10.2%9.3%11.2%10.2%9.9%
HV 20d32.4%22.8%40.9%27.9%40.8%
HV 60d33.3%31.6%34.9%31.6%33.3%
IV Rank16.5%11.5%23.1%15.5%14.4%
IV Percentile70.5%51.2%91.3%69.0%57.9%
Term Structure0.8%-1.7%3.9%-1.4%1.2%
VWIV33.6%25.4%40.4%35.7%34.4%
Skew 25d4.7%2.8%7.8%6.0%7.8%
Skew 10d7.8%-11.6%30.2%10.0%14.7%
Call IV 25d34.7%30.8%37.3%34.5%30.8%
Put IV 25d39.4%37.3%42.3%40.5%38.6%
Bid-Ask Spread %90.9375.82107.09104.02103.17
Gamma HHI0.260.180.330.280.30
Net GEX27.9K-45.8K108.7K-14.7K108.0K
Net DEX792.6K-2.0M2.7M2.5M-1.4M
Net VEX-10.6K-17.9K-6.5K-7.1K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.303.950.302.87
Total Volume235.535393146
Total OI1,050.3646111,3261,003983

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$127.20$145.0035.5%10.2%27.9%15.5%35.7%6.0%-1.4%-14.7K2.5M-7.1K0.30104.02N/AN/A21646357
2015-12-02$124.10$145.0036.1%10.3%26.9%16.2%35.2%3.5%-1.7%-24.5K2.7M-6.5K1.9798.18N/AN/A67133648357
2015-12-03$123.05$125.0036.4%9.7%25.5%16.6%34.8%4.8%1.8%-28.6K2.6M-6.6K1.2687.14N/AN/A133168662359
2015-12-04$118.65$120.0036.5%9.8%26.5%16.6%34.8%5.1%-0.2%-11.1K2.3M-7.4K2.0877.21N/AN/A84174728356
2015-12-07$116.95$120.0041.7%10.4%23.9%23.1%34.1%5.1%-0.1%-4.5K2.3M-7.3K0.4997.38N/AN/A2211751350
2015-12-08$117.70$120.0039.7%9.7%24.3%20.5%34.7%4.6%1.5%-2.6K2.0M-7.5K3.0483.77N/AN/A60184771333
2015-12-09$115.25$120.0036.3%10.4%22.8%16.5%27.1%4.9%1.7%-1.9K2.2M-7.1K2.7783.55N/AN/A58160771339
2015-12-10$117.80$120.0035.2%10.1%24.6%15.1%34.1%4.1%1.6%-6.8K2.0M-7.7K2.4775.82N/AN/A63156772351
2015-12-11$115.20$120.0039.2%11.2%23.8%20.0%40.4%3.9%-1.1%-4.6K2.1M-7.6K2.8985.81N/AN/A61176782359
2015-12-14$114.50$120.0038.2%11.0%23.5%18.8%35.7%4.6%-0.4%-8.2K2.3M-7.4K1.1984.42N/AN/A143171782364
2015-12-15$120.60$120.0038.4%11.0%31.4%19.0%37.7%5.7%1.1%32.1K854.3K-8.6K1.0786.40N/AN/A148158850350
2015-12-16$126.90$120.0036.1%10.3%36.9%16.2%35.8%5.8%2.6%20.5K-389.9K-9.3K1.18107.09N/AN/A135159864361
2015-12-17$126.15$120.0035.7%10.2%36.8%15.7%35.8%5.9%1.0%-45.8K-182.7K-8.9K0.9989.34N/AN/A205202864367
2015-12-18$124.00$120.0035.7%10.2%36.7%15.7%36.0%4.5%1.4%19.8K339.8K-10.2K1.3281.66N/AN/A154203917409
2015-12-21$120.60$120.0036.3%10.4%37.9%16.4%36.0%4.0%-1.5%12.2K195.1K-10.2K0.4587.60N/AN/A371168313298
2015-12-22$122.70$120.0032.3%9.3%38.1%11.5%32.7%5.1%2.7%108.7K-2.0M-17.9K3.9595.77N/AN/A43169634298
2015-12-23$117.45$120.0035.4%10.1%40.9%15.3%25.4%3.6%0.9%94.0K-940.3K-16.7K3.0998.82N/AN/A42130642298
2015-12-24$116.25$120.0033.6%9.6%40.5%13.1%28.6%3.5%3.9%91.0K-571.8K-16.1K3.2391.16N/AN/A41134643298
2015-12-28$115.20$120.0036.7%10.5%40.5%17.0%30.0%2.8%0.2%82.4K-143.3K-14.8K2.5195.52N/AN/A57142645302
2015-12-29$117.15$120.0036.4%10.4%40.6%16.6%31.2%4.7%0.6%97.7K-448.3K-15.7K3.1892.48N/AN/A45142654314
2015-12-30$118.20$120.0033.8%9.7%40.9%13.4%29.7%4.1%1.7%101.5K-929.9K-16.3K2.1994.07N/AN/A50110656310
2015-12-31$120.40$120.0034.6%9.9%40.8%14.4%34.4%7.8%1.2%108.0K-1.4M-16.9K2.87103.17N/AN/A38108660323