AMC Options History — January 2016

In January 2016, AMC traded between $100.40 and $117.50. ATM implied volatility averaged 48.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 9.7% (HV 20d: 38.6%). Max pain ranged from $100.00 to $120.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.76.

Notable Days

  • 2016-01-14: Highest Volume — 360 contracts
  • 2016-01-13: Largest IV drop — 37.7% change
  • 2016-01-12: Highest IV Rank — 55.8%
  • 2016-01-15: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.99$100.40$117.50$115.15$106.35
Max Pain$113.16$100.00$120.00$120.00$100.00
ATM IV48.4%39.9%68.4%49.6%40.9%
Expected Move12.3%10.9%15.6%11.0%11.7%
HV 20d38.6%27.4%44.7%43.5%44.7%
HV 60d34.7%33.1%37.9%34.2%37.9%
IV Rank31.2%20.9%55.8%32.7%22.1%
IV Percentile91.5%81.3%98.4%96.0%83.7%
Term Structure-0.6%-7.1%1.6%0.6%0.6%
VWIV40.3%34.9%46.1%37.9%40.3%
Skew 25d7.0%4.3%13.3%4.5%6.2%
Skew 10d17.0%-2.5%42.8%16.3%15.7%
Call IV 25d40.5%34.6%49.0%37.3%39.2%
Put IV 25d47.5%41.8%62.2%41.8%45.3%
Bid-Ask Spread %87.7374.68115.8174.6897.75
Gamma HHI0.280.200.320.310.28
Net GEX55.6K26.0K92.9K81.9K62.8K
Net DEX651.6K-601.3K1.4M-243.3K537.1K
Net VEX-12.4K-15.8K-9.4K-15.0K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.474.333.612.63
Total Volume197.211116360143236
Total OI1,023.2639251,1449971,049

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$115.15$120.0049.6%11.0%43.5%32.7%37.9%4.5%0.6%81.9K-243.3K-15.0K3.6174.68N/AN/A31112663334
2016-01-05$117.50$120.0046.9%10.9%42.5%29.4%37.2%5.6%0.6%92.9K-601.3K-15.8K3.3474.83N/AN/A35116664345
2016-01-06$116.25$120.0054.9%12.9%42.3%39.3%46.1%10.7%-5.0%83.3K-418.3K-15.7K3.85103.34N/AN/A27105668354
2016-01-07$113.60$120.0050.8%11.6%43.0%34.2%39.9%7.2%1.6%66.8K388.7K-14.2K4.3276.79N/AN/A27115670358
2016-01-08$111.85$120.0052.4%11.6%42.7%36.1%40.4%4.7%0.1%60.2K696.6K-13.5K4.3379.32N/AN/A27115670368
2016-01-11$111.50$120.0064.5%11.9%41.8%51.0%41.2%5.2%0.3%55.5K872.4K-12.8K4.1482.57N/AN/A28114670365
2016-01-12$111.85$120.0068.4%11.8%41.2%55.8%38.2%6.7%1.1%55.9K886.0K-12.7K3.6277.57N/AN/A32115673366
2016-01-13$108.80$120.0042.6%12.2%42.2%24.2%38.6%5.1%-0.2%43.7K1.1M-11.8K1.4884.62N/AN/A78115678355
2016-01-14$108.00$120.0048.2%13.8%37.0%31.0%42.1%6.8%-7.1%36.3K1.3M-12.1K0.4782.48N/AN/A245115717355
2016-01-15$105.00$115.0054.5%15.6%31.2%38.7%44.9%13.3%-4.8%51.1K1.3M-11.5K0.6688.67N/AN/A175116800344
2016-01-19$104.80$115.0044.1%12.6%31.3%26.0%37.3%7.5%1.0%54.4K479.8K-10.9K0.9385.55N/AN/A8478667258
2016-01-20$101.45$110.0046.4%13.3%32.2%28.8%45.6%5.0%-0.8%39.7K868.2K-9.4K2.0482.62N/AN/A3878671257
2016-01-21$100.95$110.0045.2%13.0%31.6%27.3%36.8%7.4%-0.9%29.4K1.2M-10.5K2.7083.88N/AN/A55148671327
2016-01-22$100.80$110.0042.7%12.2%30.2%24.3%34.9%7.9%0.3%29.7K1.2M-10.6K2.9889.95N/AN/A49147689327
2016-01-25$100.40$110.0043.4%12.5%27.4%25.2%41.4%8.6%-0.3%26.0K1.4M-9.8K3.0488.31N/AN/A60183691327
2016-01-26$109.05$100.0039.9%11.4%42.2%20.9%35.6%11.3%1.6%77.8K57.3K-13.2K2.91102.18N/AN/A65190701310
2016-01-27$105.10$100.0041.6%11.9%43.8%22.9%44.1%5.4%0.6%57.3K635.9K-11.7K2.91115.81N/AN/A65190720320
2016-01-28$103.40$100.0041.9%12.0%43.3%23.2%42.6%4.3%-0.5%51.4K726.8K-11.7K2.5496.00N/AN/A67171720320
2016-01-29$106.35$100.0040.9%11.7%44.7%22.1%40.3%6.2%0.6%62.8K537.1K-12.0K2.6397.75N/AN/A65171726323