AMC Options History — February 2016

In February 2016, AMC traded between $100.55 and $120.25. ATM implied volatility averaged 46.4%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 4.1% (HV 20d: 50.5%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.96.

Notable Days

  • 2016-02-16: Highest Volume — 341 contracts
  • 2016-02-08: Largest IV spike — 53.3% change
  • 2016-02-08: Highest IV Rank — 54.7%
  • 2016-02-08: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.87$100.55$120.25$106.80$120.25
Max Pain$110.00$100.00$115.00$100.00$110.00
ATM IV46.4%38.2%67.5%42.0%44.6%
Expected Move12.9%11.3%15.3%12.0%12.8%
HV 20d50.5%41.6%59.9%44.0%50.8%
HV 60d41.3%37.1%45.6%37.4%45.6%
IV Rank28.8%18.7%54.7%23.4%26.7%
IV Percentile87.7%71.8%98.0%86.5%86.1%
Term Structure-0.5%-11.0%41.8%-0.8%1.0%
VWIV45.8%38.2%56.6%45.5%52.5%
Skew 25d8.0%3.6%15.5%4.5%8.3%
Skew 10d21.7%-6.6%45.8%20.4%37.7%
Call IV 25d42.7%34.7%45.5%42.2%43.1%
Put IV 25d50.7%46.2%58.6%46.7%51.5%
Bid-Ask Spread %94.2985.67102.32102.3299.36
Gamma HHI0.280.210.440.280.44
Net GEX82.2K32.6K196.9K71.5K196.9K
Net DEX52.2K-2.7M1.2M-100.8K-2.7M
Net VEX-12.6K-15.6K-9.0K-14.0K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.693.062.340.69
Total Volume235.6176341244268
Total OI1,178.71,0551,3561,0551,306

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$106.80$100.0042.0%12.0%44.0%23.4%45.5%4.5%-0.8%71.5K-100.8K-14.0K2.34102.32N/AN/A73171732323
2016-02-02$104.05$100.0040.7%11.7%42.3%21.8%45.3%5.5%0.2%54.7K650.2K-11.8K2.3494.80N/AN/A73171735323
2016-02-03$105.10$100.0041.3%11.8%41.6%22.5%38.2%15.5%-1.1%56.1K700.9K-11.3K2.3399.98N/AN/A73171735323
2016-02-04$107.95$115.0038.2%11.3%43.1%18.7%42.7%8.8%-0.4%75.9K318.8K-12.2K2.4485.67N/AN/A71174735325
2016-02-05$101.70$115.0044.1%12.5%47.0%25.9%39.3%5.3%-3.4%37.3K1.1M-9.9K2.2395.02N/AN/A88196735327
2016-02-08$101.25$115.0067.5%15.3%46.9%54.7%47.4%11.9%-11.0%32.6K1.2M-9.7K1.6497.17N/AN/A82134750339
2016-02-09$100.55$115.0062.9%14.4%46.9%49.1%45.1%13.5%-2.4%39.7K989.3K-10.2K1.6896.71N/AN/A80134750339
2016-02-10$100.60$115.0048.8%14.0%46.8%31.7%41.4%11.6%-1.7%32.6K1.2M-9.0K1.3695.45N/AN/A99134750339
2016-02-11$103.90$115.0045.6%13.1%47.9%27.8%48.4%11.0%-2.4%48.0K924.4K-10.3K1.7191.77N/AN/A77132768339
2016-02-12$102.55$110.0047.6%13.6%48.0%30.3%56.6%8.5%0.4%41.8K1.0M-10.4K1.4496.40N/AN/A92133779357
2016-02-16$112.80$110.0045.7%13.1%58.2%28.0%46.9%7.8%-6.0%134.7K-1.1M-13.8K1.1292.28N/AN/A161180806357
2016-02-17$108.70$110.0044.5%12.8%59.9%26.5%45.7%6.9%-2.9%103.7K-328.7K-13.3K2.0292.87N/AN/A104211871416
2016-02-18$108.35$110.0043.5%12.5%58.6%25.3%45.7%7.0%-3.1%84.3K79.0K-13.7K1.4893.97N/AN/A105155878478
2016-02-19$109.40$110.0044.5%12.8%58.5%26.5%44.7%3.6%-2.9%78.8K-83.0K-14.2K1.5192.06N/AN/A101153879462
2016-02-22$111.45$110.0044.8%12.9%58.7%26.9%46.3%6.0%41.8%100.0K-416.5K-14.6K2.7393.99N/AN/A49133793454
2016-02-23$110.55$110.0046.0%13.2%58.8%28.3%46.5%4.1%-4.6%89.4K-70.1K-14.2K3.0698.20N/AN/A43133794469
2016-02-24$112.65$110.0047.0%13.5%51.5%29.6%48.2%7.4%-4.8%109.1K-474.1K-14.7K2.9491.69N/AN/A45133798469
2016-02-25$112.10$110.0045.1%12.9%49.6%27.2%43.6%8.7%-2.8%105.4K-371.5K-14.1K2.9689.65N/AN/A45133801469
2016-02-26$116.65$110.0043.4%12.4%50.6%25.1%46.2%4.4%-4.1%150.8K-1.5M-15.1K1.2286.53N/AN/A91111802469
2016-02-29$120.25$110.0044.6%12.8%50.8%26.7%52.5%8.3%1.0%196.9K-2.7M-15.6K0.6999.36N/AN/A159109832474