AMC Options History — March 2016

In March 2016, AMC traded between $124.50 and $148.25. ATM implied volatility averaged 35.0%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 5.8% (HV 20d: 40.8%). Max pain ranged from $110.00 to $130.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2016-03-18: Highest Volume — 866 contracts
  • 2016-03-08: Largest IV spike — 7.0% change
  • 2016-03-08: Highest IV Rank — 20.3%
  • 2016-03-01: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$140.89$124.50$148.25$124.50$139.95
Max Pain$127.27$110.00$130.00$110.00$130.00
ATM IV35.0%32.6%39.4%38.7%33.0%
Expected Move10.0%9.3%11.1%11.1%9.4%
HV 20d40.8%32.6%52.0%51.8%34.5%
HV 60d45.4%43.3%47.6%45.9%43.3%
IV Rank14.6%10.7%20.3%19.4%11.1%
IV Percentile47.4%35.7%70.6%67.9%35.7%
Term Structure1.6%-2.5%4.5%-2.5%2.7%
VWIV36.7%33.4%44.8%44.8%37.1%
Skew 25d5.2%1.6%9.0%7.6%2.8%
Skew 10d15.7%-13.0%32.1%32.1%-1.5%
Call IV 25d33.7%28.6%36.6%36.6%36.4%
Put IV 25d38.9%34.4%44.3%44.3%39.2%
Bid-Ask Spread %91.8977.46113.8192.72102.37
Gamma HHI0.340.110.520.470.52
Net GEX117.3K29.6K272.1K269.9K110.3K
Net DEX-6.5M-12.1M-3.8M-4.4M-4.5M
Net VEX-13.5K-18.2K-8.0K-15.5K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.212.761.320.26
Total Volume348217866281458
Total OI1,180.59251,6441,340947

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$124.50$110.0038.7%11.1%51.8%19.4%44.8%7.6%-2.5%269.9K-4.4M-15.5K1.3292.72N/AN/A121160864476
2016-03-02$126.70$110.0036.9%10.6%50.3%17.1%41.9%8.6%-1.4%272.1K-4.5M-15.6K1.76102.86N/AN/A92162844523
2016-03-03$128.40$120.0035.8%10.2%50.3%15.8%36.1%5.1%0.9%247.2K-3.8M-14.1K2.1079.80N/AN/A80169689525
2016-03-04$135.00$125.0035.5%10.2%52.0%15.4%37.1%5.5%1.0%187.1K-5.5M-13.7K2.1385.07N/AN/A86184692530
2016-03-07$142.75$125.0036.9%10.1%47.1%17.1%39.2%5.5%2.0%117.6K-7.6M-10.7K2.1381.82N/AN/A84179695551
2016-03-08$141.65$130.0039.4%10.6%47.3%20.3%39.2%4.9%1.0%109.3K-7.7M-10.2K2.3084.60N/AN/A72166712562
2016-03-09$142.25$130.0036.9%10.6%46.7%17.2%37.9%4.0%1.3%108.9K-7.6M-11.9K2.3578.13N/AN/A71166719576
2016-03-10$145.10$130.0035.8%10.3%46.3%15.8%36.5%4.5%1.7%49.6K-8.2M-10.5K2.7479.22N/AN/A61166719576
2016-03-11$147.50$130.0035.8%10.3%46.0%15.9%37.3%5.2%1.3%55.4K-8.8M-8.6K2.7680.96N/AN/A60166718576
2016-03-14$148.25$130.0034.5%9.9%44.8%14.2%35.4%5.1%2.8%54.2K-8.9M-8.0K1.8677.46N/AN/A76141719579
2016-03-15$144.15$130.0036.0%10.3%37.6%16.0%36.4%3.0%2.4%48.9K-8.4M-9.1K1.9688.96N/AN/A75147739584
2016-03-16$145.00$130.0034.7%9.9%32.9%14.4%36.6%2.8%2.7%78.0K-8.3M-9.4K1.97113.81N/AN/A75147743598
2016-03-17$145.00$130.0033.7%9.7%32.7%13.2%34.1%3.7%2.7%29.6K-8.2M-10.4K1.9989.87N/AN/A74148729599
2016-03-18$146.80$130.0033.9%9.7%32.6%13.4%33.5%5.6%1.6%104.3K-12.1M-16.2K0.2198.25N/AN/A7161501,043601
2016-03-21$144.70$130.0032.6%9.3%34.2%11.8%33.9%1.6%0.9%98.1K-5.2M-16.9K0.2397.93N/AN/A37585564361
2016-03-22$141.75$130.0033.5%9.6%35.5%13.0%33.9%5.9%1.7%105.6K-4.7M-16.7K0.2495.15N/AN/A36388565362
2016-03-23$139.75$130.0033.8%9.7%36.6%12.4%35.2%5.1%0.6%107.8K-4.5M-17.4K0.2499.13N/AN/A36588565366
2016-03-24$140.35$130.0034.1%9.8%36.2%12.7%33.4%6.9%4.5%104.1K-4.3M-18.2K0.2494.15N/AN/A36989565369
2016-03-28$143.55$130.0033.3%9.6%34.9%11.6%36.9%8.1%1.8%102.5K-4.9M-16.9K0.25102.43N/AN/A36793566372
2016-03-29$144.50$130.0033.5%9.6%34.1%11.8%35.6%9.0%1.6%106.7K-5.1M-16.5K0.26100.97N/AN/A36797567375
2016-03-30$141.95$130.0032.6%9.4%34.0%10.7%35.4%4.0%2.7%114.4K-4.8M-15.4K0.2595.85N/AN/A36692567379
2016-03-31$139.95$130.0033.0%9.4%34.5%11.1%37.1%2.8%2.7%110.3K-4.5M-15.6K0.26102.37N/AN/A36593567380