AMC Options History — June 2016

In June 2016, AMC traded between $130.30 and $144.80. ATM implied volatility averaged 31.6%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 11.1% (HV 20d: 20.5%). Max pain ranged from $130.00 to $150.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2016-06-16: Highest Volume — 438 contracts
  • 2016-06-27: Largest IV spike — 26.5% change
  • 2016-06-27: Highest IV Rank — 21.7%
  • 2016-06-27: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.99$130.30$144.80$144.80$137.90
Max Pain$142.73$130.00$150.00$130.00$140.00
ATM IV31.6%28.1%42.6%31.2%28.9%
Expected Move9.0%8.1%12.2%9.0%8.3%
HV 20d20.5%17.4%26.2%19.7%26.2%
HV 60d24.0%23.4%24.5%24.4%24.1%
IV Rank8.4%1.5%21.7%9.0%1.5%
IV Percentile18.9%4.0%81.0%17.1%4.0%
Term Structure1.2%-5.5%3.7%-1.3%3.7%
VWIV32.7%28.5%43.1%32.6%42.2%
Skew 25d4.4%-0.7%9.8%6.7%5.0%
Skew 10d14.0%-7.2%83.8%6.0%83.8%
Call IV 25d31.2%26.8%39.1%28.3%29.8%
Put IV 25d35.6%30.2%48.9%35.0%34.8%
Bid-Ask Spread %97.7179.15134.30115.44134.30
Gamma HHI0.470.300.750.310.36
Net GEX190.8K75.3K423.4K172.8K103.1K
Net DEX-4.7M-8.0M-1.6M-6.1M-2.6M
Net VEX-10.6K-12.7K-6.0K-6.7K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.142.382.380.42
Total Volume343.818135438143135
Total OI992.7735871,3311,049627

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$144.80$130.0031.2%9.0%19.7%9.0%32.6%6.7%-1.3%172.8K-6.1M-6.7K2.38115.44N/AN/A42101589460
2016-06-02$144.80$145.0030.3%8.2%19.4%7.8%29.2%6.9%1.7%139.5K-6.1M-6.0K0.3880.05N/AN/A265101564460
2016-06-03$142.90$145.0029.6%8.4%19.9%7.0%29.8%2.8%1.6%209.9K-8.0M-12.2K0.3982.67N/AN/A265103787460
2016-06-06$140.90$150.0031.8%8.5%20.2%9.7%28.9%3.7%1.4%232.9K-7.5M-11.8K0.3879.15N/AN/A289111787462
2016-06-07$139.65$145.0031.0%8.4%20.3%8.7%29.4%1.4%2.0%246.4K-7.3M-12.4K0.4182.79N/AN/A290118810482
2016-06-08$139.50$145.0028.5%8.2%17.6%5.5%28.7%2.4%2.5%247.9K-7.2M-12.3K0.4180.84N/AN/A289118809490
2016-06-09$139.15$145.0028.1%8.1%17.4%5.1%28.5%1.5%2.3%261.5K-7.1M-11.8K0.4180.36N/AN/A291118811490
2016-06-10$134.95$145.0031.1%8.9%19.7%8.8%30.5%4.5%1.4%344.2K-5.6M-12.7K0.3884.99N/AN/A297113813490
2016-06-13$132.50$145.0032.7%9.4%20.2%10.8%32.8%3.5%1.0%363.2K-4.6M-12.4K0.3785.19N/AN/A296110821495
2016-06-14$132.85$145.0031.2%9.0%20.3%9.0%32.5%2.7%1.1%367.8K-4.8M-11.9K0.3799.85N/AN/A297109821494
2016-06-15$134.25$145.0030.8%8.8%20.8%8.4%43.1%8.6%1.8%423.4K-5.7M-11.1K0.37123.13N/AN/A299110823492
2016-06-16$136.05$145.0031.9%9.1%21.1%9.8%35.2%4.2%0.9%241.6K-6.6M-10.4K0.37105.01N/AN/A319119826490
2016-06-17$135.35$145.0030.9%8.9%19.3%8.6%30.0%4.2%1.4%160.7K-7.1M-10.5K0.3190.85N/AN/A29893847484
2016-06-20$137.15$145.0032.3%9.3%20.0%10.3%28.8%4.1%1.7%75.3K-2.4M-10.3K0.1493.74N/AN/A27438373214
2016-06-21$135.45$140.0031.0%8.9%20.3%7.0%33.0%5.0%1.8%86.6K-2.2M-10.3K0.15111.74N/AN/A26640386214
2016-06-22$134.65$140.0031.4%9.0%19.1%7.5%31.1%4.0%0.9%85.2K-2.1M-10.2K0.1596.47N/AN/A27140388216
2016-06-23$136.50$140.0030.7%8.8%20.0%6.5%31.1%6.7%1.7%91.7K-2.4M-10.3K0.14114.92N/AN/A27039396216
2016-06-24$134.70$140.0033.7%9.7%20.2%10.3%35.6%-0.7%0.8%88.7K-2.1M-10.5K0.14111.50N/AN/A27039395217
2016-06-27$130.30$140.0042.6%12.2%21.3%21.7%41.2%9.8%-5.5%79.7K-1.6M-9.9K0.1597.74N/AN/A27041395217
2016-06-28$132.55$140.0033.1%9.5%22.6%6.9%32.2%4.8%2.3%83.7K-1.8M-9.9K0.1688.44N/AN/A25841395220
2016-06-29$136.95$140.0032.0%9.2%26.0%5.4%33.1%5.4%1.5%91.5K-2.4M-10.0K0.15110.58N/AN/A27041395220
2016-06-30$137.90$140.0028.9%8.3%26.2%1.5%42.2%5.0%3.7%103.1K-2.6M-9.9K0.42134.30N/AN/A9540407220