AMC Options History — July 2016

In July 2016, AMC traded between $135.30 and $153.35. ATM implied volatility averaged 32.8%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.1% (HV 20d: 33.8%). Max pain ranged from $125.00 to $145.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2016-07-25: Highest Volume — 292 contracts
  • 2016-07-05: Largest IV spike — 33.4% change
  • 2016-07-11: Highest IV Rank — 11.4%
  • 2016-07-29: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$146.86$135.30$153.35$141.00$147.20
Max Pain$138.00$125.00$145.00$140.00$145.00
ATM IV32.8%26.5%35.4%26.5%35.2%
Expected Move9.3%7.6%10.1%7.6%10.1%
HV 20d33.8%27.3%37.6%27.3%34.2%
HV 60d26.5%23.7%28.0%23.7%27.1%
IV Rank8.1%0.0%11.4%0.0%11.2%
IV Percentile22.3%0.0%38.1%0.0%36.1%
Term Structure-1.4%-2.9%5.0%5.0%-2.5%
VWIV33.6%29.6%38.0%34.8%34.7%
Skew 25d3.5%-0.4%6.6%2.9%-0.2%
Skew 10d8.2%-16.3%21.4%13.2%21.1%
Call IV 25d32.6%24.9%37.0%24.9%36.0%
Put IV 25d36.1%27.7%38.6%27.7%35.8%
Bid-Ask Spread %91.5677.11127.27127.2784.78
Gamma HHI0.390.250.490.420.34
Net GEX107.9K61.8K147.4K123.9K61.8K
Net DEX-4.4M-6.4M-2.7M-3.5M-3.7M
Net VEX-9.3K-11.2K-7.6K-10.8K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.281.150.440.62
Total Volume181.45132292132195
Total OI713.8642824676824

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$141.00$140.0026.5%7.6%27.3%0.0%34.8%2.9%5.0%123.9K-3.5M-10.8K0.44127.27N/AN/A9240456220
2016-07-05$137.45$125.0035.3%10.0%28.3%11.3%32.7%6.6%-2.1%119.8K-3.0M-10.4K0.4296.55N/AN/A9741459220
2016-07-06$135.30$125.0033.1%9.8%28.6%8.5%33.3%5.7%-1.8%119.1K-2.7M-10.5K0.4291.39N/AN/A9841464223
2016-07-07$137.95$125.0032.1%9.4%29.6%7.2%33.0%4.8%-2.1%125.1K-3.0M-10.2K0.4277.73N/AN/A9841464223
2016-07-08$137.65$125.0030.4%9.4%29.6%5.0%32.8%3.7%-1.9%126.9K-3.1M-10.1K0.4077.11N/AN/A10743464223
2016-07-11$138.80$140.0035.4%9.1%27.5%11.4%32.5%-0.4%-1.0%137.2K-3.3M-10.1K0.39100.91N/AN/A10742478224
2016-07-12$148.90$140.0035.2%8.8%35.8%11.2%29.6%3.8%-1.2%136.6K-5.2M-8.8K0.2897.74N/AN/A14540479225
2016-07-13$153.30$140.0031.4%9.0%36.7%6.4%29.9%6.5%-2.3%147.4K-6.2M-7.8K0.3488.83N/AN/A13245507226
2016-07-14$153.05$140.0031.8%9.1%36.8%6.8%36.8%2.7%-1.2%146.4K-6.2M-7.6K0.3480.91N/AN/A14950517230
2016-07-15$153.00$140.0031.2%8.9%36.8%6.1%38.0%2.5%-1.5%100.6K-6.4M-8.1K0.3599.90N/AN/A14650532237
2016-07-18$153.00$140.0031.2%8.9%36.6%6.0%30.9%4.0%-0.8%105.1K-5.1M-7.9K0.3286.40N/AN/A12941451191
2016-07-19$152.50$140.0032.6%9.4%36.7%7.9%31.7%3.0%-1.4%107.7K-5.1M-8.2K0.4787.96N/AN/A12961453191
2016-07-20$150.45$140.0032.6%9.4%36.7%7.9%35.8%2.1%-1.0%101.3K-4.9M-8.2K0.4787.64N/AN/A12961453212
2016-07-21$150.50$140.0033.6%9.6%36.6%9.2%32.5%2.6%-2.4%100.6K-4.8M-8.3K0.48101.09N/AN/A12861454212
2016-07-22$153.35$140.0031.1%8.9%36.8%6.0%31.7%3.6%-1.3%99.9K-5.1M-7.8K0.5194.17N/AN/A12563455212
2016-07-25$149.85$140.0033.5%9.6%37.6%9.0%34.2%5.0%-1.0%103.5K-4.8M-8.0K1.1586.02N/AN/A136156456213
2016-07-26$149.60$145.0034.6%9.9%34.9%10.5%34.8%2.5%-2.9%64.4K-4.2M-10.6K0.44100.76N/AN/A13459474325
2016-07-27$146.95$145.0034.6%9.9%35.7%10.5%36.2%5.4%-2.0%66.4K-3.6M-11.0K0.7782.02N/AN/A12294475337
2016-07-28$147.45$145.0034.3%9.8%34.2%10.1%35.6%3.9%-2.7%65.2K-3.7M-11.2K0.7181.97N/AN/A11884476341
2016-07-29$147.20$145.0035.2%10.1%34.2%11.2%34.7%-0.2%-2.5%61.8K-3.7M-11.2K0.6284.78N/AN/A12075476348