AMC Options History — September 2016

In September 2016, AMC traded between $151.45 and $159.65. ATM implied volatility averaged 27.8%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 10.9% (HV 20d: 17.0%). Max pain ranged from $135.00 to $150.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2016-09-01: Highest Volume — 381 contracts
  • 2016-09-06: Largest IV spike — 22.4% change
  • 2016-09-13: Highest IV Rank — 30.6%
  • 2016-09-14: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$155.62$151.45$159.65$152.20$156.15
Max Pain$148.57$135.00$150.00$135.00$150.00
ATM IV27.8%23.9%37.5%27.8%26.3%
Expected Move7.8%6.8%8.5%8.0%7.5%
HV 20d17.0%14.0%19.8%14.5%19.8%
HV 60d25.9%24.1%27.3%27.3%24.1%
IV Rank8.3%0.0%30.6%3.5%5.3%
IV Percentile10.6%0.0%67.1%6.7%5.2%
Term Structure1.6%-7.7%3.7%-0.0%2.8%
VWIV29.0%23.8%34.7%28.8%26.6%
Skew 25d3.3%-0.4%8.1%8.1%2.0%
Skew 10d4.1%-45.5%20.3%13.0%-4.2%
Call IV 25d27.1%21.1%30.2%21.1%29.0%
Put IV 25d30.4%26.6%33.8%29.2%31.0%
Bid-Ask Spread %95.5074.93120.32116.27120.32
Gamma HHI0.250.190.410.230.20
Net GEX-36.2K-89.8K55.6K-52.9K-16.2K
Net DEX-670.0K-3.0M1.2M-842.4K-282.3K
Net VEX-12.3K-13.9K-8.0K-13.7K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.583.850.633.67
Total Volume276.333133381381293
Total OI734.4293921,012902410

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$152.20$135.0027.8%8.0%14.5%3.5%28.8%8.1%-0.0%-52.9K-842.4K-13.7K0.63116.27N/AN/A234147306596
2016-09-02$152.50$135.0023.9%6.8%14.2%0.0%28.0%2.2%3.7%-42.8K-1.1M-13.9K0.62104.18N/AN/A233145322596
2016-09-06$152.45$150.0029.2%8.1%14.1%6.6%24.9%3.8%1.3%-56.7K-989.8K-13.5K0.5978.68N/AN/A234137320607
2016-09-07$154.80$150.0024.4%7.5%14.7%0.6%23.8%4.6%2.6%-48.0K-1.5M-13.2K0.6982.87N/AN/A189130323606
2016-09-08$154.25$150.0027.2%7.6%14.0%7.4%24.5%4.2%2.6%1.9K-1.7M-13.4K0.6580.22N/AN/A199129356608
2016-09-09$151.45$150.0030.3%8.3%15.7%14.5%30.2%3.8%2.1%-9.9K-1.0M-13.4K0.6374.93N/AN/A205129356608
2016-09-12$154.90$150.0033.4%8.0%17.4%21.4%26.1%3.4%1.9%16.7K-1.8M-12.9K0.5882.97N/AN/A221129362608
2016-09-13$154.75$150.0037.5%8.3%17.3%30.6%27.2%4.7%1.5%34.3K-1.9M-13.0K0.5881.30N/AN/A221129380607
2016-09-14$155.10$150.0029.5%8.5%17.3%12.7%30.3%3.6%0.8%38.7K-2.0M-12.8K0.6885.99N/AN/A221150380607
2016-09-15$158.00$150.0027.9%8.0%18.1%9.1%34.7%5.0%1.4%55.6K-2.6M-12.9K0.74104.04N/AN/A201149380628
2016-09-16$159.40$150.0025.6%7.3%17.7%3.9%28.6%2.7%2.4%-67.5K-3.0M-12.5K1.0887.85N/AN/A158171384628
2016-09-19$159.65$150.0027.5%7.9%17.4%8.0%34.0%2.8%-7.7%-75.8K494.0K-12.7K1.8798.32N/AN/A5399146362
2016-09-20$159.25$150.0027.2%7.8%16.5%7.4%29.7%2.1%2.4%-72.6K550.9K-13.0K2.0085.97N/AN/A4999147370
2016-09-21$157.75$150.0026.7%7.7%17.0%6.4%32.9%-0.4%2.2%-76.4K695.1K-12.8K1.61110.80N/AN/A5588148370
2016-09-22$158.40$150.0025.6%7.3%16.8%3.8%28.2%1.3%2.2%-82.1K623.6K-12.7K1.97105.27N/AN/A4588149373
2016-09-23$156.95$150.0026.4%7.6%17.3%5.5%27.6%2.9%2.4%-83.6K768.6K-12.6K1.96102.16N/AN/A4588151373
2016-09-26$153.40$150.0027.7%7.9%18.5%8.5%29.8%2.3%2.1%-89.8K1.2M-12.4K1.96106.93N/AN/A4588151373
2016-09-27$155.85$150.0026.6%7.6%19.2%6.1%29.3%3.6%3.7%-86.9K941.8K-12.3K3.8595.16N/AN/A45173151379
2016-09-28$156.75$150.0026.9%7.7%19.2%6.7%29.6%2.3%1.6%-22.4K-370.6K-8.0K3.7388.78N/AN/A63233151241
2016-09-29$154.10$150.0027.2%7.8%19.3%7.3%33.2%5.2%2.1%-23.4K-174.2K-8.2K3.67112.59N/AN/A63230169241
2016-09-30$156.15$150.0026.3%7.5%19.8%5.3%26.6%2.0%2.8%-16.2K-282.3K-8.3K3.67120.32N/AN/A63230169241