AMC Options History — November 2016

In November 2016, AMC traded between $153.40 and $176.75. ATM implied volatility averaged 29.9%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.5% (HV 20d: 22.4%). Max pain ranged from $150.00 to $155.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-11-11: Highest Volume — 179 contracts
  • 2016-11-09: Largest IV drop — 35.6% change
  • 2016-11-08: Highest IV Rank — 37.2%
  • 2016-11-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$167.68$153.40$176.75$153.40$169.90
Max Pain$152.14$150.00$155.00$155.00$155.00
ATM IV29.9%25.4%40.4%34.9%27.6%
Expected Move8.1%7.3%10.2%10.0%7.9%
HV 20d22.4%17.0%27.4%18.8%26.0%
HV 60d20.8%18.6%22.9%18.9%22.9%
IV Rank13.6%3.5%37.2%24.8%8.3%
IV Percentile28.9%2.4%83.7%56.0%17.9%
Term Structure-0.1%-4.3%2.2%-3.2%-1.1%
VWIV35.1%27.8%47.1%35.9%29.4%
Skew 25d4.1%2.3%6.3%3.8%2.9%
Skew 10d10.0%-31.7%25.8%10.4%7.0%
Call IV 25d27.8%25.0%36.0%34.8%27.3%
Put IV 25d31.9%28.3%38.8%38.6%30.3%
Bid-Ask Spread %100.0985.95114.5993.71108.91
Gamma HHI0.200.110.840.240.12
Net GEX21.5K-42.1K467.1K-39.9K3.3K
Net DEX-1.2M-2.2M200.3K176.5K-1.3M
Net VEX-5.9K-7.5K-4.8K-7.5K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.961.971.191.74
Total Volume143.429107179127112
Total OI398.095384424392391

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$153.40$155.0034.9%10.0%18.8%24.8%35.9%3.8%-3.2%-39.9K176.5K-7.5K1.1993.71N/AN/A5869141251
2016-11-02$153.50$155.0035.5%10.2%18.4%26.1%37.6%2.8%-4.3%-42.1K183.6K-7.4K1.19114.59N/AN/A5869141254
2016-11-03$153.75$150.0036.3%8.7%17.0%27.8%30.7%4.5%-0.8%-40.3K200.3K-7.5K1.1687.41N/AN/A5969142254
2016-11-04$156.50$150.0038.7%9.1%18.3%33.4%31.3%4.5%-1.5%-33.3K-83.4K-7.3K1.2585.95N/AN/A5771144254
2016-11-07$160.25$150.0037.6%8.7%20.4%30.9%41.0%5.4%-0.6%-21.1K-453.1K-6.9K0.9897.97N/AN/A6362148249
2016-11-08$161.90$150.0040.4%8.1%18.8%37.2%33.0%3.8%0.7%-12.7K-763.8K-6.6K1.0495.46N/AN/A6164156257
2016-11-09$166.50$150.0026.1%7.5%20.7%4.9%34.2%2.7%2.2%11.0K-1.3M-5.7K1.4497.66N/AN/A6188157239
2016-11-10$167.25$150.0027.7%7.9%20.0%8.6%36.7%3.7%0.4%8.1K-1.3M-5.6K1.2793.52N/AN/A6987153239
2016-11-11$173.00$150.0026.7%7.7%22.7%6.3%40.0%5.1%2.2%15.8K-1.7M-5.2K0.96105.66N/AN/A9188155238
2016-11-14$172.50$150.0030.0%8.6%22.2%13.8%40.2%6.3%0.4%13.1K-1.6M-5.4K1.2391.77N/AN/A7188155238
2016-11-15$172.75$150.0027.5%7.9%22.2%8.1%47.1%4.6%0.5%21.2K-1.8M-5.5K1.25103.71N/AN/A7088167239
2016-11-16$171.50$150.0027.4%7.8%22.5%7.8%45.0%4.3%0.9%21.8K-1.8M-5.1K1.13108.52N/AN/A7888168239
2016-11-17$176.75$150.0026.1%7.5%24.3%5.0%38.5%4.3%1.7%44.9K-2.2M-4.8K1.0599.82N/AN/A8690175239
2016-11-18$175.00$150.0027.0%7.7%24.9%7.1%33.1%5.2%0.9%467.1K-2.1M-5.1K1.64102.20N/AN/A63102183241
2016-11-21$173.00$155.0026.1%7.5%25.5%5.0%36.1%3.9%0.7%7.6K-1.5M-5.6K1.93103.73N/AN/A52101153231
2016-11-22$173.50$155.0025.4%7.3%24.7%3.5%30.8%3.6%0.2%3.7K-1.5M-5.5K1.70103.05N/AN/A5696153237
2016-11-23$174.00$155.0025.7%7.4%24.7%4.0%28.3%3.4%0.3%5.9K-1.5M-5.5K1.78105.20N/AN/A56100157239
2016-11-25$174.75$155.0025.9%7.4%24.0%4.6%27.8%4.8%0.2%9.0K-1.6M-5.3K1.78102.49N/AN/A56101157237
2016-11-28$169.40$155.0028.4%8.1%27.1%10.2%30.9%2.3%-1.1%1.7K-1.3M-5.4K1.9798.49N/AN/A3671158237
2016-11-29$172.25$155.0027.7%7.9%27.4%8.6%28.7%3.5%-0.7%7.1K-1.4M-5.3K1.97102.09N/AN/A3671157237
2016-11-30$169.90$155.0027.6%7.9%26.0%8.3%29.4%2.9%-1.1%3.3K-1.3M-5.2K1.74108.91N/AN/A4171154237