AMC Options History — December 2016

In December 2016, AMC traded between $159.15 and $177.50. ATM implied volatility averaged 27.6%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 4.4% (HV 20d: 32.0%). Max pain ranged from $100.00 to $165.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.57.

Notable Days

  • 2016-12-28: Highest Volume — 401 contracts
  • 2016-12-12: Largest IV spike — 22.3% change
  • 2016-12-12: Highest IV Rank — 19.1%
  • 2016-12-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.64$159.15$177.50$166.75$168.25
Max Pain$159.52$100.00$165.00$155.00$160.00
ATM IV27.6%25.1%32.4%28.9%28.0%
Expected Move7.7%7.2%8.3%8.3%7.2%
HV 20d32.0%27.3%35.6%27.3%34.4%
HV 60d25.9%23.1%27.5%23.1%27.3%
IV Rank8.4%2.7%19.1%11.2%9.1%
IV Percentile18.8%2.0%47.2%23.4%27.8%
Term Structure-3.9%-36.2%2.7%-1.6%-36.2%
VWIV23.4%9.8%28.6%27.7%9.8%
Skew 25d-16.8%-94.8%4.6%2.9%-65.8%
Skew 10d8.1%-38.9%28.2%-0.6%-38.9%
Call IV 25d42.0%24.2%106.1%28.1%75.3%
Put IV 25d25.2%9.5%31.0%31.0%9.5%
Bid-Ask Spread %95.1351.65122.80113.58112.89
Gamma HHI0.430.130.910.130.27
Net GEX-185.3K-809.3K44.3K-2.7K-157.0K
Net DEX496.8K-1.6M2.6M-1.1M2.5M
Net VEX-9.3K-19.9K-5.1K-5.1K-19.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.571.136.221.741.82
Total Volume227.952101401114401
Total OI562.81243811385811

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$166.75$155.0028.9%8.3%27.3%11.2%27.7%2.9%-1.6%-2.7K-1.1M-5.1K1.74113.58N/AN/A4272148237
2016-12-02$161.50$155.0027.9%8.0%30.1%9.0%28.6%0.8%0.9%-23.2K-578.7K-5.2K5.24113.48N/AN/A53276149239
2016-12-05$165.25$160.0027.7%7.8%30.6%8.6%27.1%4.6%0.5%-185.0K-211.0K-6.6K6.2294.68N/AN/A45278154423
2016-12-06$169.90$165.0027.2%7.5%31.0%7.5%26.6%3.4%1.8%-106.1K-946.9K-5.8K6.0082.56N/AN/A45272154425
2016-12-07$165.85$165.0026.7%7.8%32.3%6.3%27.2%2.8%1.2%-188.9K-531.9K-6.1K5.9679.86N/AN/A47279155423
2016-12-08$160.65$165.0027.6%7.6%32.7%8.3%26.7%4.2%1.4%-314.4K832.0K-6.8K1.6983.59N/AN/A4780157430
2016-12-09$162.50$165.0026.5%7.7%32.9%5.8%26.2%3.7%1.8%-314.9K339.7K-6.4K1.6785.61N/AN/A4982157428
2016-12-12$161.90$165.0032.4%8.0%30.2%19.1%26.9%3.7%1.3%-353.1K413.4K-6.1K1.4579.75N/AN/A4971162430
2016-12-13$160.25$165.0032.2%7.8%30.3%18.6%27.7%3.6%1.6%-441.1K852.7K-5.9K1.3687.39N/AN/A4866163430
2016-12-14$159.25$165.0026.7%7.7%30.2%6.4%25.9%3.2%2.3%-536.8K1.3M-5.5K1.4790.86N/AN/A4566163430
2016-12-15$160.15$165.0026.8%7.7%30.4%6.5%26.1%3.6%2.7%-809.3K834.8K-5.1K1.1383.97N/AN/A8596163430
2016-12-16$159.15$165.0027.2%7.8%27.7%7.4%26.7%1.2%2.2%8.2K2.6M-6.9K2.0382.90N/AN/A4694205470
2016-12-19$165.15$165.0026.6%7.6%31.4%6.1%25.0%4.4%0.0%16.3K-445.3K-7.0K3.3788.58N/AN/A2378130113
2016-12-20$166.65$165.0026.7%7.6%31.5%6.3%27.2%2.7%0.8%19.1K-537.6K-6.9K2.71101.84N/AN/A2977132114
2016-12-21$174.15$165.0025.6%7.3%35.5%3.8%25.5%3.1%1.8%23.0K-1.1M-6.6K1.2186.51N/AN/A5566135115
2016-12-22$174.60$100.0025.1%7.2%35.4%2.7%25.5%3.5%2.0%44.3K-1.6M-7.4K1.6051.65N/AN/A4877182126
2016-12-23$176.25$160.0027.4%0.0%35.6%7.8%14.2%-74.8%-9.6%-144.2K1.8M-18.7K1.83120.44N/AN/A141257133674
2016-12-27$177.50$160.0027.0%0.0%33.6%7.0%15.3%-78.5%-6.2%-135.8K1.5M-18.1K1.81122.80N/AN/A142258133674
2016-12-28$172.75$160.0027.9%0.0%34.7%8.9%13.2%-89.4%-22.2%-134.9K2.2M-19.9K1.82117.82N/AN/A142259134677
2016-12-29$171.10$160.0028.2%0.0%34.5%9.7%12.4%-94.8%-27.4%-155.3K2.1M-18.9K1.82116.99N/AN/A142259134677
2016-12-30$168.25$160.0028.0%0.0%34.4%9.1%9.8%-65.8%-36.2%-157.0K2.5M-19.5K1.82112.89N/AN/A142259134677