AMC Options History — June 2017

In June 2017, AMC traded between $113.75 and $125.65. ATM implied volatility averaged 42.3%, placing in the 67.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 7.8% (HV 20d: 50.1%). Max pain ranged from $120.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2017-06-06: Highest Volume — 866 contracts
  • 2017-06-14: Largest IV drop — 26.3% change
  • 2017-06-01: Highest IV Rank — 100.0%
  • 2017-06-02: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.14$113.75$125.65$117.25$113.75
Max Pain$120.00$120.00$120.00$120.00$120.00
ATM IV42.3%34.6%53.3%47.5%34.6%
Expected Move11.5%9.9%13.8%13.6%9.9%
HV 20d50.1%34.6%54.3%47.5%34.6%
HV 60d35.7%32.2%37.7%32.2%37.7%
IV Rank67.5%39.5%100.0%100.0%39.5%
IV Percentile95.0%84.9%100.0%100.0%84.9%
Term Structure0.4%-6.4%4.7%-6.4%4.7%
VWIV41.6%35.3%49.9%49.9%35.3%
Skew 25d-0.6%-4.5%1.9%-4.5%-0.3%
Skew 10d-1.4%-10.5%2.6%-8.9%-10.5%
Call IV 25d42.3%36.6%51.5%51.5%38.0%
Put IV 25d41.8%36.9%48.2%46.9%37.7%
Bid-Ask Spread %27.1418.7243.3643.3624.42
Gamma HHI0.180.150.230.180.16
Net GEX934.2K521.5K1.4M1.1M521.5K
Net DEX-12.0M-25.7M-5.5M-11.7M-5.5M
Net VEX-117.2K-143.8K-96.8K-125.0K-96.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.211.431.260.63
Total Volume500.909226866446256
Total OI6,900.4094,9618,2687,9675,687

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$117.25$120.0047.5%13.6%47.5%100.0%49.9%-4.5%-6.4%1.1M-11.7M-125.0K1.2643.36N/AN/A1972496,7911,176
2017-06-02$123.90$120.0048.0%13.8%52.9%100.0%48.8%-2.2%-5.4%1.3M-21.7M-142.7K0.7329.33N/AN/A2651936,8031,213
2017-06-05$125.65$120.0050.2%12.7%53.5%100.0%45.3%-0.5%-2.7%1.4M-25.7M-143.8K0.6527.55N/AN/A3592346,7581,231
2017-06-06$122.00$120.0051.9%12.8%54.1%100.0%46.2%-0.2%0.6%1.3M-19.4M-136.5K0.2737.18N/AN/A6811856,9571,223
2017-06-07$120.50$120.0047.1%12.6%53.8%83.9%44.9%-0.7%-1.9%1.3M-16.0M-132.1K0.2537.90N/AN/A6021486,9921,276
2017-06-08$118.50$120.0047.8%12.4%53.0%86.2%43.8%0.8%-1.2%1.0M-10.7M-121.7K0.2128.39N/AN/A6481366,6771,306
2017-06-09$116.75$120.0045.9%12.0%53.0%79.8%43.9%-0.8%-1.1%973.2K-8.3M-113.5K0.3334.34N/AN/A5821936,6891,309
2017-06-12$117.25$120.0051.8%12.3%52.8%99.9%43.0%-1.3%-1.7%1.0M-8.3M-110.4K0.7126.67N/AN/A2111516,7211,331
2017-06-13$121.50$120.0053.3%11.7%54.2%100.0%41.6%-1.1%-1.1%1.3M-15.5M-121.7K0.9325.81N/AN/A2212056,7251,331
2017-06-14$121.75$120.0039.3%11.3%54.1%54.6%41.3%-0.1%0.3%1.4M-14.8M-120.4K1.0133.47N/AN/A2182216,7461,385
2017-06-15$120.00$120.0039.6%11.3%51.9%55.5%41.5%-0.6%0.6%1.2M-11.4M-114.1K0.9420.79N/AN/A1931826,7641,364
2017-06-16$122.00$120.0038.8%11.1%52.3%53.2%41.1%-0.4%-0.6%695.6K-15.7M-116.0K1.4321.24N/AN/A2183126,7631,363
2017-06-19$123.75$120.0035.6%10.2%51.3%42.8%37.3%-1.3%2.4%786.0K-13.1M-118.8K1.0019.51N/AN/A2202204,119842
2017-06-20$117.65$120.0036.4%10.4%54.1%45.5%38.4%0.4%2.3%582.9K-7.2M-101.9K0.3023.17N/AN/A5731714,141839
2017-06-21$115.40$120.0035.5%10.2%54.3%42.6%38.2%0.4%3.3%573.3K-6.6M-102.1K0.5022.69N/AN/A3751874,517890
2017-06-22$114.25$120.0039.2%11.2%51.7%54.4%40.5%-1.6%2.8%537.4K-6.3M-101.5K0.3826.49N/AN/A3651384,630906
2017-06-23$116.40$120.0038.0%10.9%52.1%50.4%37.6%1.9%3.6%609.6K-7.9M-109.5K0.3628.00N/AN/A3211174,677934
2017-06-26$118.15$120.0037.8%10.8%47.7%49.8%38.1%-0.9%2.2%701.9K-9.5M-111.7K0.4222.90N/AN/A3111314,714934
2017-06-27$117.00$120.0037.6%10.8%43.8%49.1%38.2%1.4%3.5%676.4K-9.0M-110.4K0.4923.94N/AN/A2431194,748929
2017-06-28$119.25$120.0037.4%10.7%41.0%48.8%37.5%0.1%2.4%774.8K-11.0M-115.9K0.6621.18N/AN/A136904,762937
2017-06-29$118.40$120.0037.6%10.8%37.9%49.3%42.3%-0.9%2.9%725.7K-9.9M-111.0K0.7018.72N/AN/A1431004,772937
2017-06-30$113.75$120.0034.6%9.9%34.6%39.5%35.3%-0.3%4.7%521.5K-5.5M-96.8K0.6324.42N/AN/A157994,762925