AMC Options History — September 2017

In September 2017, AMC traded between $66.65 and $84.90. ATM implied volatility averaged 55.0%, placing in the 85.5% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 2.0% (HV 20d: 53.0%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2017-09-14: Highest Volume — 3,590 contracts
  • 2017-09-18: Largest IV spike — 13.5% change
  • 2017-09-11: Highest IV Rank — 96.5%
  • 2017-09-26: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.41$66.65$84.90$71.25$73.65
Max Pain$83.75$80.00$90.00$80.00$80.00
ATM IV55.0%48.6%59.3%48.6%55.6%
Expected Move15.8%13.9%16.9%13.9%15.9%
HV 20d53.0%40.0%64.2%44.7%64.2%
HV 60d82.1%78.8%84.4%79.2%83.9%
IV Rank85.5%68.8%96.5%68.8%86.9%
IV Percentile96.6%89.7%99.6%89.7%95.6%
Term Structure4.7%1.4%7.4%7.4%6.1%
VWIV53.1%39.5%58.4%53.1%57.8%
Skew 25d0.8%-2.1%3.3%-2.1%-0.1%
Skew 10d1.5%-18.5%9.3%7.1%4.5%
Call IV 25d55.4%49.1%59.8%53.2%58.0%
Put IV 25d56.2%51.1%59.6%51.1%57.9%
Bid-Ask Spread %25.116.6548.236.6521.31
Gamma HHI0.120.090.160.130.09
Net GEX667.9K366.5K1.0M458.8K589.8K
Net DEX-12.2M-31.3M4.4M-1.7M-9.0M
Net VEX-199.1K-238.3K-158.3K-183.4K-186.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.191.680.780.25
Total Volume1,632.859253,5902,5912,403
Total OI22,145.519,85124,64422,78621,887

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$71.25$80.0048.6%13.9%44.7%68.8%53.1%-2.1%7.4%458.8K-1.7M-183.4K0.786.65N/AN/A1,4531,13817,8124,974
2017-09-05$72.15$90.0055.0%15.4%45.2%85.4%39.5%2.6%4.2%504.1K-3.3M-185.1K0.9329.99N/AN/A1,03896717,9985,006
2017-09-06$71.75$90.0051.9%15.8%45.2%77.3%45.7%3.3%3.7%492.3K-2.1M-179.6K1.6821.81N/AN/A58898517,9695,024
2017-09-07$69.40$90.0054.2%15.9%44.4%83.2%49.7%0.4%3.6%446.8K2.0M-165.5K1.4741.10N/AN/A62291418,0845,061
2017-09-08$66.65$90.0052.4%16.6%40.0%78.5%54.1%-0.2%3.1%366.5K4.4M-158.3K1.3944.07N/AN/A65591018,0815,107
2017-09-11$70.50$90.0059.3%16.0%43.6%96.5%46.7%2.8%4.1%463.4K-174.5K-172.2K1.6727.49N/AN/A53288718,1595,093
2017-09-12$71.15$90.0058.6%15.6%42.2%94.7%52.1%1.2%4.9%482.8K-969.6K-173.0K0.9418.05N/AN/A63259618,1845,121
2017-09-13$76.40$90.0051.9%14.9%47.6%77.3%52.2%2.2%6.9%580.4K-11.3M-201.0K0.6728.50N/AN/A1,14076118,3465,234
2017-09-14$80.50$80.0054.1%15.5%50.0%83.1%51.6%3.2%3.6%811.8K-21.5M-218.8K0.2024.47N/AN/A2,98860218,7855,347
2017-09-15$84.90$80.0050.6%14.5%52.1%74.0%51.7%3.1%4.6%1.0M-31.3M-238.3K0.2648.23N/AN/A1,63242319,4535,191
2017-09-18$83.25$80.0057.5%16.5%52.5%92.0%57.3%-0.5%1.4%973.3K-30.5M-235.5K0.1927.17N/AN/A1,40327215,7704,081
2017-09-19$77.75$85.0056.5%16.2%59.8%89.4%55.8%-0.9%5.7%782.6K-19.7M-216.7K0.2918.50N/AN/A1,54544515,8824,135
2017-09-20$76.50$80.0054.4%15.6%59.8%84.0%55.1%-0.4%6.0%751.6K-16.1M-209.4K0.6220.20N/AN/A58836616,3914,225
2017-09-21$78.75$80.0055.1%15.8%59.0%85.7%55.1%0.4%5.3%839.2K-20.1M-220.1K1.0723.01N/AN/A51755416,4604,240
2017-09-22$79.40$80.0056.0%16.1%59.0%88.1%55.0%0.6%5.4%849.1K-21.0M-226.9K0.8419.28N/AN/A59249916,5374,447
2017-09-25$75.65$80.0056.3%16.1%62.6%88.8%57.0%1.4%5.9%718.3K-15.0M-200.4K1.1427.95N/AN/A46453116,6214,319
2017-09-26$76.90$80.0058.8%16.9%62.7%95.4%58.2%-0.3%3.4%772.5K-17.2M-208.8K1.1719.73N/AN/A44852516,8014,354
2017-09-27$77.50$80.0057.2%16.4%62.0%91.3%55.3%0.4%3.8%799.8K-18.1M-209.2K1.6122.95N/AN/A35457116,8274,448
2017-09-28$74.25$80.0056.2%16.1%64.1%88.7%58.4%-1.6%5.3%640.1K-11.5M-192.9K1.0111.77N/AN/A55656116,8424,614
2017-09-29$73.65$80.0055.6%15.9%64.2%86.9%57.8%-0.1%6.1%589.8K-9.0M-186.9K0.2521.31N/AN/A1,91948417,0994,788