AMC Options History — November 2017

In November 2017, AMC traded between $54.65 and $80.00. ATM implied volatility averaged 69.8%, placing in the 75.3% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 7.1% (HV 20d: 62.7%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2017-11-17: Highest Volume — 10,899 contracts
  • 2017-11-07: Largest IV drop — 33.3% change
  • 2017-11-01: Highest IV Rank — 100.0%
  • 2017-11-28: Largest Expected Move — 30.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.70$54.65$80.00$68.00$71.40
Max Pain$76.90$75.00$80.00$75.00$75.00
ATM IV69.8%53.0%105.7%68.7%96.9%
Expected Move19.3%15.2%30.3%19.7%27.8%
HV 20d62.7%51.7%78.8%51.7%78.8%
HV 60d59.6%55.0%66.1%55.0%66.1%
IV Rank75.3%49.8%100.0%100.0%89.4%
IV Percentile94.0%79.8%100.0%100.0%99.6%
Term Structure-5.0%-29.6%5.4%-9.6%-29.6%
VWIV67.2%53.4%95.8%65.1%88.9%
Skew 25d-2.7%-7.5%3.6%-3.2%-3.5%
Skew 10d-10.0%-23.5%1.4%0.3%-23.5%
Call IV 25d69.8%54.3%96.2%69.7%96.2%
Put IV 25d67.0%52.4%99.7%66.5%92.7%
Bid-Ask Spread %35.8310.3780.7937.2963.20
Gamma HHI0.290.110.450.390.18
Net GEX-336.7K-1.5M722.5K-438.5K323.6K
Net DEX12.1M-40.9M44.6M11.6M-17.3M
Net VEX-141.3K-204.5K-76.7K-142.3K-183.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.4611.192.440.70
Total Volume2,110.14378610,8998571,367
Total OI29,409.47625,08532,99125,08530,012

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$68.00$75.0068.7%19.7%51.7%100.0%65.1%-3.2%-9.6%-438.5K11.6M-142.3K2.4437.29N/AN/A24960816,3388,747
2017-11-02$64.25$80.0070.4%17.3%53.7%100.0%60.0%-1.6%-2.8%-542.4K19.0M-126.3K1.2011.42N/AN/A43051616,4018,822
2017-11-03$59.25$80.0079.0%17.4%57.5%100.0%59.6%-0.3%-2.3%-404.1K26.5M-105.7K2.0124.03N/AN/A9501,91016,5878,914
2017-11-06$61.25$80.0083.8%17.9%52.6%100.0%62.7%-3.6%-4.4%-664.6K26.8M-117.7K0.8565.56N/AN/A1,6591,41117,02810,227
2017-11-07$61.50$80.0055.9%15.6%52.8%54.6%54.3%-0.6%2.9%-903.6K28.9M-110.0K0.9910.97N/AN/A1,2311,22218,29110,825
2017-11-08$58.65$80.0053.6%15.4%54.8%50.8%53.4%-2.1%4.9%-830.6K36.6M-96.4K0.9611.19N/AN/A83079818,53011,122
2017-11-09$56.85$80.0053.1%15.2%55.2%50.0%54.0%-5.4%3.6%-678.2K41.7M-87.2K0.5910.37N/AN/A79146918,74811,313
2017-11-10$54.65$80.0053.0%15.2%56.1%49.8%54.0%-0.8%4.9%-445.4K44.6M-76.7K1.1312.89N/AN/A8881,00519,06611,288
2017-11-13$58.25$80.0056.9%16.3%62.1%56.2%59.4%-2.5%1.7%-737.8K38.8M-98.0K0.7711.53N/AN/A1,22794519,63011,636
2017-11-14$61.15$75.0057.8%16.6%65.3%57.6%56.8%-1.2%0.6%-1.1M28.5M-120.8K0.6813.53N/AN/A1,28787820,34911,686
2017-11-15$62.90$75.0063.4%18.2%66.3%66.8%63.6%-4.3%-0.4%-1.5M18.8M-142.4K0.9216.83N/AN/A1,01993820,87311,688
2017-11-16$62.25$75.0060.7%17.4%63.0%62.5%59.5%-0.3%1.7%-1.3M21.9M-134.7K2.1820.99N/AN/A4621,00521,11111,754
2017-11-17$64.90$75.0057.2%16.4%65.1%56.7%58.6%-4.8%5.4%472.9K24.0M-143.5K11.1917.80N/AN/A89410,00521,14311,848
2017-11-20$63.40$75.0065.4%18.8%65.2%70.0%68.2%-1.4%-6.3%-239.2K7.3M-159.4K0.5269.78N/AN/A1,13258518,9699,106
2017-11-21$63.25$75.0066.7%19.1%64.9%72.1%69.9%-2.7%-2.2%-161.5K4.8M-164.7K0.5263.41N/AN/A82743319,7508,878
2017-11-22$66.00$75.0073.6%21.1%66.8%83.4%75.6%-7.5%-7.5%4.0K-1.7M-177.1K0.7362.53N/AN/A59843720,0259,049
2017-11-24$69.25$75.0075.1%21.5%66.6%85.8%75.6%-6.2%-9.8%152.6K-10.6M-183.8K0.7361.41N/AN/A45533120,1319,151
2017-11-27$74.75$75.0081.6%23.4%72.4%96.4%84.4%-7.0%-18.9%559.8K-25.0M-196.1K0.5264.08N/AN/A90847520,1129,172
2017-11-28$80.00$75.00105.7%30.3%72.3%100.0%95.8%3.6%-25.0%722.5K-40.9M-204.5K0.4680.79N/AN/A1,33761120,2599,220
2017-11-29$76.90$75.0088.1%25.3%74.1%79.0%92.1%-1.8%-11.6%634.0K-30.0M-196.2K1.3122.83N/AN/A51667420,3539,447
2017-11-30$71.40$75.0096.9%27.8%78.8%89.4%88.9%-3.5%-29.6%323.6K-17.3M-183.7K0.7063.20N/AN/A80356420,4249,588