AMC Options History — September 2020 In September 2020, AMC traded between $23.05 and $35.25. ATM implied volatility averaged 105.1%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 29.7%. IV traded below realized volatility by 3.6% (HV 20d: 108.7%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.60.
Notable Days 2020-09-02 : Highest Volume — 31,398 contracts2020-09-17 : Largest IV spike — 26.8% change2020-09-02 : Highest IV Rank — 35.8%2020-09-08 : Largest Expected Move — 37.4%Monthly Statistics Metric Avg Min Max Open Close Price $28.20 $23.05 $35.25 $30.35 $23.55 Max Pain $29.05 $25.00 $35.00 $25.00 $30.00 ATM IV 105.1% 80.2% 137.9% 123.5% 100.3% Expected Move 29.7% 24.0% 37.4% 29.0% 26.4% HV 20d 108.7% 86.5% 123.4% 109.5% 86.5% HV 60d 93.0% 88.9% 103.1% 98.7% 88.9% IV Rank 23.0% 12.5% 35.8% 30.4% 20.1% IV Percentile 47.4% 37.7% 64.7% 55.2% 44.0% Term Structure 2.1% -28.1% 41.2% 6.5% -1.2% VWIV 103.6% 87.1% 128.5% 102.5% 94.1% Skew 25d -1.6% -30.2% 11.8% -7.7% 10.1% Skew 10d -3.9% -53.6% 31.9% -26.0% 9.3% Call IV 25d 106.6% 76.8% 154.2% 123.2% 95.8% Put IV 25d 105.0% 84.9% 133.9% 115.6% 106.0% Bid-Ask Spread % 25.20 7.03 56.59 7.03 30.58 Gamma HHI 0.15 0.10 0.28 0.17 0.11 Net GEX 370.7K 64.7K 857.5K 766.7K 94.8K Net DEX -20.8M -71.3M -1.0M -39.1M -4.1M Net VEX -179.6K -229.5K -150.8K -199.3K -154.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.19 1.10 0.39 1.03 Total Volume 5,269.095 1,229 31,398 4,971 1,357 Total OI 59,834.143 46,394 71,139 66,078 51,455
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-09-01 $30.35 $25.00 123.5% 29.0% 109.5% 30.4% 102.5% -7.7% 6.5% 766.7K -39.1M -199.3K 0.39 7.03 N/A N/A 3,569 1,402 41,147 24,931 2020-09-02 $35.25 $25.00 137.9% 36.1% 118.5% 35.8% 127.6% -30.2% 7.2% 857.5K -71.3M -229.5K 0.19 26.28 N/A N/A 26,388 5,010 41,809 25,568 2020-09-03 $32.80 $25.00 130.5% 36.6% 123.4% 33.0% 128.0% 6.4% -3.2% 793.7K -48.0M -218.4K 0.47 18.07 N/A N/A 5,797 2,723 44,082 27,024 2020-09-04 $34.55 $25.00 119.7% 37.1% 116.3% 29.0% 128.5% -12.0% -4.2% 661.6K -57.8M -220.9K 0.40 13.59 N/A N/A 4,875 1,968 43,886 27,253 2020-09-08 $32.10 $25.00 127.0% 37.4% 116.9% 31.7% 126.4% -24.6% 4.2% 572.1K -40.4M -211.4K 0.55 14.14 N/A N/A 3,138 1,722 39,784 25,630 2020-09-09 $31.60 $25.00 110.3% 32.8% 117.4% 25.6% 116.8% 4.0% -5.3% 597.8K -35.6M -192.2K 0.46 20.40 N/A N/A 3,645 1,676 40,361 26,254 2020-09-10 $29.65 $30.00 111.0% 29.9% 120.8% 25.8% 108.3% -18.0% -7.0% 374.9K -20.4M -190.7K 0.56 23.37 N/A N/A 2,212 1,248 40,618 27,006 2020-09-11 $28.95 $30.00 107.9% 29.9% 112.3% 24.7% 103.0% -1.1% -14.9% 388.2K -14.9M -179.5K 0.55 16.56 N/A N/A 3,245 1,790 41,074 27,349 2020-09-14 $27.80 $30.00 90.5% 27.1% 112.4% 18.3% 89.8% 1.7% 5.2% 331.2K -12.2M -175.7K 0.46 49.51 N/A N/A 2,042 929 36,577 25,651 2020-09-15 $27.70 $30.00 99.8% 28.1% 112.2% 21.4% 97.9% -7.9% 4.0% 342.3K -11.9M -177.6K 0.56 21.64 N/A N/A 2,752 1,552 37,229 25,951 2020-09-16 $28.50 $30.00 87.5% 25.1% 111.1% 16.9% 88.0% -7.3% 4.1% 462.0K -15.2M -175.7K 0.35 21.33 N/A N/A 2,216 771 37,643 25,864 2020-09-17 $28.40 $30.00 110.9% 31.0% 111.2% 25.5% 94.8% -6.3% 41.2% 501.4K -15.1M -186.8K 0.36 28.12 N/A N/A 1,992 714 38,107 26,049 2020-09-18 $28.10 $35.00 86.8% 24.0% 109.8% 16.6% 87.1% -0.5% -9.2% 253.5K -11.9M -166.6K 0.78 14.73 N/A N/A 2,147 1,668 38,511 26,330 2020-09-21 $26.45 $35.00 95.5% 24.7% 108.2% 19.8% 88.8% 11.5% -28.1% 157.3K -10.1M -162.1K 0.52 56.59 N/A N/A 2,472 1,291 28,808 17,586 2020-09-22 $26.00 $30.00 94.8% 25.5% 108.0% 18.4% 89.1% 8.1% -13.8% 155.9K -7.8M -157.5K 0.54 15.70 N/A N/A 1,386 749 29,621 18,168 2020-09-23 $24.05 $30.00 97.2% 28.2% 110.4% 19.3% 96.0% 0.5% -8.7% 64.7K -3.6M -153.8K 1.06 48.50 N/A N/A 2,464 2,610 29,821 18,495 2020-09-24 $23.05 $30.00 116.7% 31.7% 110.9% 26.6% 105.8% 9.1% 39.7% 86.8K -1.0M -150.8K 1.10 45.15 N/A N/A 1,884 2,076 30,920 19,254 2020-09-25 $24.35 $30.00 89.6% 28.1% 89.8% 16.1% 108.2% 11.4% 2.9% 114.1K -4.3M -157.9K 1.05 21.48 N/A N/A 1,310 1,382 31,426 19,452 2020-09-28 $24.70 $30.00 89.1% 27.8% 89.1% 15.9% 102.3% 8.4% 11.6% 106.8K -6.0M -157.9K 0.45 14.38 N/A N/A 2,235 1,015 29,577 19,013 2020-09-29 $24.40 $30.00 80.2% 27.0% 87.0% 12.5% 92.8% 11.8% 13.0% 100.6K -6.0M -153.1K 0.65 21.97 N/A N/A 743 486 31,203 20,030 2020-09-30 $23.55 $30.00 100.3% 26.4% 86.5% 20.1% 94.1% 10.1% -1.2% 94.8K -4.1M -154.1K 1.03 30.58 N/A N/A 669 688 31,407 20,048
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