AMC Entertainment Holdings Inc (NYSE:AMC) Stock Volatility Hits A Collapsing LowDate Published: 2017-04-21
Stock Alert - But Not What You Might Think
Before we cover the full analysis we make a quick alert here that AMC Entertainment Holdings Inc (NYSE:AMC) has seen its stock price move at a tumbling low level. We'll go through the details below -- but that's the lede -- the stock has been unusally quiet. If there was a post it note to summarize the stock movement in the last 30-days it would likely read "quiet time... too quiet?" The HV20 is 17.88% verus the HV20 of the S&P 500 at 6.43%.
Another bit to this alert of quiet time, which we cover in the article, is that while the historical volatility may be a tumbling low level, the real question that needs to be answered for option traders is not if the HV20 is low, but rather if the implied volatility that is priced for the next 30-days accuratley reflects what we're about to see in the stock for the next month.
To jump forward and examine if owning or shorting options has been a positive trade in AMC Entertainment Holdings Inc, you can go here: Getting serious about option trading.
This is a proprietary realized volatility rating created by Capital Market Laboratories (CMLviz) based on a large number of data interactions for AMC Entertainment Holdings Inc (NYSE:AMC) . We examine the little used gem of daily stock volatility over a 20-day and 30-day trading period, as well as comparisons to the last year and the actual stock returns over the last three- and six-months and the S&P 500 and Nasdaq 100 indices.
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As a heads up, in the "Why This Matters" section at the end of this article on AMC Entertainment Holdings Inc (NYSE:AMC) , we're going to take a step back and show really clearly that there is actually a lot less "luck" in successful option trading than most people are aware of. This idea of an "option trading expert" is vastly over complicated so those with the information advantage can continue to profit at the expense of the rest.
But before that, let's turn back to AMC. Here are the exact steps that led us to this rating, and whether it's a risk alert or a holding pattern.
AMC Recent Stock Volatility
Stock volatility using proprietary measures has hit a tumbling low level. While stocks with AMC's profile see a short-term quiet period, this is also one of those times when a shake out volatility move could be on the horizon. To that point, we do note that AMC is showing unusally low volatility in the last month relative to its past. Let's take a deep dive into some institutional level volatility measures for AMC Entertainment Holdings Inc (NYSE:AMC) .
AMC Entertainment Holdings Inc Stock Performance
AMC is down -9.8% over the last three months and down -2.1% over the last six months. The stock price is up +11.5% over the last year. The current stock price is $30.95.
AMC Step 1: Stock Returns
↪ The 3-month stock return of -9.8% is too small to impact the stock volatility rating for AMC.
↪ The small difference between the 3-month and 6-month stock returns does not impact the stock volatility rating for AMC.
AMC Step 2: Daily Stock Volatility Level
The HV30® takes the stock's day to day historical volatility over the last 30-days and then annualizes it. The HV20 looks back over just 20-days -- a shorter time period. Here is the breakdown for AMC Entertainment Holdings Inc (NYSE:AMC) and how the day-by-day stock historical volatilities have impacted the rating:
↪ The HV20 of 18.4% is quite low and has a substantial downward impact on AMC's volatility rating.
AMC Step 3: AMC Entertainment Holdings Inc HV20 Compared to Indices
* The HV20 for AMC is substantially larger than that for both the S&P 500 and the NASDAQ 100 which raises the volatility rating.
* The HV20 for AMC is substantially larger than that for the Consumer Discretionary ETF (XLY) which raises the volatility rating.
Here is summary data in tabular and chart format.
| S&P 500
| NASDAQ 100
AMC Step 4: Daily Volatility Percentiles and Highs
We also examine the annual high of the HV30 in our rating but in this case the 52 week high in HV30 for AMC is 34.9%, which is not enough to impact the stock volatility rating.
Here is summary data in tabular and chart format.
Final Stock Volatility Percentile Level: AMC
The final evolution of the volatility rating for AMC Entertainment Holdings Inc is a comparison of the HV30 value relative to its past, which is neatly summarized in the percentile -- a scoring mechanism that goes from a low of 1 to a high of 100.
↪ The HV30 percentile for AMC Entertainment Holdings Inc is 11%, which means the stock has seen very low volatility in its price movement relative to its own past and that has a dampening impact on the stock volatility rating.
AMC Entertainment Holdings Inc Realized Volatility Percentiles