INTC Options History — March 2014

In March 2014, INTC traded between $24.50 and $25.81. ATM implied volatility averaged 19.2%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.5% (HV 20d: 11.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2014-03-19: Highest Volume — 168,248 contracts
  • 2014-03-13: Largest IV spike — 15.3% change
  • 2014-03-27: Highest IV Rank — 34.2%
  • 2014-03-26: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.96$24.50$25.81$24.50$25.81
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV19.2%16.2%22.0%17.6%20.6%
Expected Move6.6%6.5%6.7%6.5%6.6%
HV 20d11.7%10.4%16.3%16.3%11.6%
HV 60d16.6%16.0%17.9%17.9%16.5%
IV Rank19.1%3.3%34.2%10.8%26.1%
IV Percentile37.6%3.2%67.9%22.6%53.2%
Term Structure0.6%-1.1%4.4%0.3%-0.0%
VWIV23.2%22.3%24.7%22.5%23.0%
Skew 25d2.1%1.6%3.1%1.8%2.0%
Skew 10d4.6%3.1%7.4%3.1%4.0%
Call IV 25d18.6%15.6%21.7%17.4%20.1%
Put IV 25d20.7%17.5%24.0%19.2%22.1%
Bid-Ask Spread %4.653.876.234.584.51
Gamma HHI0.160.140.200.150.16
Net GEX38.9M22.9M60.2M22.9M54.1M
Net DEX-489.1M-890.2M-251.5M-251.5M-890.2M
Net VEX-8.5M-9.4M-8.1M-8.1M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.121.330.430.62
Total Volume74,092.8132,897168,24859,33386,476
Total OI1,864,166.7141,706,6532,009,7581,706,6531,946,266

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$24.50$25.0017.6%6.5%16.3%10.8%22.5%1.8%0.3%22.9M-251.5M-8.1M0.434.5841,62417,7091,053,465653,188
2014-03-04$24.61$25.0016.7%6.5%13.5%5.9%23.7%1.9%0.5%26.4M-311.8M-8.1M0.864.4321,88118,7331,072,614662,062
2014-03-05$24.50$25.0016.7%6.5%13.5%5.8%22.9%1.6%0.4%23.9M-263.7M-8.2M0.593.9520,81612,2751,083,680667,895
2014-03-06$24.63$25.0016.6%6.5%12.5%5.4%23.3%2.1%0.4%27.6M-327.2M-8.2M0.934.4017,04915,8481,092,913673,818
2014-03-07$24.64$25.0017.1%6.5%10.6%8.2%22.3%1.6%-0.0%27.2M-332.7M-8.3M0.305.6343,20912,9341,100,508683,981
2014-03-10$24.84$25.0017.1%6.5%10.5%7.8%22.7%1.6%3.2%34.7M-437.8M-8.1M0.474.0555,50025,8781,094,798680,434
2014-03-11$24.73$25.0016.6%6.5%10.7%5.2%23.9%1.8%2.9%33.5M-370.7M-8.1M0.444.3939,12517,2881,110,091692,757
2014-03-12$24.76$25.0016.2%6.5%10.4%3.3%23.7%1.8%3.1%36.2M-390.0M-8.1M0.444.5131,55614,0171,140,487704,073
2014-03-13$24.57$25.0018.7%6.6%10.8%16.8%23.0%2.3%2.5%26.8M-266.5M-8.3M0.893.9645,83240,6591,148,070710,787
2014-03-14$24.50$25.0019.4%6.6%10.6%19.9%23.3%2.2%4.4%27.0M-252.7M-8.3M0.835.2321,66917,9321,169,003733,558
2014-03-17$24.70$25.0019.6%6.6%11.0%21.1%23.3%3.1%0.3%33.4M-346.6M-8.4M0.354.4329,83510,5511,160,046730,388
2014-03-18$24.82$25.0019.6%6.6%11.1%20.8%23.4%2.6%-0.1%39.8M-413.0M-8.3M0.334.2926,7048,7161,161,156732,918
2014-03-19$25.02$25.0020.1%6.7%10.7%23.8%22.9%1.9%-0.1%46.9M-532.0M-8.5M0.124.66150,12918,1191,164,345735,687
2014-03-20$25.43$25.0021.4%6.6%11.6%30.6%22.8%2.2%-1.0%55.1M-808.1M-8.5M0.316.23119,22637,4191,215,243732,976
2014-03-21$25.17$25.0020.5%6.6%11.2%26.0%23.1%2.3%-0.5%60.2M-684.8M-8.6M0.544.6957,00430,9441,270,618739,140
2014-03-24$25.12$25.0021.4%6.7%10.9%30.9%23.2%2.2%-0.8%45.7M-576.7M-8.8M1.335.4947,56863,1491,146,452675,328
2014-03-25$25.46$25.0021.9%6.6%11.8%33.3%23.1%2.3%-0.6%47.8M-701.6M-8.9M0.343.8785,39728,7301,168,291728,382
2014-03-26$25.38$25.0021.9%6.7%11.7%33.5%24.7%2.5%-0.6%49.5M-677.3M-9.0M0.394.2663,21524,4871,214,542737,764
2014-03-27$25.31$25.0022.0%6.7%11.7%34.2%23.3%2.3%-0.7%49.4M-623.4M-9.3M0.434.9942,83818,2351,222,393744,545
2014-03-28$25.62$25.0021.6%6.6%12.3%31.6%23.6%2.3%-1.1%48.9M-813.1M-9.4M0.355.0555,98219,6911,239,897752,942
2014-03-31$25.81$25.0020.6%6.6%11.6%26.1%23.0%2.0%-0.0%54.1M-890.2M-9.2M0.624.5153,22233,2541,212,041734,225