INTC Options History — July 2014 In July 2014, INTC traded between $30.79 and $34.79. ATM implied volatility averaged 18.4%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 10.0% (HV 20d: 28.4%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.61.
Notable Days 2014-07-16 : Highest Volume — 666,809 contracts2014-07-16 : Largest IV drop — 16.4% change2014-07-14 : Highest IV Rank — 44.6%2014-07-31 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $32.82 $30.79 $34.79 $30.98 $33.89 Max Pain $30.45 $30.00 $32.00 $32.00 $32.00 ATM IV 18.4% 16.5% 21.1% 19.2% 17.7% Expected Move 5.9% 5.7% 6.3% 5.9% 6.3% HV 20d 28.4% 8.3% 35.5% 25.1% 35.5% HV 60d 21.9% 17.4% 25.6% 18.4% 25.6% IV Rank 29.7% 21.3% 44.6% 30.3% 28.1% IV Percentile 43.8% 20.2% 67.9% 52.0% 43.3% Term Structure -0.1% -1.2% 1.0% 0.6% -0.1% VWIV 20.9% 20.2% 22.4% 21.0% 22.4% Skew 25d 1.1% -0.3% 2.0% 1.1% -0.3% Skew 10d 2.2% 0.0% 6.7% 2.5% 0.6% Call IV 25d 18.1% 16.1% 20.4% 18.8% 18.6% Put IV 25d 19.1% 16.9% 21.7% 19.9% 18.3% Bid-Ask Spread % 10.57 6.37 13.76 7.68 13.62 Gamma HHI 0.15 0.12 0.19 0.15 0.12 Net GEX 75.6M 53.5M 93.5M 81.0M 59.4M Net DEX -3.09B -4.56B -2.51B -2.63B -2.81B Net VEX -8.9M -9.8M -7.1M -8.8M -9.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.21 1.49 0.93 1.49 Total Volume 149,585.318 35,766 666,809 58,352 149,934 Total OI 2,400,183.136 2,183,017 2,862,668 2,183,017 2,447,865
Daily Data (22 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 Vol Put Vol Call OI Put OI 2014-07-01 $30.98 $32.00 19.2% 5.9% 25.1% 30.3% 21.0% 1.1% 0.6% 81.0M -2.63B -8.8M 0.93 7.68 30,210 28,142 1,356,353 826,664 2014-07-02 $30.98 $32.00 18.6% 5.9% 25.0% 27.4% 21.4% 1.1% 0.4% 86.1M -2.60B -9.0M 0.94 6.83 19,898 18,661 1,363,636 844,369 2014-07-03 $31.14 $32.00 18.8% 5.8% 25.0% 28.2% 20.2% 0.9% 0.7% 75.2M -2.72B -8.9M 0.57 10.15 56,854 32,273 1,371,753 855,854 2014-07-07 $31.03 $30.00 20.4% 5.8% 24.8% 35.7% 21.3% 1.2% -1.1% 75.5M -2.60B -8.9M 0.21 7.82 54,824 11,676 1,365,276 848,762 2014-07-08 $30.79 $30.00 20.5% 6.0% 24.7% 36.2% 20.8% 1.1% -1.2% 77.9M -2.51B -9.0M 0.51 6.75 68,398 35,070 1,393,567 851,953 2014-07-09 $30.89 $30.00 19.9% 6.0% 24.5% 33.3% 21.0% 2.0% -0.7% 84.3M -2.54B -9.1M 0.26 9.77 73,117 19,303 1,424,611 876,995 2014-07-10 $31.26 $30.00 21.1% 5.9% 24.0% 38.9% 21.1% 1.3% -0.8% 93.5M -2.80B -9.2M 0.76 10.76 61,830 47,012 1,462,401 889,179 2014-07-11 $31.25 $30.00 20.4% 5.9% 24.0% 43.2% 21.4% 0.8% -1.0% 86.3M -2.77B -9.3M 0.48 8.11 68,996 33,035 1,470,738 916,870 2014-07-14 $31.49 $30.00 20.6% 5.9% 8.3% 44.6% 20.3% 1.3% -0.4% 85.8M -2.91B -9.1M 0.73 6.37 68,675 50,234 1,479,593 919,781 2014-07-15 $31.71 $30.00 20.4% 5.8% 8.4% 43.2% 20.7% 1.1% -0.2% 86.2M -3.01B -9.2M 0.48 13.75 253,498 121,444 1,491,012 942,640 2014-07-16 $34.65 $30.00 17.1% 5.7% 31.5% 24.4% 20.4% 1.8% 0.6% 53.5M -4.56B -7.1M 0.29 11.85 515,551 151,258 1,566,411 999,964 2014-07-17 $33.70 $30.00 17.9% 5.9% 33.8% 29.0% 20.8% 1.2% 0.4% 64.1M -3.97B -8.3M 0.52 6.98 253,133 130,949 1,630,963 1,069,832 2014-07-18 $33.70 $30.00 16.6% 5.9% 33.9% 21.8% 21.1% 1.4% 1.0% 83.6M -3.91B -9.2M 0.41 8.66 168,015 69,072 1,741,654 1,121,014 2014-07-21 $34.06 $30.00 17.3% 5.9% 33.9% 25.8% 20.7% 0.9% -0.5% 78.0M -3.12B -9.2M 0.55 12.69 60,393 33,262 1,429,127 905,553 2014-07-22 $34.79 $30.00 17.3% 5.8% 34.2% 25.5% 20.4% 1.0% -0.0% 82.4M -3.57B -8.9M 0.34 13.76 118,201 40,273 1,457,207 927,504 2014-07-23 $34.50 $30.00 16.5% 5.9% 34.7% 21.3% 20.5% 1.1% 0.2% 81.5M -3.42B -8.5M 0.85 11.68 52,805 44,969 1,475,369 948,480 2014-07-24 $34.25 $30.00 16.6% 5.9% 34.9% 21.5% 20.4% 1.0% -0.5% 86.6M -3.21B -8.8M 0.70 13.58 44,339 30,827 1,474,117 965,021 2014-07-25 $34.25 $30.00 16.7% 6.0% 34.8% 22.2% 20.6% 1.1% -0.3% 59.1M -3.17B -9.1M 0.82 12.74 41,164 33,847 1,486,006 978,049 2014-07-28 $34.23 $30.00 17.2% 5.9% 34.9% 25.0% 21.6% 1.5% 0.1% 59.5M -3.07B -9.1M 0.70 12.02 21,085 14,681 1,437,759 962,321 2014-07-29 $34.19 $30.00 16.6% 6.0% 34.9% 21.8% 20.6% 0.1% -0.1% 58.9M -3.03B -9.1M 0.49 13.50 37,158 18,215 1,438,263 967,447 2014-07-30 $34.35 $32.00 17.3% 6.1% 34.9% 25.8% 21.5% 0.6% 0.1% 64.3M -3.13B -8.9M 0.39 13.37 78,351 30,245 1,451,831 970,265 2014-07-31 $33.89 $32.00 17.7% 6.3% 35.5% 28.1% 22.4% -0.3% -0.1% 59.4M -2.81B -9.8M 1.49 13.62 60,282 89,652 1,464,439 983,426
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