INTC Options History — September 2014

In September 2014, INTC traded between $34.14 and $35.33. ATM implied volatility averaged 21.7%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.0% (HV 20d: 13.6%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2014-09-03: Highest Volume — 245,445 contracts
  • 2014-09-15: Largest IV spike — 14.0% change
  • 2014-09-29: Highest IV Rank — 82.5%
  • 2014-09-29: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.78$34.14$35.33$34.57$34.82
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV21.7%16.8%27.4%20.1%25.7%
Expected Move6.6%6.4%6.9%6.5%6.8%
HV 20d13.6%11.2%20.3%20.3%14.5%
HV 60d24.9%23.9%27.3%27.3%24.8%
IV Rank50.3%22.9%82.5%41.4%73.2%
IV Percentile73.5%26.2%99.2%66.7%95.2%
Term Structure0.8%-1.8%5.3%-0.1%-0.3%
VWIV23.3%22.1%25.2%23.5%25.2%
Skew 25d2.0%0.1%4.0%0.7%2.7%
Skew 10d4.1%0.9%7.7%2.0%5.4%
Call IV 25d21.3%16.8%26.7%20.3%25.5%
Put IV 25d23.3%18.3%29.2%21.0%28.2%
Bid-Ask Spread %10.718.2917.599.3813.15
Gamma HHI0.170.110.310.170.12
Net GEX67.7M17.3M135.4M71.7M44.8M
Net DEX-1.74B-2.21B-1.14B-1.76B-1.57B
Net VEX-10.3M-10.8M-9.9M-10.5M-10.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.314.560.570.41
Total Volume101,22845,437245,445144,854120,047
Total OI2,311,467.0482,053,8812,446,4952,339,4142,216,665

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$34.57$32.0020.1%6.5%20.3%41.4%23.5%0.7%-0.1%71.7M-1.76B-10.5M0.579.3892,21352,6411,249,9681,089,446
2014-09-03$34.57$32.0018.6%6.4%14.7%33.2%22.3%0.9%-0.0%83.4M-1.79B-10.6M0.3711.11179,09666,3491,313,6871,120,408
2014-09-04$34.91$32.0017.8%6.4%14.9%28.6%22.5%0.8%0.2%83.0M-1.95B-10.6M0.3411.37112,66138,8131,255,9411,156,992
2014-09-05$35.00$32.0017.6%6.4%14.6%27.1%23.5%0.4%0.1%135.4M-2.01B-10.5M0.538.8056,08029,8091,243,2671,176,284
2014-09-08$35.33$32.0018.3%6.5%14.5%31.4%22.7%1.3%4.3%86.4M-2.21B-10.3M0.4710.9762,86429,2551,220,5441,121,145
2014-09-09$34.91$32.0017.7%6.5%15.2%28.2%25.0%0.1%5.0%81.9M-1.93B-10.4M0.609.5153,96732,5621,240,2721,132,943
2014-09-10$35.02$32.0016.8%6.4%15.2%22.9%22.7%1.7%5.3%92.5M-2.03B-10.3M0.8210.3939,84132,7291,265,4041,149,274
2014-09-11$35.02$32.0017.9%6.5%11.7%29.0%22.1%1.5%4.6%88.4M-2.00B-10.3M0.669.7938,98825,6671,268,3251,165,838
2014-09-12$34.62$32.0018.9%6.5%12.4%34.9%22.3%1.2%4.7%58.0M-1.70B-10.4M0.318.8148,40715,0081,272,5201,173,975
2014-09-15$34.54$32.0021.6%6.5%12.2%49.9%23.1%1.9%-0.4%62.2M-1.63B-10.2M0.3910.0632,77012,6671,212,7491,134,175
2014-09-16$34.93$32.0022.0%6.5%12.6%52.3%22.8%2.8%0.2%81.4M-1.92B-10.1M0.668.9737,74025,0261,218,2411,137,464
2014-09-17$34.98$32.0022.0%6.4%12.6%52.3%23.5%2.8%-0.4%90.8M-1.92B-10.1M0.4710.4439,76718,7161,220,6311,153,199
2014-09-18$35.17$32.0022.0%6.4%12.6%52.4%22.3%2.3%0.4%100.3M-2.06B-9.9M0.758.2926,67720,0931,207,9921,148,864
2014-09-19$34.82$32.0022.6%6.5%11.3%55.4%22.4%2.6%-1.1%78.8M-1.75B-9.9M1.1010.1057,28463,1501,201,4811,157,862
2014-09-22$34.71$32.0024.1%6.5%11.2%64.3%23.4%2.7%-1.0%37.0M-1.53B-10.0M1.559.6521,61833,4291,043,9011,009,980
2014-09-23$34.42$32.0024.8%6.7%11.5%68.1%23.0%2.7%-0.7%30.8M-1.36B-10.2M4.5611.5726,588121,3381,051,2081,032,017
2014-09-24$34.75$32.0025.3%6.6%12.0%70.6%23.5%3.2%-0.7%25.4M-1.43B-10.6M1.4013.0143,19560,3471,061,6221,134,854
2014-09-25$34.14$32.0026.5%6.8%13.5%77.7%24.0%4.0%-1.4%17.3M-1.14B-10.8M1.9310.2749,16195,0031,067,4641,132,041
2014-09-26$34.26$32.0026.9%6.9%13.6%80.0%24.2%2.1%-1.8%27.4M-1.24B-10.6M0.5511.5982,94045,9151,092,9811,090,538
2014-09-29$34.90$32.0027.4%6.9%14.9%82.5%24.9%2.7%0.1%45.0M-1.59B-10.5M0.4317.5959,86925,4981,103,4781,095,168
2014-09-30$34.82$32.0025.7%6.8%14.5%73.2%25.2%2.7%-0.3%44.8M-1.57B-10.3M0.4113.1585,00835,0391,112,5481,104,117