INTC Options History — October 2014 In October 2014, INTC traded between $30.85 and $34.31. ATM implied volatility averaged 27.2%, placing in the 68.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.4% (HV 20d: 28.6%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.90.
Notable Days 2014-10-15 : Highest Volume — 365,972 contracts2014-10-30 : Largest IV spike — 24.6% change2014-10-10 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $32.90 $30.85 $34.31 $33.99 $33.99 Max Pain $32.05 $30.00 $33.00 $32.00 $33.00 ATM IV 27.2% 20.5% 36.5% 28.4% 23.1% Expected Move 7.2% 6.6% 8.3% 7.2% 6.9% HV 20d 28.6% 16.9% 39.2% 16.9% 39.2% HV 60d 23.8% 19.4% 26.3% 25.3% 26.1% IV Rank 68.1% 32.8% 100.0% 88.3% 43.5% IV Percentile 92.0% 70.6% 100.0% 99.2% 84.9% Term Structure -0.7% -2.4% 0.6% -0.2% -1.2% VWIV 25.7% 23.5% 28.8% 25.2% 24.7% Skew 25d 3.4% 1.6% 6.3% 3.3% 4.8% Skew 10d 7.7% 4.2% 12.9% 4.8% 10.7% Call IV 25d 26.2% 19.6% 35.1% 27.3% 21.7% Put IV 25d 29.6% 23.1% 39.8% 30.6% 26.5% Bid-Ask Spread % 13.15 9.33 27.72 15.40 11.57 Gamma HHI 0.12 0.07 0.37 0.11 0.37 Net GEX 20.8M -24.9M 98.0M 22.4M 98.0M Net DEX -634.7M -1.29B 493.2M -1.11B -1.24B Net VEX -10.7M -11.4M -10.2M -10.7M -11.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.47 1.71 1.00 0.76 Total Volume 138,352.304 44,211 365,972 135,572 265,971 Total OI 2,291,833.739 1,994,948 2,689,233 2,243,427 2,309,687
Daily Data (23 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 2014-10-01 $33.99 $32.00 28.4% 7.2% 16.9% 88.3% 25.2% 3.3% -0.2% 22.4M -1.11B -10.7M 1.00 15.40 67,823 67,749 1,122,089 1,121,338 2014-10-02 $33.52 $32.00 28.4% 7.1% 17.0% 88.3% 26.4% 2.2% -0.4% 11.3M -805.6M -10.6M 0.93 13.83 58,537 54,470 1,143,720 1,152,179 2014-10-03 $34.03 $32.00 27.4% 7.0% 18.0% 82.6% 24.7% 3.1% -0.0% 11.5M -1.09B -10.9M 0.62 12.60 60,722 37,617 1,156,691 1,172,915 2014-10-06 $34.11 $32.00 28.2% 7.0% 17.6% 87.3% 24.8% 3.3% -1.3% 26.8M -1.15B -10.9M 0.50 11.09 40,855 20,545 1,151,689 1,168,913 2014-10-07 $33.47 $32.00 29.0% 7.3% 18.3% 91.7% 26.9% 1.6% -1.6% 12.7M -803.7M -10.7M 0.63 10.27 41,476 26,180 1,163,679 1,172,559 2014-10-08 $34.31 $32.00 28.3% 7.0% 20.6% 87.7% 25.5% 3.4% -1.5% 38.4M -1.29B -10.7M 0.96 11.76 57,374 54,880 1,177,830 1,169,611 2014-10-09 $33.62 $32.00 30.0% 7.2% 21.7% 97.6% 25.5% 2.3% -1.7% 15.6M -914.3M -10.7M 0.95 10.31 38,271 36,218 1,193,625 1,174,380 2014-10-10 $32.26 $32.00 34.9% 7.8% 25.6% 100.0% 27.4% 5.3% -2.4% 6.5M -217.0M -10.7M 0.62 27.72 127,943 79,070 1,202,413 1,184,184 2014-10-13 $31.47 $32.00 36.5% 8.2% 26.7% 100.0% 28.8% 1.8% 0.6% 9.9M -31.2M -10.8M 1.11 13.51 111,781 123,933 1,247,589 1,175,403 2014-10-14 $32.60 $32.00 36.1% 7.9% 29.8% 98.1% 28.1% 6.3% -2.2% 17.8M -530.7M -11.4M 1.30 20.76 66,306 86,011 1,280,561 1,216,843 2014-10-15 $31.58 $32.00 33.8% 8.3% 31.4% 88.5% 28.7% 4.1% -1.3% -461.8K 117.6M -10.8M 1.22 17.70 165,185 200,787 1,364,483 1,283,423 2014-10-16 $30.85 $32.00 31.3% 8.0% 31.8% 77.9% 27.5% 4.4% -0.8% -24.9M 493.2M -10.4M 0.80 10.82 74,823 59,489 1,368,930 1,288,775 2014-10-17 $31.38 $32.00 26.4% 7.7% 32.8% 57.3% 26.4% 3.9% 0.5% -12.0M 189.0M -10.3M 1.68 9.50 51,410 86,302 1,402,283 1,286,950 2014-10-20 $31.58 $0.00 24.1% 7.0% 33.1% 47.6% 24.6% 4.0% 0.1% 3.1M -151.6M -10.2M 0.74 9.33 60,460 44,980 1,006,862 988,086 2014-10-21 $32.41 $32.00 23.0% 7.0% 34.7% 43.2% 24.5% 2.7% -0.0% 20.9M -508.3M -10.5M 0.56 10.71 66,906 37,159 1,034,916 996,788 2014-10-22 $32.29 $30.00 23.5% 7.0% 34.4% 45.3% 25.1% 2.7% -0.6% 23.5M -495.1M -10.6M 0.72 11.54 50,649 36,415 1,065,410 1,015,132 2014-10-23 $32.63 $31.00 22.6% 6.8% 34.4% 41.4% 24.6% 2.5% -0.7% 32.8M -644.2M -10.6M 0.47 12.32 73,908 34,926 1,083,050 1,021,341 2014-10-24 $33.16 $32.00 22.2% 6.8% 34.9% 39.8% 24.2% 2.9% -0.6% 30.4M -895.3M -10.7M 0.78 10.99 87,415 68,427 1,098,259 1,030,588 2014-10-27 $33.20 $32.00 22.0% 6.8% 34.1% 39.1% 25.0% 3.7% -0.1% 31.3M -815.9M -10.7M 1.17 10.65 20,378 23,833 1,076,487 1,031,528 2014-10-28 $33.74 $33.00 21.1% 6.7% 34.8% 35.1% 23.5% 3.5% -0.2% 41.1M -1.05B -10.5M 0.58 10.31 37,684 21,908 1,081,698 1,041,647 2014-10-29 $33.92 $33.00 20.5% 6.6% 33.8% 32.8% 23.8% 3.5% -0.4% 45.4M -1.15B -10.5M 0.87 11.11 42,320 36,610 1,085,666 1,047,147 2014-10-30 $32.58 $33.00 25.6% 7.2% 36.4% 54.1% 25.9% 4.0% -0.8% 17.4M -514.1M -10.8M 1.71 18.65 102,168 174,229 1,105,679 1,049,150 2014-10-31 $33.99 $33.00 23.1% 6.9% 39.2% 43.5% 24.7% 4.8% -1.2% 98.0M -1.24B -11.1M 0.76 11.57 151,270 114,701 1,156,858 1,152,829
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