INTC Options History — November 2014

In November 2014, INTC traded between $33.24 and $37.25. ATM implied volatility averaged 21.7%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 9.6% (HV 20d: 31.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.67.

Notable Days

  • 2014-11-04: Highest Volume — 383,621 contracts
  • 2014-11-20: Largest IV drop — 13.4% change
  • 2014-11-07: Highest IV Rank — 50.0%
  • 2014-11-10: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.69$33.24$37.25$34.33$37.25
Max Pain$33.21$33.00$34.00$33.00$34.00
ATM IV21.7%17.8%24.6%23.5%18.5%
Expected Move6.8%6.5%7.2%7.0%6.6%
HV 20d31.3%25.8%39.4%39.4%25.8%
HV 60d26.5%25.6%27.8%26.1%27.8%
IV Rank37.7%21.4%50.0%45.4%24.3%
IV Percentile71.3%38.1%91.3%88.1%44.8%
Term Structure-0.5%-1.4%0.6%-0.7%0.5%
VWIV24.4%22.7%26.6%24.1%22.7%
Skew 25d2.5%1.3%4.2%3.4%1.3%
Skew 10d5.7%2.5%9.0%7.9%2.5%
Call IV 25d21.0%17.1%24.6%22.2%18.3%
Put IV 25d23.5%18.9%28.0%25.6%19.6%
Bid-Ask Spread %9.196.8612.0610.997.59
Gamma HHI0.140.080.480.080.17
Net GEX54.4M15.1M174.9M39.9M58.7M
Net DEX-1.49B-2.55B-650.7M-1.38B-2.55B
Net VEX-10.7M-11.6M-9.7M-11.2M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.091.880.810.33
Total Volume127,23050,182383,62189,80890,888
Total OI2,373,023.7892,173,9472,555,5992,331,0112,313,372

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$34.33$33.0023.5%7.0%39.4%45.4%24.1%3.4%-0.7%39.9M-1.38B-11.2M0.8110.9949,56340,2451,162,2921,168,719
2014-11-04$34.53$33.0023.1%6.8%38.8%43.4%24.1%3.4%-0.4%47.7M-1.53B-11.4M0.0911.69353,39930,2221,182,7131,185,045
2014-11-05$33.76$33.0023.8%7.0%38.6%46.5%26.6%3.4%-0.4%26.6M-945.0M-11.5M0.8110.2462,22750,2901,119,7481,195,569
2014-11-06$33.81$33.0024.4%7.1%38.0%49.2%26.4%4.2%-1.3%32.8M-978.7M-11.6M0.798.1261,03248,0351,143,4041,217,472
2014-11-07$33.56$33.0024.6%7.1%34.8%50.0%25.5%2.5%-1.4%22.4M-815.0M-11.5M0.529.3864,72333,8651,167,6861,239,713
2014-11-10$33.24$33.0024.4%7.2%33.7%49.2%26.5%2.6%-0.8%15.1M-650.7M-11.5M0.527.9949,14525,3581,157,4791,220,608
2014-11-11$33.31$33.0023.8%7.1%31.4%46.5%25.9%2.5%-0.8%19.6M-731.8M-11.1M0.656.8630,35219,8301,156,5491,217,569
2014-11-12$33.36$33.0022.9%7.0%28.9%42.9%25.5%2.7%-0.4%24.7M-736.0M-11.2M0.958.1850,35047,8261,178,2321,230,726
2014-11-13$33.69$33.0022.5%6.8%27.3%41.0%25.2%3.0%-1.3%45.8M-991.4M-11.1M0.469.9747,36021,8081,201,3791,249,243
2014-11-14$33.95$33.0021.9%6.8%26.9%38.6%24.5%3.1%-1.1%69.5M-1.14B-10.9M0.608.4239,70424,0181,191,7591,251,823
2014-11-17$34.23$33.0021.7%6.8%26.9%37.8%23.7%2.4%-0.1%59.2M-1.34B-10.6M0.857.9635,72630,5181,176,7861,211,890
2014-11-18$34.77$33.0021.9%6.6%26.0%38.6%24.1%2.4%-0.6%68.7M-1.70B-10.5M0.888.2070,75662,5331,188,0441,223,944
2014-11-19$34.35$33.0022.3%6.8%26.5%40.3%24.0%2.6%-1.0%58.5M-1.40B-10.6M1.8810.4243,25581,3991,207,1161,251,158
2014-11-20$35.88$33.0019.4%6.7%30.1%27.8%23.7%1.3%0.3%89.0M-2.45B-9.7M0.6212.06187,762116,1791,196,4601,285,498
2014-11-21$35.53$33.0018.7%6.5%30.2%25.0%22.7%2.3%0.6%174.9M-2.26B-10.0M0.299.56166,85048,2481,221,2741,334,325
2014-11-24$36.25$34.0018.9%6.6%30.8%26.1%22.9%1.3%-0.1%55.9M-2.08B-9.7M0.538.5272,28738,5651,057,6791,116,268
2014-11-25$36.39$34.0017.8%6.6%30.4%21.4%23.3%1.7%0.1%60.2M-2.17B-9.8M0.468.9368,19431,5431,080,0381,128,367
2014-11-26$36.90$34.0017.9%6.5%30.7%21.6%22.9%1.8%-0.3%64.5M-2.41B-9.8M0.599.4777,39745,9181,115,5011,142,004
2014-11-28$37.25$34.0018.5%6.6%25.8%24.3%22.7%1.3%0.5%58.7M-2.55B-9.9M0.337.5968,42022,4681,144,9891,168,383