INTC Options History — December 2014

In December 2014, INTC traded between $35.64 and $37.64. ATM implied volatility averaged 23.1%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.5% (HV 20d: 20.6%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.91.

Notable Days

2014-12-08: Highest Volume — 141,464 contracts
2014-12-12: Largest IV spike — 12.1% change
2014-12-16: Highest IV Rank — 67.8%
2014-12-16: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.90	$35.64	$37.64	$37.17	$36.29
Max Pain	$35.82	$35.00	$36.00	$35.00	$36.00
ATM IV	23.1%	18.2%	28.8%	19.2%	25.3%
Expected Move	7.1%	6.6%	8.1%	6.8%	7.2%
HV 20d	20.6%	18.0%	23.0%	22.2%	18.7%
HV 60d	28.0%	27.7%	28.7%	27.8%	28.1%
IV Rank	43.4%	22.8%	67.8%	27.2%	52.8%
IV Percentile	75.1%	40.1%	97.2%	52.0%	90.1%
Term Structure	1.3%	-0.5%	6.0%	0.6%	0.6%
VWIV	25.1%	23.2%	30.8%	23.7%	24.5%
Skew 25d	2.9%	1.3%	5.1%	2.5%	2.5%
Skew 10d	6.3%	3.4%	10.2%	4.2%	4.8%
Call IV 25d	22.2%	17.4%	28.2%	18.0%	24.8%
Put IV 25d	25.0%	18.7%	33.4%	20.5%	27.3%
Bid-Ask Spread %	8.69	5.57	12.41	8.92	5.57
Gamma HHI	0.15	0.11	0.22	0.16	0.15
Net GEX	46.8M	-8.8M	87.9M	59.7M	43.3M
Net DEX	-2.02B	-2.62B	-1.33B	-2.36B	-1.55B
Net VEX	-10.2M	-11.0M	-9.6M	-10.0M	-9.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.32	2.33	0.68	0.37
Total Volume	78,553.045	36,879	141,464	114,436	52,482
Total OI	2,293,098.773	2,116,197	2,439,596	2,238,106	2,196,955

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
2014-12-01	$37.17	$35.00	19.2%	6.8%	22.2%	27.2%	23.7%	2.5%	0.6%	59.7M	-2.36B	-10.0M	0.68	8.92	68,108	46,328	1,120,452	1,117,654
2014-12-02	$37.55	$35.00	18.5%	6.7%	22.2%	24.1%	23.5%	1.7%	0.8%	55.2M	-2.48B	-10.1M	0.49	8.29	58,373	28,364	1,119,777	1,137,093
2014-12-03	$37.49	$35.00	18.5%	6.8%	22.3%	24.1%	24.0%	1.9%	0.5%	59.8M	-2.51B	-9.9M	0.32	8.90	61,305	19,653	1,136,034	1,149,913
2014-12-04	$37.46	$35.00	18.2%	6.8%	20.1%	23.0%	23.8%	2.0%	1.0%	62.0M	-2.51B	-9.8M	0.45	7.68	43,292	19,643	1,160,528	1,153,289
2014-12-05	$37.64	$36.00	18.2%	6.6%	20.0%	22.8%	23.8%	1.3%	1.3%	70.2M	-2.62B	-10.1M	0.75	7.30	46,065	34,729	1,181,947	1,156,028
2014-12-08	$37.12	$36.00	19.7%	6.9%	20.7%	29.0%	24.7%	2.5%	4.5%	59.0M	-2.30B	-10.2M	2.33	7.40	42,435	99,029	1,169,026	1,110,365
2014-12-09	$36.92	$36.00	19.3%	6.9%	20.4%	27.7%	24.3%	2.3%	5.0%	46.0M	-2.12B	-10.6M	1.31	8.62	35,008	45,898	1,175,321	1,175,122
2014-12-10	$36.38	$36.00	21.6%	7.5%	21.5%	37.2%	26.1%	1.8%	6.0%	34.5M	-1.80B	-10.8M	1.40	9.24	26,814	37,577	1,176,788	1,193,440
2014-12-11	$36.64	$36.00	22.0%	7.2%	21.5%	39.0%	25.6%	1.8%	4.0%	33.2M	-1.94B	-10.6M	1.18	10.53	26,448	31,141	1,179,768	1,200,454
2014-12-12	$36.29	$36.00	24.7%	7.8%	22.0%	50.2%	27.8%	2.7%	5.5%	29.7M	-1.68B	-11.0M	1.00	9.90	32,926	32,830	1,181,099	1,218,702
2014-12-15	$36.00	$36.00	27.5%	7.9%	22.3%	62.0%	28.0%	4.1%	0.3%	25.9M	-1.58B	-10.8M	1.49	8.33	36,983	55,240	1,171,912	1,199,271
2014-12-16	$35.64	$36.00	28.8%	8.1%	22.7%	67.8%	30.8%	5.1%	0.1%	19.9M	-1.33B	-11.0M	1.82	9.66	30,401	55,324	1,186,822	1,212,523
2014-12-17	$36.27	$36.00	27.6%	7.7%	22.9%	62.5%	28.8%	3.9%	-0.4%	26.4M	-1.71B	-10.7M	0.98	12.41	36,258	35,676	1,193,135	1,221,393
2014-12-18	$36.97	$36.00	25.9%	7.2%	23.0%	55.2%	25.2%	3.2%	0.4%	44.0M	-2.12B	-10.4M	1.33	9.80	40,859	54,523	1,193,441	1,227,079
2014-12-19	$36.37	$36.00	25.8%	7.1%	18.6%	55.0%	24.3%	4.0%	-0.5%	-8.8M	-1.72B	-10.3M	0.49	9.32	57,598	28,425	1,197,135	1,242,461
2014-12-22	$37.18	$36.00	24.2%	6.8%	19.6%	48.3%	24.0%	3.4%	-0.2%	45.5M	-1.95B	-9.8M	0.34	8.32	82,561	28,424	1,038,431	1,077,766
2014-12-23	$37.47	$36.00	24.1%	6.8%	18.6%	47.7%	23.2%	2.6%	-0.2%	61.3M	-2.07B	-10.1M	0.67	8.86	52,094	34,943	1,074,219	1,090,790
2014-12-24	$37.44	$36.00	24.3%	6.8%	18.6%	48.6%	23.4%	2.6%	-0.5%	65.4M	-2.06B	-10.2M	0.81	9.15	20,359	16,520	1,090,071	1,103,649
2014-12-26	$37.57	$36.00	24.4%	6.6%	18.0%	49.1%	23.4%	4.0%	-0.5%	87.9M	-2.19B	-9.6M	0.65	8.42	28,190	18,334	1,092,132	1,104,203
2014-12-29	$37.23	$36.00	25.3%	6.8%	18.1%	52.6%	23.5%	4.0%	0.1%	55.9M	-1.98B	-9.6M	0.47	6.83	42,857	20,081	1,076,429	1,074,289
2014-12-30	$36.76	$36.00	24.6%	6.8%	18.6%	49.7%	26.8%	2.8%	0.1%	53.6M	-1.76B	-9.8M	0.77	7.72	36,133	27,936	1,093,171	1,078,096
2014-12-31	$36.29	$36.00	25.3%	7.2%	18.7%	52.8%	24.5%	2.5%	0.6%	43.3M	-1.55B	-9.7M	0.37	5.57	38,406	14,076	1,103,812	1,093,143