INTC Options History — January 2015

In January 2015, INTC traded between $33.04 and $36.92. ATM implied volatility averaged 24.9%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.7% (HV 20d: 21.3%). Max pain ranged from $35.50 to $36.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2015-01-15: Highest Volume — 290,684 contracts
  • 2015-01-16: Largest IV drop — 25.1% change
  • 2015-01-06: Highest IV Rank — 74.2%
  • 2015-01-06: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.82$33.04$36.92$36.42$33.04
Max Pain$35.98$35.50$36.00$36.00$35.50
ATM IV24.9%18.3%30.4%26.6%24.8%
Expected Move6.9%5.2%8.2%7.2%7.3%
HV 20d21.3%17.9%27.1%18.7%27.1%
HV 60d24.4%22.4%27.8%27.8%23.3%
IV Rank51.3%23.4%74.2%58.2%50.6%
IV Percentile79.9%39.7%98.0%92.9%85.3%
Term Structure-0.5%-2.3%0.5%0.0%0.3%
VWIV25.0%18.3%30.4%24.5%26.1%
Skew 25d3.9%1.8%5.0%3.8%3.9%
Skew 10d7.4%4.6%10.6%4.9%6.3%
Call IV 25d23.4%17.0%28.8%25.7%23.6%
Put IV 25d27.3%20.4%32.5%29.6%27.5%
Bid-Ask Spread %10.336.8816.947.8013.53
Gamma HHI0.120.090.150.150.12
Net GEX20.9M-24.3M52.8M47.6M-24.3M
Net DEX-1.01B-1.79B290.2M-1.61B290.2M
Net VEX-9.6M-10.0M-9.0M-9.7M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.571.650.571.20
Total Volume115,139.848,783290,68462,098115,852
Total OI1,961,422.351,435,8812,558,6242,219,8141,613,228

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$36.42$36.0026.6%7.2%18.7%58.2%24.5%3.8%0.0%47.6M-1.61B-9.7M0.577.8039,66222,4361,123,5821,096,232
2015-01-05$35.95$36.0028.9%7.7%19.2%68.2%30.4%4.9%-1.1%41.0M-1.41B-9.7M1.297.6031,35640,5811,114,1221,084,061
2015-01-06$35.28$36.0030.4%8.2%19.9%74.2%29.5%3.7%-1.2%25.9M-1.08B-9.8M1.0910.6948,57553,0241,126,3361,107,893
2015-01-07$36.02$36.0029.0%7.7%21.2%68.5%27.5%4.9%-1.3%37.8M-1.40B-9.8M1.3411.2349,08865,5921,142,8721,126,325
2015-01-08$36.78$36.0027.2%7.2%22.6%60.9%28.0%3.6%-0.7%52.8M-1.79B-9.9M1.069.2444,31247,1581,151,6521,166,862
2015-01-09$36.81$36.0026.5%7.2%21.9%57.9%26.2%4.3%-0.9%50.5M-1.79B-9.9M1.208.2845,82455,1481,156,0371,186,305
2015-01-12$36.71$36.0028.2%7.5%21.8%65.2%27.6%5.0%-1.6%47.3M-1.69B-9.9M1.237.7728,83435,5151,120,7101,195,863
2015-01-13$36.50$36.0029.1%8.0%21.6%68.7%27.6%3.9%-0.7%41.1M-1.62B-9.9M1.289.4557,52173,4621,122,8301,210,164
2015-01-14$36.36$36.0029.0%8.0%21.4%68.5%27.9%4.7%-1.0%37.1M-1.52B-10.0M0.936.8870,17265,1891,129,5951,243,166
2015-01-15$36.12$36.0029.9%8.0%21.2%72.0%28.8%4.5%-2.3%30.2M-1.39B-10.0M1.6512.85109,788180,8961,145,1051,264,406
2015-01-16$36.45$36.0022.4%6.2%20.6%40.5%21.8%4.9%-0.8%9.3M-1.48B-9.6M0.7410.26145,816108,5181,177,8551,380,769
2015-01-20$36.09$36.0021.2%6.0%19.6%35.4%21.8%3.5%-0.4%10.7M-658.6M-9.4M0.889.9252,78546,643780,603655,278
2015-01-21$36.48$36.0020.1%5.8%19.2%31.0%20.9%3.4%0.5%16.8M-782.8M-9.6M0.7510.3227,87020,913792,232673,679
2015-01-22$36.92$36.0019.1%5.5%17.9%26.6%19.7%3.7%0.2%28.1M-943.9M-9.4M0.759.0943,54732,514798,762683,839
2015-01-23$36.45$36.0018.3%5.2%18.2%23.4%18.3%3.4%0.5%3.4M-751.7M-9.2M1.4010.6538,78954,328810,866700,508
2015-01-26$35.81$36.0019.1%5.5%19.1%26.5%19.6%2.8%0.0%7.3M-555.2M-9.2M0.8011.1045,58636,681796,385677,862
2015-01-27$34.19$36.0022.7%6.7%24.5%41.9%24.8%2.3%0.1%-12.6M-64.5M-9.1M0.9016.94104,92594,337808,378693,583
2015-01-28$33.81$36.0023.1%6.8%24.6%43.4%25.0%1.8%0.0%-16.9M61.9M-9.2M0.9513.8142,89440,800845,058736,142
2015-01-29$34.19$36.0023.1%6.8%25.0%43.4%24.1%4.7%-0.1%-14.7M-50.4M-9.4M0.779.2948,55237,313841,351747,951
2015-01-30$33.04$35.5024.8%7.3%27.1%50.6%26.1%3.9%0.3%-24.3M290.2M-9.0M1.2013.5352,65263,200859,795753,433