INTC Options History — February 2015

In February 2015, INTC traded between $33.02 and $34.69. ATM implied volatility averaged 21.4%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 5.5% (HV 20d: 27.0%). Max pain ranged from $35.00 to $35.50. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-02-06: Highest Volume — 150,265 contracts
  • 2015-02-03: Largest IV drop — 9.2% change
  • 2015-02-02: Highest IV Rank — 52.4%
  • 2015-02-02: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.86$33.02$34.69$33.65$33.26
Max Pain$35.05$35.00$35.50$35.50$35.00
ATM IV21.4%19.7%25.2%25.2%20.0%
Expected Move6.2%5.6%7.2%7.2%5.7%
HV 20d27.0%23.8%28.7%28.2%23.8%
HV 60d23.1%22.0%24.0%23.6%22.4%
IV Rank36.6%29.1%52.4%52.4%30.5%
IV Percentile62.7%51.2%85.7%85.7%51.6%
Term Structure0.2%-0.6%1.5%0.0%-0.2%
VWIV22.4%20.2%25.8%25.8%20.9%
Skew 25d3.8%2.8%5.0%5.0%3.2%
Skew 10d8.6%6.0%12.1%12.1%6.3%
Call IV 25d20.1%18.5%23.2%23.2%19.1%
Put IV 25d23.9%22.1%28.2%28.2%22.3%
Bid-Ask Spread %8.906.4712.948.8510.77
Gamma HHI0.110.080.240.090.14
Net GEX-6.9M-26.4M48.2M-16.3M-12.8M
Net DEX-139.6M-489.0M204.3M44.5M7.0M
Net VEX-9.4M-9.8M-9.0M-9.5M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.461.521.161.08
Total Volume87,18740,838150,26577,55385,449
Total OI1,715,944.5791,571,4841,814,5271,600,8411,689,959

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$33.65$35.5025.2%7.2%28.2%52.4%25.8%5.0%0.0%-16.3M44.5M-9.5M1.168.8535,90941,644844,601756,240
2015-02-03$33.66$35.0022.9%6.4%28.0%42.7%25.3%3.7%-0.3%-18.5M65.3M-9.5M1.0012.9467,67867,684857,753778,583
2015-02-04$33.55$35.5022.7%6.3%27.4%41.9%21.4%2.8%0.3%-18.2M85.3M-9.6M0.6910.1355,33838,053882,825820,874
2015-02-05$33.94$35.0021.8%6.3%26.6%37.9%22.1%4.2%0.3%-8.6M-64.7M-9.8M0.866.5650,66443,427898,290824,675
2015-02-06$33.26$35.0021.9%6.7%25.7%38.6%24.2%3.5%0.3%-22.8M204.3M-9.5M1.069.6673,04377,222901,879830,269
2015-02-09$33.02$35.0023.6%6.9%25.6%45.8%23.9%4.7%0.5%-26.4M180.1M-9.5M1.297.3053,84869,710890,825820,720
2015-02-10$33.69$35.0022.2%6.2%27.1%39.9%23.5%3.9%-0.4%-20.7M-53.6M-9.7M1.107.0532,70636,052913,353850,795
2015-02-11$33.57$35.0022.0%6.2%27.1%39.0%22.7%3.4%-0.3%-23.0M-17.5M-9.6M1.019.4732,82733,042913,656852,984
2015-02-12$34.09$35.0021.5%6.3%28.0%36.6%22.8%3.7%0.5%-8.7M-242.8M-9.8M1.116.4728,62631,851926,835859,985
2015-02-13$34.33$35.0020.2%6.1%28.2%31.2%22.3%3.5%1.5%-3.0M-354.9M-9.7M1.058.2437,82539,791931,316869,492
2015-02-17$34.69$35.0019.9%5.7%28.3%30.2%20.8%3.7%0.8%5.1M-473.5M-9.5M1.247.9631,22238,867915,734863,987
2015-02-18$34.26$35.0020.9%6.0%28.4%34.3%22.7%4.0%-0.6%-432.4K-298.6M-9.5M1.049.4040,04041,479920,416872,491
2015-02-19$34.21$35.0020.5%5.9%27.9%32.7%21.8%4.3%0.6%-139.6K-271.1M-9.3M1.527.1016,18124,657929,571874,247
2015-02-20$34.41$35.0020.9%6.0%27.6%34.3%21.7%4.3%-0.1%48.2M-376.1M-9.5M0.618.6649,66430,119934,888879,639
2015-02-23$33.75$35.0021.4%6.1%28.0%36.2%21.7%3.5%-0.0%-7.0M-177.6M-9.1M0.599.1447,87228,305836,185735,299
2015-02-24$34.43$35.0019.7%5.6%28.7%29.1%20.2%4.1%-0.0%14.2M-489.0M-9.2M0.4610.2975,89334,813858,184747,928
2015-02-25$33.94$35.0019.9%5.6%24.0%29.9%21.0%3.0%0.2%-2.7M-264.2M-9.2M0.8510.2049,55742,307879,242767,012
2015-02-26$33.66$35.0020.3%5.8%23.8%31.9%20.8%3.3%-0.2%-8.9M-155.4M-9.2M0.778.8341,43831,750893,292778,923
2015-02-27$33.26$35.0020.0%5.7%23.8%30.5%20.9%3.2%-0.2%-12.8M7.0M-9.0M1.0810.7741,12444,325908,317781,642