INTC Options History — March 2015

In March 2015, INTC traded between $29.89 and $34.14. ATM implied volatility averaged 25.0%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.9% (HV 20d: 26.9%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2015-03-12: Highest Volume — 288,746 contracts
  • 2015-03-25: Largest IV spike — 13.3% change
  • 2015-03-27: Highest IV Rank — 73.3%
  • 2015-03-31: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.76$29.89$34.14$34.03$31.34
Max Pain$34.11$33.00$35.00$35.00$33.00
ATM IV25.0%19.7%30.2%19.7%30.0%
Expected Move7.8%5.7%10.0%5.7%10.0%
HV 20d26.9%21.0%36.8%21.9%36.0%
HV 60d25.0%22.8%28.8%22.8%28.8%
IV Rank51.6%29.3%73.3%29.3%72.6%
IV Percentile79.9%50.0%97.6%50.0%96.8%
Term Structure0.4%-1.9%5.0%-0.7%-0.8%
VWIV27.3%20.5%35.4%20.6%34.8%
Skew 25d3.5%2.1%4.3%3.1%3.4%
Skew 10d7.2%5.6%9.7%9.7%7.9%
Call IV 25d23.8%18.9%30.9%18.9%28.5%
Put IV 25d27.3%22.1%33.1%22.1%31.9%
Bid-Ask Spread %12.048.2823.7111.7013.17
Gamma HHI0.110.090.150.110.10
Net GEX-18.0M-37.1M9.1M6.5M-3.1M
Net DEX356.8M-351.9M958.1M-341.1M134.5M
Net VEX-8.6M-9.5M-7.9M-9.1M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.372.100.420.73
Total Volume128,223.22756,399288,74698,602146,247
Total OI1,860,272.5911,686,6152,035,8631,686,6151,996,625

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$34.03$35.0019.7%5.7%21.9%29.3%20.6%3.1%-0.7%6.5M-341.1M-9.1M0.4211.7069,34329,259900,746785,869
2015-03-03$34.08$34.5020.7%6.0%21.0%33.3%20.9%3.7%-0.5%9.1M-351.9M-9.3M1.2210.7030,47937,169911,624795,182
2015-03-04$34.14$35.0020.7%6.0%21.0%33.6%20.5%2.9%-0.8%7.8M-345.6M-9.4M0.8211.4733,44627,411917,278815,736
2015-03-05$33.76$35.0020.3%6.9%21.4%31.7%25.4%3.1%-0.3%-5.9M-186.9M-9.3M2.109.0928,85360,489920,070818,625
2015-03-06$33.17$35.0021.7%7.5%21.8%37.8%27.2%3.2%0.3%-22.1M56.7M-9.1M1.629.5629,85448,230926,702829,824
2015-03-09$32.72$35.0022.4%7.4%21.2%40.4%26.4%3.5%3.5%-27.3M200.6M-8.7M1.099.7367,77774,126899,618805,683
2015-03-10$31.70$35.0024.3%8.0%23.8%48.4%28.4%3.9%4.0%-34.8M563.1M-8.2M1.489.8476,708113,862918,894841,894
2015-03-11$32.33$35.0025.1%8.6%23.7%52.1%28.9%4.1%5.0%-27.3M297.1M-9.1M0.5713.34125,27171,262952,317880,076
2015-03-12$30.80$34.0025.0%8.0%28.9%51.7%28.2%3.3%3.8%-37.1M958.1M-7.9M0.8618.67155,267133,4791,006,617916,027
2015-03-13$30.93$34.0025.6%8.1%28.2%54.2%28.4%2.9%3.6%-34.4M882.2M-8.4M0.7211.1584,65161,0681,025,563950,379
2015-03-16$30.83$34.0026.8%8.0%27.8%59.3%27.9%3.9%-1.0%-29.8M813.7M-8.2M0.498.8557,95728,3341,019,567928,408
2015-03-17$30.59$34.0027.0%7.9%27.2%60.1%27.4%3.4%-0.2%-27.5M877.7M-8.2M0.979.5728,64327,7561,036,913938,966
2015-03-18$30.89$34.0025.7%7.4%27.7%54.3%25.6%3.6%-0.9%-27.7M782.2M-8.0M1.8414.5639,48572,6781,044,637945,411
2015-03-19$30.74$34.0025.8%7.4%27.6%54.9%25.6%3.4%-0.0%-26.8M820.2M-8.0M0.8111.3133,60927,1911,054,307958,527
2015-03-20$31.31$34.0024.0%7.0%28.6%47.4%24.3%3.4%-1.3%-22.3M648.4M-8.2M0.5412.8764,22234,7881,066,885968,978
2015-03-23$31.20$34.0024.5%7.3%28.1%49.6%24.8%3.4%-0.6%-21.6M333.2M-8.1M0.5415.2275,19140,755885,598828,055
2015-03-24$30.79$34.0024.6%7.4%26.8%49.6%26.3%3.4%-0.8%-21.4M443.4M-8.3M0.388.2896,93336,642926,311849,301
2015-03-25$29.89$33.0027.8%8.4%28.0%63.4%29.3%4.3%-0.8%-27.0M722.4M-8.2M1.109.2377,80685,632988,178868,198
2015-03-26$30.10$33.0028.6%8.7%28.4%66.6%30.1%4.3%-1.0%-27.5M631.6M-8.4M1.1810.9751,85760,9631,017,090894,583
2015-03-27$32.00$33.0030.2%9.8%36.8%73.3%35.4%2.1%-1.9%7.8M-180.0M-9.5M0.3723.71156,86658,4461,029,719909,996
2015-03-30$31.41$33.0029.7%9.8%36.1%71.3%34.3%3.8%-0.7%-3.6M89.8M-9.0M0.7611.9891,64169,2651,041,004910,016
2015-03-31$31.34$33.0030.0%10.0%36.0%72.6%34.8%3.4%-0.8%-3.1M134.5M-9.2M0.7313.1784,75561,4921,066,712929,913