INTC Options History — April 2015

In April 2015, INTC traded between $30.80 and $32.87. ATM implied volatility averaged 23.8%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 6.6% (HV 20d: 30.4%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2015-04-14: Highest Volume — 305,998 contracts
  • 2015-04-15: Largest IV drop — 23.6% change
  • 2015-04-01: Highest IV Rank — 74.8%
  • 2015-04-01: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.03$30.80$32.87$30.80$32.48
Max Pain$32.05$32.00$33.00$33.00$32.00
ATM IV23.8%18.7%30.5%30.5%21.4%
Expected Move6.8%5.6%10.3%10.3%6.2%
HV 20d30.4%19.6%36.3%36.2%19.6%
HV 60d28.4%26.7%29.7%28.9%26.8%
IV Rank46.7%25.2%74.8%74.8%36.6%
IV Percentile65.8%34.1%98.0%98.0%55.2%
Term Structure-0.7%-2.2%0.3%-0.9%0.3%
VWIV24.4%20.1%37.1%37.1%22.3%
Skew 25d3.0%2.1%4.2%3.8%2.7%
Skew 10d6.4%4.5%9.3%6.4%7.2%
Call IV 25d22.7%18.3%29.6%29.6%20.6%
Put IV 25d25.7%20.6%33.4%33.4%23.3%
Bid-Ask Spread %10.136.5713.4412.0611.24
Gamma HHI0.100.080.150.100.10
Net GEX16.6M-9.1M49.4M-9.1M14.0M
Net DEX-200.2M-634.5M349.2M349.2M-375.2M
Net VEX-8.8M-9.2M-8.2M-9.1M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.431.600.891.60
Total Volume104,695.8147,253305,998107,22267,405
Total OI1,920,511.5241,619,4232,247,6962,069,9601,679,840

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$30.80$33.0030.5%10.3%36.2%74.8%37.1%3.8%-0.9%-9.1M349.2M-9.1M0.8912.0656,79650,4261,117,834952,126
2015-04-02$30.92$32.0030.2%8.1%36.3%73.4%29.2%3.5%-1.0%-1.5M298.2M-9.2M0.4310.8463,02327,1761,145,246959,981
2015-04-06$31.14$32.0030.0%8.1%36.2%72.6%29.8%4.1%-1.3%5.3M170.8M-8.9M0.8411.2746,68139,3211,113,630902,837
2015-04-07$31.28$32.0029.3%8.0%36.0%69.8%29.1%4.2%-0.7%8.2M114.4M-9.1M0.9510.9540,82738,7931,129,282919,735
2015-04-08$31.31$32.0028.9%7.8%34.3%67.9%27.1%3.6%-0.9%9.1M87.9M-8.8M0.678.9036,99424,7691,136,746925,450
2015-04-09$31.35$32.0028.1%7.7%33.5%64.6%27.7%3.9%-1.1%9.9M114.0M-8.9M0.5811.6895,07855,5541,156,867936,081
2015-04-10$31.90$32.0027.3%7.5%29.1%61.1%25.5%3.4%-1.8%10.1M-159.3M-9.2M0.7211.8071,61851,5941,183,692948,488
2015-04-13$31.75$32.0027.2%7.6%29.2%60.7%26.9%3.6%-0.4%7.9M-46.0M-8.9M1.238.1052,38264,2271,114,752940,854
2015-04-14$31.41$32.0027.6%7.9%29.5%62.4%26.9%3.2%-2.2%-1.0M143.8M-8.9M1.328.48132,062173,9361,131,829968,057
2015-04-15$32.78$32.0021.1%6.0%32.7%35.1%21.8%2.8%-0.8%49.4M-629.0M-8.8M0.6211.99151,84594,1111,194,4051,035,425
2015-04-16$32.85$32.0020.5%5.9%32.7%32.5%21.5%3.1%-0.6%44.9M-634.5M-9.0M0.766.5764,26048,7251,195,4171,042,198
2015-04-17$32.45$32.0021.9%6.4%33.0%38.5%21.8%2.7%-1.1%39.3M-361.2M-8.7M0.936.9066,46161,4741,201,4311,046,265
2015-04-20$32.74$32.0020.6%6.0%32.6%32.9%20.6%2.1%-0.8%31.5M-485.1M-8.6M0.4410.5761,39327,297880,641738,782
2015-04-21$32.40$32.0020.1%5.7%32.8%30.7%20.8%2.4%-0.3%22.3M-349.8M-8.5M0.759.5534,46525,755902,578746,108
2015-04-22$32.42$32.0019.7%5.6%32.4%29.4%20.1%2.4%0.0%18.2M-354.1M-8.5M0.7211.0536,03825,927910,464753,637
2015-04-23$32.33$32.0019.4%5.6%30.1%28.0%20.8%2.3%-0.4%18.6M-333.6M-8.6M1.208.6025,26930,300918,034759,397
2015-04-24$32.19$32.0019.8%5.8%30.2%29.7%20.5%2.5%-0.3%10.7M-268.3M-8.5M1.1311.3142,31347,855918,510771,624
2015-04-27$32.50$32.0019.1%5.7%21.4%26.8%20.4%2.3%0.2%12.5M-374.9M-8.7M0.787.1335,70227,919862,720765,938
2015-04-28$32.80$32.0018.7%5.6%20.3%25.2%20.9%2.3%0.2%22.2M-553.4M-8.2M0.5410.2636,20419,384876,875775,518
2015-04-29$32.87$32.0019.2%5.7%20.2%27.2%21.1%2.4%-0.1%25.5M-558.8M-9.0M0.6413.4428,79518,458889,327782,121
2015-04-30$32.48$32.0021.4%6.2%19.6%36.6%22.3%2.7%0.3%14.0M-375.2M-9.0M1.6011.2425,95741,448893,125786,715