INTC Options History — May 2015

In May 2015, INTC traded between $32.16 and $34.46. ATM implied volatility averaged 19.6%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.7% (HV 20d: 21.3%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-05-04: Highest Volume — 205,040 contracts
  • 2015-05-08: Largest IV drop — 11.3% change
  • 2015-05-06: Highest IV Rank — 43.5%
  • 2015-05-07: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.12$32.16$34.46$33.39$34.46
Max Pain$32.80$31.00$33.00$32.00$33.00
ATM IV19.6%17.0%23.1%20.6%19.2%
Expected Move5.6%4.8%6.6%5.8%5.5%
HV 20d21.3%19.3%24.5%21.5%20.2%
HV 60d27.1%26.5%27.5%27.4%26.7%
IV Rank28.6%17.9%43.5%33.3%24.8%
IV Percentile36.9%9.5%67.9%51.2%32.9%
Term Structure-0.1%-1.7%0.6%0.0%-0.2%
VWIV19.9%17.6%22.9%22.9%19.4%
Skew 25d2.7%2.1%3.5%2.2%2.5%
Skew 10d5.5%4.1%7.6%7.6%5.1%
Call IV 25d18.5%16.2%21.8%20.0%18.1%
Put IV 25d21.2%18.3%24.9%22.3%20.6%
Bid-Ask Spread %8.305.8412.099.689.68
Gamma HHI0.140.080.370.110.34
Net GEX26.4M-4.3M96.3M26.4M96.3M
Net DEX-511.3M-1.03B-100.3M-772.5M-1.03B
Net VEX-9.0M-9.3M-8.5M-9.2M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.221.890.410.53
Total Volume92,735.4538,810205,040126,920155,045
Total OI1,671,288.71,543,1291,756,2181,707,3751,756,218

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$33.39$32.0020.6%5.8%21.5%33.3%22.9%2.2%0.0%26.4M-772.5M-9.2M0.419.6890,24336,677899,252808,123
2015-05-04$33.43$31.0020.2%5.9%21.5%31.4%22.4%2.5%-1.4%29.2M-726.3M-9.0M0.227.73167,85737,183886,938783,891
2015-05-05$32.65$32.0021.7%6.1%23.6%37.6%21.6%2.9%-0.2%10.2M-351.8M-9.0M0.8411.0368,92058,136842,801795,037
2015-05-06$32.16$33.0023.1%6.5%24.4%43.5%21.5%3.0%-0.2%-4.3M-100.3M-9.2M0.508.5372,26136,078848,767824,629
2015-05-07$32.24$33.0022.7%6.6%24.4%41.9%22.6%3.3%0.1%194.3K-135.8M-9.2M0.546.8159,31831,796861,309833,640
2015-05-08$32.80$33.0020.2%5.8%24.3%31.2%20.4%3.3%0.2%12.7M-369.2M-9.0M0.707.2940,59028,417862,042845,029
2015-05-11$32.69$33.0021.3%5.7%24.3%36.0%21.6%3.5%-1.7%13.9M-334.4M-9.0M0.427.2633,60913,954860,842832,981
2015-05-12$32.25$33.0021.3%6.1%24.5%36.1%21.0%2.8%0.0%2.0M-153.8M-8.8M0.607.6635,64621,373872,840838,942
2015-05-13$32.65$33.0020.5%5.7%19.6%32.5%20.5%3.0%-0.4%19.0M-338.2M-9.0M0.627.3036,58522,605878,151842,984
2015-05-14$32.97$33.0019.3%5.6%19.9%27.5%19.5%2.6%0.3%37.4M-489.1M-9.0M0.625.8540,51725,029883,304847,251
2015-05-15$32.97$33.0018.4%5.3%19.3%23.6%18.4%2.4%0.0%80.6M-475.4M-8.7M0.755.8458,11643,348888,599843,053
2015-05-18$33.41$33.0017.6%5.0%19.6%20.4%18.0%2.4%0.4%22.8M-597.3M-8.5M0.4812.0937,57117,884792,571750,558
2015-05-19$33.15$33.0018.1%5.2%19.5%22.6%18.7%2.1%0.6%22.2M-519.7M-8.7M1.849.2813,68625,124814,809757,104
2015-05-20$33.35$33.0017.4%5.0%19.5%19.8%18.1%2.4%0.4%27.9M-596.7M-8.8M0.798.8333,83426,593821,191763,887
2015-05-21$33.50$33.0017.2%4.9%19.5%18.8%17.6%2.3%0.4%33.8M-677.2M-8.6M1.338.8731,70242,169829,249772,330
2015-05-22$33.42$33.0017.0%4.8%19.4%17.9%17.7%2.1%0.5%22.9M-623.0M-8.7M1.208.7161,85274,416839,066784,527
2015-05-26$33.13$33.0018.8%5.3%19.6%25.3%18.5%2.7%-0.1%14.6M-415.0M-9.0M1.897.0126,25849,503848,398813,413
2015-05-27$33.74$33.0019.3%5.4%20.3%25.7%18.7%2.7%-0.1%25.6M-697.5M-9.1M0.929.0552,42748,181853,121833,648
2015-05-28$34.02$33.0018.4%5.2%20.5%21.8%18.4%2.6%0.2%35.6M-824.8M-9.1M0.767.4857,04143,165871,157844,122
2015-05-29$34.46$33.0019.2%5.5%20.2%24.8%19.4%2.5%-0.2%96.3M-1.03B-9.3M0.539.68101,25353,792896,322859,896