INTC Options History — June 2015 In June 2015, INTC traded between $30.39 and $33.86. ATM implied volatility averaged 22.7%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.8% (HV 20d: 19.9%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.31.
Notable Days 2015-06-12 : Highest Volume — 168,698 contracts2015-06-26 : Largest IV spike — 14.5% change2015-06-29 : Highest IV Rank — 62.3%2015-06-30 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $31.88 $30.39 $33.86 $33.86 $30.49 Max Pain $34.36 $33.00 $35.00 $33.00 $34.00 ATM IV 22.7% 19.2% 28.9% 19.2% 28.6% Expected Move 7.1% 5.6% 9.5% 5.6% 9.5% HV 20d 19.9% 18.7% 20.6% 19.2% 20.3% HV 60d 23.8% 19.9% 27.0% 26.9% 21.0% IV Rank 35.2% 22.9% 62.3% 24.4% 60.9% IV Percentile 60.3% 34.5% 91.7% 34.5% 90.5% Term Structure 0.5% -1.4% 4.8% -0.3% -0.4% VWIV 24.6% 19.5% 34.0% 19.5% 33.6% Skew 25d 2.9% 2.3% 4.0% 3.0% 3.8% Skew 10d 5.5% 3.4% 8.7% 5.4% 8.4% Call IV 25d 21.5% 18.1% 26.9% 18.1% 26.8% Put IV 25d 24.4% 20.8% 30.8% 21.1% 30.7% Bid-Ask Spread % 9.06 5.84 16.06 9.68 10.23 Gamma HHI 0.11 0.09 0.14 0.12 0.11 Net GEX -16.9M -42.4M 30.9M 30.9M -24.1M Net DEX 149.7M -704.5M 588.6M -704.5M 552.9M Net VEX -8.2M -9.1M -7.7M -9.1M -7.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 0.48 2.23 0.98 1.92 Total Volume 88,476.045 43,335 168,698 85,614 86,574 Total OI 1,825,645.727 1,695,151 1,958,701 1,742,081 1,824,531
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-06-01 $33.86 $33.00 19.2% 5.6% 19.2% 24.4% 19.5% 3.0% -0.3% 30.9M -704.5M -9.1M 0.98 9.68 43,236 42,378 889,493 852,588 2015-06-02 $33.27 $33.00 19.3% 5.6% 20.2% 22.9% 20.0% 2.3% -0.3% 15.0M -395.2M -8.9M 1.12 7.61 35,538 39,763 889,708 862,325 2015-06-03 $32.62 $33.00 19.7% 5.7% 19.7% 24.7% 19.5% 2.9% -0.4% -3.1M -114.2M -8.6M 0.97 5.84 43,452 42,280 902,171 876,840 2015-06-04 $32.28 $35.00 20.6% 7.0% 19.3% 29.0% 23.8% 2.8% -0.3% -12.0M 24.2M -8.7M 1.65 16.06 34,261 56,363 917,621 877,699 2015-06-05 $31.89 $35.00 20.6% 6.9% 19.7% 28.8% 24.0% 2.6% -0.3% -17.3M 231.2M -8.4M 0.95 7.69 48,682 46,211 926,502 903,400 2015-06-08 $31.31 $35.00 21.2% 7.3% 19.5% 31.6% 24.7% 2.4% 4.2% -25.4M 408.1M -8.1M 0.48 7.90 78,410 37,576 901,291 896,155 2015-06-09 $31.27 $35.00 21.0% 7.3% 19.5% 30.4% 25.0% 2.3% 4.8% -26.8M 417.6M -8.2M 1.02 9.93 36,197 37,080 920,093 907,515 2015-06-10 $31.88 $35.00 20.0% 7.0% 20.5% 24.4% 24.4% 2.3% 4.5% -22.4M 175.2M -8.5M 1.09 9.52 58,871 64,356 927,511 918,571 2015-06-11 $31.85 $35.00 21.2% 7.1% 19.9% 30.1% 24.8% 2.6% 4.8% -20.2M 181.0M -8.4M 1.75 9.91 38,681 67,885 945,770 950,754 2015-06-12 $31.35 $35.00 23.2% 7.5% 20.1% 37.5% 25.5% 2.7% 4.7% -36.9M 564.3M -8.2M 1.87 8.24 58,719 109,979 959,502 999,199 2015-06-15 $31.42 $35.00 25.2% 7.5% 20.1% 44.4% 25.4% 3.0% -1.3% -42.4M 421.3M -8.1M 2.19 8.15 21,735 47,617 923,071 974,209 2015-06-16 $31.63 $35.00 24.7% 7.2% 19.6% 41.7% 25.2% 3.0% -0.3% -36.7M 295.8M -8.1M 1.03 6.72 26,833 27,641 929,426 970,721 2015-06-17 $31.95 $35.00 25.0% 7.2% 20.0% 43.3% 24.8% 2.9% -1.1% -32.0M 150.8M -8.2M 2.23 10.50 25,046 55,936 941,934 973,747 2015-06-18 $32.37 $35.00 24.2% 7.0% 20.5% 39.4% 23.8% 3.1% -1.4% -18.1M -59.8M -8.4M 0.88 7.58 36,982 32,715 948,406 994,791 2015-06-19 $32.17 $34.00 23.3% 6.7% 20.4% 34.9% 22.4% 3.2% -0.6% -9.1M 36.7M -8.1M 1.32 6.82 41,912 55,225 954,388 1,003,527 2015-06-22 $32.28 $34.00 21.1% 6.2% 20.5% 24.2% 21.7% 3.2% -0.3% -10.8M -35.4M -8.0M 0.65 7.90 36,421 23,753 846,545 848,606 2015-06-23 $32.10 $34.00 22.1% 6.6% 20.4% 28.8% 22.9% 2.6% -0.5% -10.1M 17.2M -8.0M 0.89 9.90 22,903 20,432 867,653 853,378 2015-06-24 $31.94 $34.00 22.1% 6.6% 19.1% 29.2% 23.3% 2.6% -0.7% -13.3M 82.3M -7.9M 1.76 6.78 18,326 32,188 876,473 859,661 2015-06-25 $32.04 $34.00 22.9% 7.0% 18.7% 32.8% 23.9% 2.6% -1.2% -11.3M 37.1M -8.0M 0.86 8.99 35,993 30,830 884,165 872,218 2015-06-26 $31.08 $34.00 26.2% 8.1% 20.1% 49.0% 28.5% 3.2% -1.3% -21.3M 418.8M -7.9M 1.43 12.07 64,344 91,790 905,781 884,227 2015-06-29 $30.39 $34.00 28.9% 9.4% 20.6% 62.3% 34.0% 4.0% -0.5% -23.5M 588.6M -7.7M 1.80 11.37 32,633 58,726 903,334 898,706 2015-06-30 $30.49 $34.00 28.6% 9.5% 20.3% 60.9% 33.6% 3.8% -0.4% -24.1M 552.9M -7.8M 1.92 10.23 29,609 56,965 913,247 911,284
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