INTC Options History — July 2015 In July 2015, INTC traded between $28.13 and $30.62. ATM implied volatility averaged 26.1%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.9% (HV 20d: 20.2%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.32.
Notable Days 2015-07-16 : Highest Volume — 323,698 contracts2015-07-16 : Largest IV drop — 27.1% change2015-07-09 : Highest IV Rank — 90.9%2015-07-02 : Largest Expected Move — 10.2%Monthly Statistics Metric Avg Min Max Open Close Price $29.28 $28.13 $30.62 $30.15 $28.95 Max Pain $31.00 $30.00 $34.00 $34.00 $30.00 ATM IV 26.1% 20.6% 34.7% 29.1% 20.6% Expected Move 7.3% 5.8% 10.2% 9.9% 5.8% HV 20d 20.2% 18.6% 21.2% 19.7% 18.7% HV 60d 20.4% 19.3% 21.7% 21.1% 19.3% IV Rank 48.9% 21.9% 90.9% 63.7% 21.9% IV Percentile 70.9% 34.1% 98.8% 94.0% 34.1% Term Structure -0.7% -2.6% 0.9% -0.3% 0.3% VWIV 25.7% 21.0% 35.6% 34.4% 21.0% Skew 25d 3.9% 2.5% 5.4% 4.1% 2.8% Skew 10d 7.6% 4.3% 10.5% 8.7% 5.6% Call IV 25d 24.3% 19.6% 32.2% 27.1% 19.6% Put IV 25d 28.2% 22.4% 37.6% 31.2% 22.4% Bid-Ask Spread % 7.82 4.76 10.97 9.04 8.33 Gamma HHI 0.17 0.13 0.34 0.13 0.14 Net GEX -37.1M -96.3M -19.1M -29.3M -19.1M Net DEX 790.9M 464.7M 1.13B 693.5M 504.5M Net VEX -7.9M -8.3M -7.5M -7.6M -8.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.32 0.37 2.49 1.72 0.88 Total Volume 135,834.636 54,944 323,698 100,065 60,957 Total OI 2,006,560.409 1,754,396 2,458,590 1,858,810 1,941,286
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 2015-07-01 $30.15 $34.00 29.1% 9.9% 19.7% 63.7% 34.4% 4.1% -0.3% -29.3M 693.5M -7.6M 1.72 9.04 36,731 63,334 920,180 938,630 2015-07-02 $30.62 $34.00 29.2% 10.2% 20.6% 64.0% 35.6% 4.1% -0.3% -25.1M 536.1M -7.9M 1.32 9.61 65,075 85,610 932,318 967,315 2015-07-06 $30.03 $31.00 30.5% 7.8% 21.2% 70.6% 27.3% 4.3% -1.6% -31.9M 745.9M -7.8M 2.16 4.76 30,544 65,841 949,797 981,603 2015-07-07 $29.86 $31.00 31.2% 8.0% 20.5% 73.6% 28.5% 4.6% -1.5% -35.4M 817.6M -7.8M 2.07 6.87 53,392 110,354 961,513 1,013,220 2015-07-08 $29.54 $31.00 32.9% 8.2% 20.7% 82.0% 29.4% 5.3% -1.9% -43.0M 967.0M -7.9M 1.18 6.80 52,068 61,579 980,515 1,066,009 2015-07-09 $29.00 $31.00 34.7% 9.0% 19.7% 90.9% 30.5% 5.4% -2.4% -40.5M 1.13B -7.7M 1.58 6.85 87,651 138,439 987,713 1,082,067 2015-07-10 $29.22 $31.00 32.4% 8.3% 20.1% 80.0% 28.7% 4.6% -2.6% -42.0M 1.12B -7.9M 1.91 5.69 38,203 72,871 1,022,196 1,163,425 2015-07-13 $29.77 $31.00 28.2% 7.6% 21.2% 58.9% 27.5% 3.9% -1.4% -46.7M 891.4M -7.7M 2.49 6.03 52,673 131,110 989,920 1,150,235 2015-07-14 $29.67 $31.00 29.3% 7.8% 21.1% 64.7% 27.6% 4.3% -2.5% -52.4M 985.8M -7.9M 2.11 7.08 69,102 145,500 1,013,889 1,212,785 2015-07-15 $29.64 $31.00 29.8% 7.9% 20.8% 67.0% 27.7% 5.1% -2.5% -57.5M 1.06B -8.3M 1.64 7.73 100,600 164,899 1,049,978 1,300,599 2015-07-16 $29.86 $31.00 21.7% 6.2% 20.6% 27.2% 22.2% 4.0% 0.0% -96.3M 1.01B -8.2M 1.33 10.79 138,884 184,814 1,094,871 1,363,719 2015-07-17 $29.43 $31.00 22.9% 6.7% 20.0% 33.0% 22.3% 3.9% 0.9% -30.2M 1.12B -8.0M 1.06 7.66 66,814 70,619 1,118,824 1,312,092 2015-07-20 $29.09 $31.00 22.8% 6.5% 20.1% 32.3% 22.7% 3.6% -0.4% -32.1M 543.6M -7.7M 0.75 8.59 56,391 42,514 854,015 900,381 2015-07-21 $28.72 $31.00 23.2% 6.6% 20.1% 34.7% 21.9% 3.5% 0.3% -34.1M 676.2M -7.9M 0.55 7.98 80,571 44,507 881,496 919,393 2015-07-22 $28.59 $31.00 22.8% 6.5% 20.1% 32.2% 23.1% 3.5% 0.3% -35.6M 739.3M -7.8M 0.83 7.47 36,638 30,301 900,132 932,773 2015-07-23 $28.61 $31.00 21.6% 6.2% 20.2% 26.4% 22.1% 2.9% -0.0% -35.0M 725.2M -7.8M 1.21 8.33 37,332 45,003 905,538 935,070 2015-07-24 $28.13 $30.00 23.1% 6.6% 20.3% 34.1% 23.5% 3.0% -0.3% -30.4M 872.8M -7.5M 1.71 8.05 38,578 65,818 915,310 944,641 2015-07-27 $28.26 $30.00 23.7% 7.0% 18.6% 37.0% 24.3% 3.6% -0.1% -34.0M 791.4M -7.8M 0.55 7.54 74,318 40,703 889,410 936,855 2015-07-28 $28.95 $30.00 22.8% 6.5% 20.0% 32.6% 22.7% 2.5% -0.1% -24.0M 499.4M -8.0M 0.37 8.33 93,552 34,183 931,748 946,406 2015-07-29 $29.05 $30.00 21.1% 6.1% 20.0% 24.0% 21.1% 2.9% 0.1% -21.4M 464.7M -8.1M 0.97 10.97 27,866 27,078 961,528 949,455 2015-07-30 $28.94 $30.00 21.1% 6.0% 19.7% 24.0% 22.3% 2.9% 0.2% -20.2M 501.0M -8.1M 0.61 7.52 40,636 24,709 971,746 953,733 2015-07-31 $28.95 $30.00 20.6% 5.8% 18.7% 21.9% 21.0% 2.8% 0.3% -19.1M 504.5M -8.2M 0.88 8.33 32,467 28,490 985,941 955,345
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