INTC Options History — August 2015

In August 2015, INTC traded between $26.04 and $29.60. ATM implied volatility averaged 25.5%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.4% (HV 20d: 22.1%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2015-08-20: Highest Volume — 193,474 contracts
  • 2015-08-24: Largest IV spike — 21.4% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.40$26.04$29.60$29.05$28.64
Max Pain$29.81$29.00$30.00$30.00$29.00
ATM IV25.5%20.2%37.0%21.3%30.1%
Expected Move7.4%5.8%11.0%6.0%8.9%
HV 20d22.1%16.0%32.5%17.7%32.5%
HV 60d20.7%18.6%24.3%19.3%24.3%
IV Rank45.1%19.8%100.0%25.0%66.1%
IV Percentile63.0%28.6%100.0%40.1%92.5%
Term Structure-0.2%-1.1%1.7%-0.0%-0.7%
VWIV26.4%20.5%37.6%21.0%34.1%
Skew 25d4.1%2.3%8.2%2.5%7.2%
Skew 10d8.4%3.5%17.9%4.3%16.0%
Call IV 25d23.8%19.1%33.0%20.2%26.6%
Put IV 25d27.9%21.6%41.1%22.7%33.8%
Bid-Ask Spread %8.175.8511.878.6610.50
Gamma HHI0.140.100.210.160.10
Net GEX-16.4M-30.1M-4.8M-21.9M-6.0M
Net DEX510.8M94.9M1.19B463.4M209.1M
Net VEX-8.1M-8.6M-7.1M-8.1M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.152.761.241.21
Total Volume93,952.90531,255193,47436,096106,719
Total OI1,972,499.3331,848,6372,078,5531,899,5511,939,351

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$29.05$30.0021.3%6.0%17.7%25.0%21.0%2.5%-0.0%-21.9M463.4M-8.1M1.248.6616,10319,993960,969938,582
2015-08-04$29.07$30.0020.9%6.0%17.7%23.2%26.1%2.5%-0.1%-21.5M460.6M-8.1M0.156.02101,67215,745967,943944,320
2015-08-05$29.16$30.0021.0%6.0%17.4%23.8%20.5%2.4%-0.3%-12.2M309.1M-8.6M0.635.8551,65532,3431,014,644940,390
2015-08-06$29.06$30.0021.6%6.3%16.1%26.6%21.3%2.3%-0.5%-13.4M354.0M-8.6M0.836.7142,29235,2161,021,046952,635
2015-08-07$28.87$30.0021.6%6.2%16.0%26.7%21.7%2.8%-0.1%-19.7M457.7M-8.4M0.596.0946,70027,7151,025,601960,228
2015-08-10$29.60$30.0020.2%5.8%17.1%19.8%20.6%2.5%-0.2%-6.6M94.9M-8.5M0.406.9257,63923,0841,017,777955,114
2015-08-11$28.97$30.0021.6%6.3%18.7%26.5%22.1%2.8%0.7%-15.7M388.6M-8.3M0.967.6415,91215,3431,028,985955,694
2015-08-12$29.51$30.0021.9%6.2%20.0%28.2%21.9%3.0%-0.4%-6.1M118.5M-8.6M0.487.7563,67830,3961,034,204951,693
2015-08-13$28.92$30.0022.2%6.5%20.9%29.4%22.0%2.9%0.8%-14.8M407.8M-8.3M1.137.0346,52952,8041,051,957960,719
2015-08-14$29.00$30.0022.1%6.4%20.4%28.9%23.1%2.9%0.3%-4.8M400.7M-8.3M1.026.7326,43126,9341,059,117975,062
2015-08-17$29.09$30.0022.0%6.4%20.0%28.6%21.6%3.1%-0.2%-17.6M352.5M-8.2M1.736.2519,29533,4531,045,131957,805
2015-08-18$28.88$30.0022.4%6.5%19.7%30.5%22.6%3.4%-0.5%-25.0M460.0M-8.1M0.667.4727,74118,3241,050,995967,121
2015-08-19$28.36$30.0024.0%6.9%20.7%38.4%23.4%3.2%-1.0%-30.1M689.4M-7.8M1.276.8425,73632,6611,055,419966,443
2015-08-20$27.58$30.0027.2%7.8%22.9%54.2%27.3%3.2%-0.3%-28.0M917.2M-7.7M2.767.3751,391142,0831,062,861973,172
2015-08-21$26.65$30.0030.4%8.5%25.1%69.2%30.2%4.1%1.7%-22.0M1.19B-7.3M1.4610.6655,14680,4681,080,636997,917
2015-08-24$26.62$30.0037.0%11.0%25.0%100.0%37.6%8.2%-1.1%-18.9M879.6M-7.6M1.319.4874,38097,345949,898898,739
2015-08-25$26.04$30.0036.2%10.9%23.7%96.3%37.2%7.0%-1.1%-19.0M1.01B-7.1M0.6810.3447,27832,104981,240915,962
2015-08-26$27.28$29.0032.4%9.6%29.9%77.4%36.1%7.0%-0.8%-17.5M699.6M-7.9M0.9711.8761,10459,295998,885923,846
2015-08-27$27.62$29.0030.4%9.0%30.4%67.4%30.9%6.3%-0.5%-16.0M592.1M-8.0M0.8610.2447,96341,3861,021,413939,190
2015-08-28$28.45$29.0029.1%8.6%32.4%61.0%32.0%7.0%-0.9%-7.4M271.6M-8.6M1.4311.1270,369100,5861,033,190946,592
2015-08-31$28.64$29.0030.1%8.9%32.5%66.1%34.1%7.2%-0.7%-6.0M209.1M-8.6M1.2110.5048,33958,3801,025,589913,762