INTC Options History — September 2015

In September 2015, INTC traded between $27.84 and $30.18. ATM implied volatility averaged 30.7%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.7% (HV 20d: 32.4%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2015-09-02: Highest Volume — 164,930 contracts
  • 2015-09-22: Largest IV spike — 13.2% change
  • 2015-09-28: Highest IV Rank — 91.4%
  • 2015-09-28: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.10$27.84$30.18$27.84$30.18
Max Pain$29.90$29.00$30.00$29.00$30.00
ATM IV30.7%27.8%35.3%33.8%32.8%
Expected Move9.4%8.1%11.4%9.9%10.7%
HV 20d32.4%24.7%36.9%33.9%24.8%
HV 60d25.8%24.6%26.4%24.6%26.2%
IV Rank68.8%54.6%91.4%84.1%78.9%
IV Percentile90.2%79.4%98.4%97.2%95.6%
Term Structure0.4%-1.9%5.3%-0.6%-0.7%
VWIV33.3%28.0%40.3%36.5%40.3%
Skew 25d7.6%6.5%9.0%8.6%8.3%
Skew 10d16.3%12.9%21.1%19.7%18.7%
Call IV 25d27.3%24.3%30.8%30.4%28.5%
Put IV 25d34.9%31.5%39.7%39.0%36.8%
Bid-Ask Spread %8.666.6713.707.079.91
Gamma HHI0.100.080.190.090.09
Net GEX-5.5M-17.3M10.2M-10.6M10.2M
Net DEX101.7M-313.4M476.9M476.9M-313.4M
Net VEX-8.4M-8.9M-8.0M-8.5M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.651.860.691.33
Total Volume90,655.04845,988164,930112,371159,124
Total OI1,995,9331,851,4792,089,9331,957,2181,987,365

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$27.84$29.0033.8%9.9%33.9%84.1%36.5%8.6%-0.6%-10.6M476.9M-8.5M0.697.0766,36046,0111,038,668918,550
2015-09-02$28.51$29.0029.7%8.2%35.1%63.8%29.5%7.3%0.0%-5.0M251.7M-8.7M1.369.8569,90095,0301,053,799926,996
2015-09-03$29.12$30.0027.8%9.0%36.0%54.6%32.2%6.9%0.0%2.0M16.9M-8.9M0.877.2371,42262,4021,064,737947,249
2015-09-04$28.63$30.0030.5%9.5%36.4%67.9%34.8%7.6%-0.0%-6.2M230.7M-8.8M0.926.6743,96640,2931,075,242964,544
2015-09-08$29.50$30.0027.9%9.4%36.9%54.8%33.9%7.1%4.7%4.7M-116.1M-8.7M0.907.0041,03436,7531,066,112956,885
2015-09-09$29.20$30.0029.6%9.6%36.3%63.4%34.9%7.5%4.1%850.2K17.4M-8.8M1.196.7734,94941,4401,076,180978,883
2015-09-10$29.27$30.0029.4%9.7%35.7%62.5%32.6%7.5%5.2%2.1M3.2M-8.8M1.4010.0932,64345,7911,077,129985,753
2015-09-11$29.43$30.0029.2%9.3%34.9%60.9%31.5%7.2%5.3%-9.4M-27.0M-8.7M1.198.2926,78731,7611,082,9191,001,824
2015-09-14$29.36$30.0031.9%9.5%35.0%74.5%34.5%8.2%-1.9%-12.5M41.2M-8.5M1.329.0419,82426,1641,015,132990,711
2015-09-15$29.73$30.0029.7%8.6%35.2%63.8%29.4%7.4%-0.0%-3.2M-157.8M-8.5M0.658.5245,81529,8551,017,887999,995
2015-09-16$29.76$30.0029.0%8.3%35.1%60.0%28.0%6.8%-0.8%-3.6M-160.3M-8.5M1.137.5931,48935,5871,043,4711,003,178
2015-09-17$29.69$30.0028.3%8.1%34.3%56.5%30.4%6.5%-1.1%-5.4M-125.7M-8.4M1.1213.7037,73542,1301,055,0041,016,057
2015-09-18$28.99$30.0030.3%8.8%33.9%66.8%31.4%7.8%-0.5%-17.3M227.6M-8.1M1.129.0459,32766,6081,066,4371,023,496
2015-09-21$29.15$30.0028.9%8.5%31.0%59.5%28.3%6.8%-0.6%-9.6M178.5M-8.0M0.767.6950,17038,292958,580892,899
2015-09-22$28.55$30.0032.7%9.8%32.2%78.5%34.9%7.5%-0.9%-12.7M351.2M-8.0M1.867.1526,22048,851982,757903,415
2015-09-23$28.72$30.0031.6%9.7%30.8%72.9%32.7%7.3%-0.8%-11.2M306.9M-8.1M0.668.3044,57529,527995,048918,860
2015-09-24$28.50$30.0032.2%9.8%26.8%76.1%34.1%7.9%-1.1%-12.5M386.0M-8.0M1.8310.8134,53863,3311,014,086923,265
2015-09-25$28.83$30.0031.3%9.6%26.8%71.8%33.6%8.1%-0.8%-10.1M256.9M-8.1M0.699.7447,94933,3221,024,802939,646
2015-09-28$28.79$30.0035.3%11.4%24.7%91.4%39.6%9.0%-0.9%-6.4M227.7M-8.3M1.418.8630,30542,5811,025,184928,036
2015-09-29$29.29$30.0033.3%10.5%25.3%81.7%36.5%8.8%-1.0%-655.6K62.1M-8.4M0.768.4641,92231,9731,036,757937,055
2015-09-30$30.18$30.0032.8%10.7%24.8%78.9%40.3%8.3%-0.7%10.2M-313.4M-8.6M1.339.9168,28590,8391,046,402940,963