INTC Options History — October 2015 In October 2015, INTC traded between $29.60 and $34.85. ATM implied volatility averaged 25.6%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.9% (HV 20d: 23.7%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.26.
Notable Days 2015-10-13 : Highest Volume — 266,989 contracts2015-10-14 : Largest IV drop — 16.6% change2015-10-01 : Highest IV Rank — 85.9%2015-10-01 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $32.90 $29.60 $34.85 $29.60 $33.98 Max Pain $31.18 $30.00 $32.00 $30.00 $32.00 ATM IV 25.6% 21.9% 34.2% 34.2% 23.1% Expected Move 7.3% 6.2% 11.4% 11.4% 6.8% HV 20d 23.7% 20.4% 25.9% 25.0% 20.4% HV 60d 27.3% 26.5% 27.9% 26.5% 27.9% IV Rank 43.1% 24.8% 85.9% 85.9% 30.3% IV Percentile 61.4% 37.7% 97.2% 97.2% 49.2% Term Structure -0.7% -1.7% 0.3% -0.6% 0.1% VWIV 27.2% 22.1% 40.1% 40.1% 26.2% Skew 25d 5.6% 4.1% 8.1% 8.1% 4.2% Skew 10d 11.3% 8.3% 17.3% 17.3% 8.4% Call IV 25d 23.2% 19.7% 30.5% 30.5% 21.4% Put IV 25d 28.8% 24.7% 38.6% 38.6% 25.6% Bid-Ask Spread % 9.66 4.97 14.21 10.71 10.63 Gamma HHI 0.12 0.08 0.38 0.10 0.19 Net GEX 25.8M 116.1K 64.4M 1.2M 39.6M Net DEX -1.13B -1.66B -47.0M -47.0M -1.13B Net VEX -8.5M -9.0M -7.9M -8.6M -9.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.71 1.96 0.78 1.81 Total Volume 118,073.045 50,885 266,989 58,788 119,053 Total OI 1,990,091.955 1,762,845 2,271,584 2,015,089 1,977,274
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 2015-10-01 $29.60 $30.00 34.2% 11.4% 25.0% 85.9% 40.1% 8.1% -0.6% 1.2M -47.0M -8.6M 0.78 10.71 32,998 25,790 1,057,966 957,123 2015-10-02 $30.43 $30.00 29.8% 9.4% 25.7% 64.3% 36.2% 7.3% -0.1% 20.5M -459.1M -8.6M 1.18 11.08 60,191 71,123 1,067,573 944,026 2015-10-05 $31.21 $30.00 29.1% 7.8% 25.9% 60.6% 28.0% 7.4% -0.8% 22.7M -729.3M -8.4M 0.99 7.88 53,611 52,970 1,054,445 907,260 2015-10-06 $31.81 $30.00 28.4% 7.6% 24.8% 57.0% 28.6% 6.7% -1.1% 23.3M -946.4M -8.4M 0.88 7.32 60,273 53,255 1,063,190 921,203 2015-10-07 $32.23 $31.00 30.3% 8.0% 24.4% 66.4% 30.8% 6.7% -1.3% 23.9M -1.09B -8.5M 1.75 9.32 52,169 91,506 1,070,789 939,359 2015-10-08 $32.46 $31.00 29.2% 8.0% 24.4% 61.0% 30.1% 6.8% -1.2% 16.3M -1.17B -8.5M 1.26 8.29 46,691 59,003 1,076,176 983,075 2015-10-09 $32.03 $31.00 29.8% 7.8% 25.3% 64.3% 29.6% 6.7% -1.7% 116.1K -980.7M -8.4M 1.27 9.33 34,388 43,739 1,082,901 999,325 2015-10-12 $32.18 $31.00 28.1% 7.6% 25.1% 55.6% 27.6% 6.1% -1.5% 19.7M -1.01B -7.9M 1.68 4.97 48,069 80,648 1,063,016 981,280 2015-10-13 $32.10 $31.00 28.1% 7.7% 25.1% 55.6% 27.3% 6.0% -0.8% 15.3M -919.8M -8.2M 1.29 9.55 116,359 150,630 1,063,910 1,015,599 2015-10-14 $32.72 $31.00 23.4% 6.5% 25.6% 32.2% 24.5% 5.3% -0.8% 30.1M -1.34B -8.0M 1.29 13.17 115,716 149,072 1,123,893 1,072,050 2015-10-15 $32.72 $31.00 22.5% 6.2% 25.5% 27.4% 23.9% 5.2% -1.2% 26.6M -1.35B -8.0M 1.23 9.81 60,116 73,764 1,131,290 1,106,595 2015-10-16 $33.02 $31.00 21.9% 6.4% 23.2% 24.8% 22.1% 5.0% 0.3% 64.4M -1.49B -8.1M 0.71 9.66 83,860 59,427 1,146,002 1,125,582 2015-10-19 $33.53 $31.00 22.4% 6.5% 23.4% 27.2% 23.7% 4.9% -1.1% 34.4M -1.21B -8.4M 1.17 9.65 58,202 67,824 977,209 785,636 2015-10-20 $33.49 $31.00 23.2% 6.6% 21.3% 30.8% 26.2% 5.2% -1.0% 31.9M -1.16B -8.8M 1.56 7.42 22,176 34,643 998,994 825,851 2015-10-21 $33.35 $32.00 23.5% 6.7% 21.7% 32.4% 25.7% 5.1% -1.0% 29.5M -1.09B -8.9M 0.85 10.60 64,370 54,641 1,008,487 841,242 2015-10-22 $34.39 $32.00 22.6% 6.5% 22.4% 28.1% 25.0% 4.8% -0.8% 37.2M -1.48B -8.8M 1.06 10.22 52,326 55,584 1,017,227 864,202 2015-10-23 $34.85 $32.00 22.3% 6.4% 22.4% 26.4% 24.0% 4.5% -0.4% 29.4M -1.66B -8.7M 1.12 11.26 44,516 49,848 1,025,541 885,954 2015-10-26 $34.61 $32.00 23.0% 6.9% 22.9% 29.9% 25.5% 4.2% 0.3% 27.6M -1.46B -8.8M 1.22 7.53 32,882 40,032 1,003,646 863,436 2015-10-27 $34.42 $32.00 22.5% 6.8% 23.2% 27.3% 25.6% 4.4% 0.2% 25.1M -1.38B -8.9M 1.04 8.93 32,219 33,630 1,014,717 879,597 2015-10-28 $34.64 $32.00 22.2% 6.7% 21.7% 26.2% 22.9% 4.1% -0.2% 28.2M -1.47B -8.8M 1.71 14.21 18,759 32,126 1,028,170 893,216 2015-10-29 $33.99 $32.00 23.8% 7.2% 21.7% 34.3% 25.9% 4.4% 0.2% 20.5M -1.18B -9.0M 1.96 11.07 36,964 72,444 1,031,867 906,129 2015-10-30 $33.98 $32.00 23.1% 6.8% 20.4% 30.3% 26.2% 4.2% 0.1% 39.6M -1.13B -9.0M 1.81 10.63 42,421 76,632 1,041,092 936,182
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