INTC Options History — November 2015

In November 2015, INTC traded between $32.10 and $34.77. ATM implied volatility averaged 22.3%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.5% (HV 20d: 19.8%). Max pain ranged from $32.50 to $34.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.33.

Notable Days

2015-11-03: Highest Volume — 292,639 contracts
2015-11-09: Largest IV spike — 10.1% change
2015-11-10: Highest IV Rank — 40.9%
2015-11-09: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.71	$32.10	$34.77	$34.05	$34.77
Max Pain	$33.00	$32.50	$34.00	$32.50	$33.00
ATM IV	22.3%	18.5%	25.2%	22.5%	18.8%
Expected Move	6.5%	5.4%	7.3%	6.9%	5.5%
HV 20d	19.8%	17.7%	22.0%	19.0%	20.4%
HV 60d	25.4%	22.1%	27.8%	27.8%	22.1%
IV Rank	26.4%	7.5%	40.9%	27.4%	8.9%
IV Percentile	39.9%	5.2%	64.7%	43.7%	6.7%
Term Structure	-0.0%	-1.2%	0.7%	0.3%	0.3%
VWIV	23.8%	18.6%	36.0%	25.2%	19.6%
Skew 25d	4.0%	3.0%	5.4%	4.6%	3.1%
Skew 10d	8.2%	5.6%	11.2%	9.4%	6.7%
Call IV 25d	20.8%	17.5%	23.3%	21.2%	17.7%
Put IV 25d	24.8%	20.5%	28.4%	25.8%	20.8%
Bid-Ask Spread %	8.10	4.86	11.94	6.43	9.89
Gamma HHI	0.11	0.07	0.15	0.11	0.15
Net GEX	15.5M	-19.2M	49.0M	15.9M	43.5M
Net DEX	-736.8M	-1.28B	47.2M	-1.15B	-1.22B
Net VEX	-8.4M	-8.9M	-7.4M	-8.8M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.13	3.05	1.53	0.54
Total Volume	90,585.55	34,357	292,639	69,926	34,357
Total OI	1,920,615.8	1,775,330	2,029,646	1,970,645	1,778,548

Daily Data (20 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
2015-11-02	$34.05	$32.50	22.5%	6.9%	19.0%	27.4%	25.2%	4.6%	0.3%	15.9M	-1.15B	-8.8M	1.53	6.43	27,607	42,319	1,029,611	941,034
2015-11-03	$34.37	$32.50	21.6%	6.5%	18.3%	23.2%	36.0%	4.2%	-0.0%	20.6M	-1.28B	-8.8M	0.13	4.86	258,054	34,585	1,038,573	954,816
2015-11-04	$34.09	$34.00	22.7%	7.1%	18.4%	28.3%	25.1%	4.2%	0.0%	14.1M	-842.8M	-8.9M	0.83	9.94	67,074	55,746	922,748	970,061
2015-11-05	$33.98	$33.00	22.9%	6.5%	18.5%	29.6%	24.0%	4.0%	-0.2%	11.0M	-791.2M	-8.9M	0.92	4.88	32,706	30,017	943,009	986,113
2015-11-06	$33.84	$33.00	22.6%	6.4%	17.7%	27.9%	23.0%	4.6%	-0.3%	17.4M	-688.3M	-8.9M	1.35	8.72	23,409	31,658	944,068	989,924
2015-11-09	$33.35	$33.00	24.9%	7.3%	18.7%	39.3%	26.7%	5.4%	0.6%	9.1M	-521.9M	-8.9M	2.93	7.55	14,968	43,798	939,192	972,842
2015-11-10	$33.14	$33.00	25.2%	7.1%	18.9%	40.9%	25.9%	4.9%	-0.4%	1.8M	-420.9M	-8.8M	1.37	6.81	29,450	40,385	946,026	1,000,180
2015-11-11	$33.26	$33.00	24.8%	7.2%	17.7%	39.2%	26.2%	5.1%	0.4%	3.8M	-477.0M	-8.8M	1.58	11.94	22,558	35,571	947,710	1,001,462
2015-11-12	$32.42	$33.00	24.6%	7.1%	20.1%	37.9%	25.1%	4.4%	0.3%	-15.9M	-81.2M	-8.6M	1.55	8.02	35,885	55,472	946,943	1,002,685
2015-11-13	$32.13	$33.00	24.7%	7.0%	19.9%	38.4%	26.1%	4.0%	-0.5%	-15.3M	47.2M	-8.7M	2.82	7.59	31,039	87,444	960,035	1,023,319
2015-11-16	$32.10	$33.00	24.3%	6.9%	19.0%	36.3%	23.9%	4.4%	-0.6%	-19.2M	41.4M	-8.4M	3.05	6.43	17,515	53,401	940,233	1,008,285
2015-11-17	$32.67	$33.00	24.3%	6.9%	20.2%	36.3%	24.6%	3.9%	-0.2%	-12.4M	-224.8M	-8.5M	1.03	9.05	41,332	42,498	947,377	1,017,231
2015-11-18	$33.20	$33.00	23.5%	6.7%	21.1%	32.7%	23.5%	3.8%	-0.4%	541.8K	-501.9M	-8.3M	1.04	8.70	32,653	33,804	960,714	1,033,009
2015-11-19	$34.39	$33.00	22.1%	6.4%	22.0%	25.6%	22.5%	3.6%	-1.2%	43.9M	-1.14B	-8.2M	0.97	8.66	87,726	85,131	974,465	1,038,420
2015-11-20	$34.62	$33.00	20.3%	5.8%	21.6%	16.5%	20.2%	3.1%	0.7%	42.4M	-1.22B	-8.1M	0.65	9.80	92,474	59,750	981,728	1,047,918
2015-11-23	$34.48	$33.00	19.8%	5.7%	21.5%	13.9%	20.7%	3.4%	-0.1%	32.8M	-1.06B	-7.8M	1.01	8.97	31,956	32,372	900,044	875,286
2015-11-24	$34.36	$33.00	19.0%	5.6%	21.5%	9.9%	19.8%	3.1%	0.3%	31.5M	-1.02B	-7.8M	1.74	7.88	22,844	39,715	917,088	890,440
2015-11-25	$34.48	$33.00	18.7%	5.4%	21.4%	8.4%	18.6%	3.0%	0.5%	35.7M	-1.07B	-7.7M	0.43	9.26	47,474	20,526	920,074	887,776
2015-11-27	$34.46	$33.00	18.5%	5.5%	20.2%	7.5%	19.4%	3.0%	0.2%	49.0M	-1.11B	-7.7M	1.10	6.66	17,379	19,059	942,182	891,147
2015-11-30	$34.77	$33.00	18.8%	5.5%	20.4%	8.9%	19.6%	3.1%	0.3%	43.5M	-1.22B	-7.4M	0.54	9.89	22,248	12,109	924,640	853,908